Archive: detailed course information for the summer semester 2015

Information for the participants of course 040057 (Macro-econometrics)

· In the first unit on March 2, the structure of the course was discussed. We intend to have a first test in April, a second test in June, and we will keep the last two June units free from teaching, in order to enable participants to concentrate on their empirical projects. Empirical projects can be done in groups of 1-3 persons, tests are meant to be individual. Because of the large number of participants, projects will not be presented, written project papers are submitted by June 30.

· In response to initial space constraints, from March 13, there is a new location for the Friday course units: Hörsaal 11. This is a larger room that seats up to 80 participants. For this reason, written tests will be on Fridays.

· On Friday, March 13, we convened April 17, 2015, as the best date for the first test. The date for the second test will be convened at a later time.

· An exemplary Stata batch file for generating AR(1) processes, as shown in the course, can be downloaded here. After downloading, it is advisable to change the file extension from “.dox” to “.do”, so it can be used directly with Stata. In most system settings, it is not possible to download files with the extension “.do”, for security reasons. A similar batch file that generates ARIMA(1,1,1) data (or, rather, data that obey an ARMA(1,1) process after differencing) can be downloaded here.

· The Stata code that builds up a matrix of AIC values for a given series called “x” and which was used in the course unit on March 27 can be downloaded here. Note that this code can only run if you have opened Stata before and if you have created a variable and named it “x”. For example, it runs after either of the two batch files that are named under the previous bullet.

· A role-model test from a comparable course for the first test on April 17, 2015, can be accessed here. Answers were discussed in the unit on April 13. Relevant material for the test was everything taught in the course, excepting the unit immediately before the test. Results of the test on April 17 have been transmitted to participants by e-mail.

· Regarding the empirical project, a guideline file can be accessed here.

· In the unit on April 24, we convened June 5, 2015, as the date for the second and final test.

· There will be no teaching in the unit on May 29.

· Participants have expressed some interest in the data sets and Stata codes that have been used in class. For example, this Stata code was used for generating ARCH data. By some variation of the basic parameters phi, b1, b2, diverse trajectories can be generated. A Stata command such as “arch, ar(1) arch(1) garch(1)” can then be applied to check how well it retrieves the generating model.

· A data set that was used extensively is the macroeconomic one on this text file. An example for its usage is this Stata code, which performs a residual cointegration test on consumption and GDP. Note that the significance points reported by Stata are incorrect and the Phillips-Ouliaris tables should be used. Efficient cointegration modeling plus estimation can be performed by using this Stata code.

· The panel data set on wages and work experience can be downloaded here; it is freely available from the web to go with the Verbeek book. A short Stata code for some basic commands for this data set is accessible here.

· In the unit on May 22, the plan for the June units was confirmed. Instruction has stopped for good with May 22. June 1 was a general meeting for review, discussion, and preparation for the final test. A role-model test from a comparable course can be accessed here. Results for the second test have been already communicated to participants.

· Participants are advised to form groups of up to 3 persons and to choose topics for their empirical projects. Kindly, communicate any news on these activities to me. Remember that final project reports are expected by June 30. For consultation regarding projects, kindly contact me by e-mail.

Information for the participants of course 040079 (Panel data)

· In the first unit on March 2, the structure of the course was discussed. We intend to have a first test in April, a second test in June, and we will keep the last two June units free from teaching, in order to enable participants to concentrate on their empirical projects. Empirical projects can be done in groups of 1-3 persons, tests are meant to be individual. Written project papers are due by June 30.

· For the first test, we have convened a date, Wednesday, April 29. The date for the second test will be fixed later.

· The data for the Baltagi/Griffin fuel consumption panel is downloadable here. A Stata batch code that was used in the unit on March 16 and operates on this data is available here. Note that Stata batch files cannot be downloaded if they have the correct extension ".do", thus kindly replace the extension ".dox" by ".do" after downloading.

· The Stata code for the two-way fixed-effects and random-effects specifications applied to the Baltagi/Griffin data can be downloaded here. Kindly comment on this code if you encounter anything that looks incorrect.

· For the test on April 29, here is an old role-model test from a comparable course some years ago. Please note that contents and emphasis may change between similar courses. For this test, we convened that the material on slide sections 1 to 3 were valid material, whereas section 4 (dynamic panels) will only be used in the second test.

· Some more on material that was used in the course: The wage data for the Hausman-Taylor estimator can be downloaded here, as well as from Baltagi's page. The code for some panel estimation commands is accessible here. Similarly, this data file contains the North Carolina crime data, again copyright with Baltagi, and this code can be used on it. Note that these ".dta" data files are meant to be read directly into Stata.

· Results for the test of April 29 have been sent to participants by e-mail.

· In the May 13 unit, it was decided to shift the date for the second and final test to June 10, 2015. Material for the second test was the slide sections 4-6, which roughly correspond to Baltagi's book sections 8, 11, 12. Results on this test have been sent to participants by e-mail.

· In some May units, we were using role-model data from Baltagi’s book and applied some methods for limited-dependent panels to them. You can access the data here and a read-in batch here.

· In the unit on May 20, we updated the plan for the June units. Instruction has stopped with that unit. Participants are advised to form groups of up to three persons and to choose topics for their empirical projects. Kindly communicate your plans, i.e. group composition and selected topics, to me. Remember that the project reports are expected by June 30.

· Due to low interest by participants and in slight deviation from the original plan, there are no oral presentations of project papers. I am looking forward to receiving the final reports. For consultation regarding projects, kindly contact me by e-mail.