Econometrics
AGEC 708
NORTH CAROLINA A&T STATE UNIVERSITY
DEPT. OF AGRICULTURAL ECONOMICS AND RURAL SOCIOLOGY
SPRING SEMESTER
Instructor: Anthony Yeboah; Ph.D. Economics
24-A C.H. Moore Agricultural Research Facility
Phone:(336)334-7070
Fax: (336) 334-7658
Required Text: Econometrics G.S. Maddala
Recommended Textbooks: Elements of Econometrics by Jan Kmenta, Econometric Analysis by William H. Greene 2nd edition
Course Objectives: Students are expected to be conversant with the choice of model including choice of variables and definitions and the the appropriate functional form. The use of these models to perform structural analysis, to conduct forecasting and policy formulation will be emphasized..
Course Outline
1. Introduction
1. H. Theil, Introduction in Principles of Econometrics Ch. 1 p. 1-17
2. H. Wold, AEconometrics as Pioneering in Non experimental Model Building@ Econometrica, 37 (July 1969): 369-381
3. Maddala, Econometrics CH. 1, 3, 4, 5, 7.
II Multiple Regression Model
A. Classical Linear Model
1. Maddala, Econometrics, Ch 4
2. J. Kmenta, Elements of Econometrics Ch 10 p. 374-380
B. Selected Applications
1. Z. Griliches, AHedonic Price Indexes for Automobiles: An Econometric Analysis of Quality Change,@ in Readings in Economic Statistics and Econometrics, edited by A. Zellner, Boston: Little Brown and Co.
2. Z. Griliches, AResearch Expenditures, Education and Aggregate Agricultural Production Function,@ Am. Econ. Rev. 54 (Dec. 1964): 961-974.
3. W.E. Huffman, ADecision Making: The Role of Education,@ Am. J. of Agr.Econ. (February 1974)
II Adaptation of Linear Model for Economic Research
A. Choice of functional form, left-out variables, improper linear constraints.
1. General
a) Maddala, Econometrics
b) J. Kmenta, Elements of Econometrics p. 391-406, 466 - 472.
2. Selected Applications
a) J.J. Spitzer, AThe Demand for Money, the Liquidity Trap and the Functional Form,@ International Economic Review, Feb. 1976, pp. 220-27
b) B. Malkiel and J. Makiel, AMale-Female Pay Differentials in Professional Employment,@ Am. Econ. Rev. 63 (Sept. 1973): 693-705
c) Z. Griliches, ASpecification Bias in Estimation of Production Functions,@ J. of Farm Economics, 39 (Feb. 1957): 8-20
B. Exact and Linear Combinations of Variables- Multicollinearity
1. G.S. Maddala, Econometrics, ch 7
2. J. Kmenta, Elements of Econometrics, p. 380-391
C. Disturbances with Unequal Variances
1. General
a) G.S. Maddala, Econometrics, ch. 5
b) J. Johnston, Econometric Methods, p. 214-221
2. Limited and Dummy Dependent Variable
a) G.S. Maddala, Econometrics ch. 8
b) J. Kmenta, Elements of Econometrics, p. 425-430
3. Selected Applications
a) R.W. Wilson, AThe Effect of Technological Environment and Rivalry on R and D Efforts and Licensing of Inventions@ Rev. of Economics and Statistics, May 1977
b) A. Zellner and J.H Lee, AJoint Estimation of Relationships Involving Discrete Random Variables@ Econometrics,33 (April 1965), p. 382-394
D. Correlated Disturbances
1. General
a) Maddala, Econometrics, ch. 6
b) J. Kmenta, Elements of Econometrics p. 269-297
c) J. Johnston, Econometric Methods p. 243-266
2. Selected Applications
a) J.K. Frenkel, AThe Foward Exchange Rate, Expectations, and the Demand for money: The German Hyperinflation,@ Am. Econ. Rev. Sept 1977, p633
b) T.F. Cooley and S.J. De Canio, ARational Expectations in American Agriculture, 1867-1914" Rev. of Economics and Statistics Feb 1977
E. Errors in Variables or Measurement Errors
1. General
a) Maddala Econometrics ch 11.
b) J. Kmenta, Elements of Econometrics, p 309-316
c) J. Johnston, Econometric Methods p. 281-291
2. Selected Applications
a) Z. Griliches, AEstimating the Return to Schooling: Some Econometric Problems@ Econometrica, 45 (Jan. 1977) :1-22
b) M. Friedman, A Theory of the Consumption Function Princeton University Press, 1959
IV Other Topics
A. Introduction to Simultaneous Equations
Maddala, Econometrics, ch 9
B. Models of Expectations
Maddala, Econometrics, ch 10
C. Introduction to Time-Series Analysis
Maddala, Econometrics, ch 13
D. Vector Autoregressions, Unit Roots, and Cointegration
Maddala, Econometrics ch 14.