Weeks | Topics |
1 |
Dynamic Econometric Models
- The Role of “Time,’’ or “Lag,’’ in Economics
- The Reasons for Lags
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2 |
Dynamic Econometric Models (cont)
- Estimation of Distributed-Lag Models
- The Koyck Approach to Distributed-Lag Models
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3 |
Dynamic Econometric Models (cont)
- Rationalization of the Koyck Model: The Adaptive Expectations Model
- Another Rationalization of the Koyck Model: The Stock Adjustment, or Partial Adjustment, Model
- Combination of Adaptive Expectations and Partial Adjustment Models
- Estimation of Autoregressive Models
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4 |
Dynamic Econometric Models (cont)
-The Method of Instrumental Variables (IV)
- Detecting Autocorrelation in Autoregressive Models: Durbin h Test
- A Numerical Example: The Demand for Money in Canada, 1979–I to 1988–IV
- Illustrative Examples
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5 |
Dynamic Econometric Models (cont)
- The Almon Approach to Distributed-Lag Models: The Almon or Polynomial Distributed Lag (PDL)
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6 |
Dynamic Econometric Models (cont)
- Causality in Economics: The Granger Causality Test
Simultaneous-Equation Models
- The Nature of Simultaneous-Equation Models
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7 |
Simultaneous-Equation Models (cont)
- Examples of Simultaneous-Equation Models
- The Simultaneous-Equation Bias: Inconsistency of OLS Estimators
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8 |
Midterm
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9 |
Simultaneous-Equation Models (cont)
- The Simultaneous-Equation Bias: A Numerical Example
- The Identification Problem
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10 |
- Rules for Identification
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11 |
- A Test of Simultaneity
- Tests for Exogeneity
Simultaneous-Equation Methods
- Approaches to Estimation
- Recursive Models and Ordinary Least Squares
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12 |
Simultaneous-Equation Methods (cont)
- Estimation of a Just Identified Equation: The Method of Indirect Least Squares (ILS)
- Estimation of an Overidentified Equation: The Method of Two-Stage Least Squares (2SLS)
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13 |
Simultaneous-Equation Methods (cont)
- 2SLS: A Numerical Example
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14 |
Simultaneous-Equation Methods (cont)
- Illustrative Examples
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