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YOUR ECONOMETRICS PAPER

BASIC TIPS

There are a couple of websites that you can browse to give you some ideas for topics and data. Think about what you want to do with this paper. Econometrics is a great tool to market when looking for jobs. A well-written econometrics paper and your presentation can be a nice addition to your resume.

You are not expected to do original research here. REPLICATION of prior results is perfectly acceptable.

Read Studenmund's Chapter 11.

One of the most frustrating things in doing an econometrics paper is finding the data. Do not spend a lot of time on a topic before determining whether there is data available that will allow you to answer your question. It is a good idea to write down your ideal data set that would allow you to address your topic. If you find that the available data is not even close to what you had originally desired, you might want to change your topic.

Also, remember that knowing the location of your data – website, reference book, etc – is not the same as having your data available to use. It may take a LONG time to get the data in a format that EVIEWS can read. Do not leave this till the last minute.

For most data, I enter the data into Excel first. I save the Excel sheet in the oldest version, namely MS Excel Worksheet 2.1 . The reason is that format can be read by most programs whereas newer formats may or may not be read. Eviews easily reads an Excel sheet 2.1 version. You should use the first row to label your columns (variables). Be sure to follow the naming conventions in Eviews and do not use 'C' or 'RESIDUALS'. Eviews can only use numeric data.

A warning for time series analysis - In order to find interesting results, you need variation in your data. For example, it would be difficult to find the effect of defense spending on American manufacturing industries if...

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...This page intentionally left blank Introductory Econometrics for Finance SECOND EDITION This best-selling textbook addresses the need for an introduction to econometrics speciﬁcally written for ﬁnance students. It includes examples and case studies which ﬁnance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the ﬁrst edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts. Key features: ● Thoroughly revised and updated, including two new chapters on ● ● ● ● ● ● panel data and limited dependent variable models Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and conﬁdence to estimate and interpret models Detailed examples and case studies from ﬁnance show students how techniques are applied in real research Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results Gives advice on planning and executing a project in empirical ﬁnance, preparing students for using econometrics in practice Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods Thoroughly class-tested in leading ﬁnance schools Chris Brooks is Professor of Finance...

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...A Guide to Modern Econometrics 2nd edition Marno Verbeek Erasmus University Rotterdam A Guide to Modern Econometrics A Guide to Modern Econometrics 2nd edition Marno Verbeek Erasmus University Rotterdam Copyright 2004 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England Telephone (+44) 1243 779777 Email (for orders and customer service enquiries): cs-books@wiley.co.uk Visit our Home Page on www.wileyeurope.com or www.wiley.com All Rights Reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to permreq@wiley.co.uk, or faxed to (+44) 1243 770620. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required,...

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...Оценивание отдачи от образования. Данные из учебника Manno Verbeek “A guide to Modern Econometrics” http://www.econ.kuleuven.ac.be/GME/ Файл schooling содержит данные Национального панельного опроса 1976 года молодых мужчин (NLSYM, проживающих в США. Переменные в файле и их описание: ￼smsa66 1 if lived in smsa in 1966 1 Семинары по эконометрике, 2013 г. smsa76 1 if lived in smsa in 1976 nearc2 grew up near 2-yr college nearc4 grew up near 4-yr college nearc4a grew up near 4-year public college nearc4b grew up near 4-year private ed76 education in 1976 ed66 education in 1966 age76 age in 1976 college daded dads education (imputed avg nodaded 1 if dads education imputed momed mothers education nomomed 1 if moms education imputed momdad14 1 if lived with mom and dad sinmom14 1 if single mom at age 14 step14 1 if step parent at age 14 south66 1 if lived in south in 1966 south76 1 if lived in south in 1976 lwage76 log wage in 1976 (outliers trimmed) famed mom-dad education class (1-9) black 1 if black wage76 wage in 1976 (raw, cents per hour) enroll76 1 if enrolled in 1976 kww the kww score iqscore a normed IQ score mar76 marital status in libcrd14 1 if library card exp76 exp762 experience in 1976 exp76 squared 1976 (1 if married) in home at age 14 if missing) at age 14 1.1. Оцените простую линейную модель регрессии: reg lwage76 ed76 exp76 exp762 black smsa76 south76 est store ols 1.2. Проверка мультиколлинеарности: vif 1.3. Проверка......

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...Mostly Harmless Econometrics: An Empiricist’ Companion s Joshua D. Angrist Massachusetts Institute of Technology Jörn-Ste¤en Pischke The London School of Economics March 2008 ii Contents Preface Acknowledgments Organization of this Book xi xiii xv I Introduction 1 3 9 10 12 16 1 Questions about Questions 2 The Experimental Ideal 2.1 2.2 2.3 The Selection Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Random Assignment Solves the Selection Problem . . . . . . . . . . . . . . . . . . . . . . . . Regression Analysis of Experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . II The Core 19 21 22 23 26 30 36 38 38 44 47 51 51 3 Making Regression Make Sense 3.1 Regression Fundamentals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.1.1 3.1.2 3.1.3 3.1.4 3.2 Economic Relationships and the Conditional Expectation Function . . . . . . . . . . . Linear Regression and the CEF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Asymptotic OLS Inference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Saturated Models, Main E¤ects, and Other Regression Talk . . . . . . . . . . . . . . . Regression and Causality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2.1 3.2.2 3.2.3 The Conditional Independence Assumption . . . . . . . . . . . . . . . . . . . . . . . . The Omitted Variables Bias Formula . ....

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...1. In the population model: cigsi = βo + β1educi + ui a) Interpret the coefficient β1. β1 represents the slope of the regression line and is the change in cigs associated with a unit change in educ. So for one unit increase of educ there will be β1 units increase/decrease (depending on the sign of β1) in the cigs. b) Can you predict the sign of β1 (without doing any estimation)? Explain. The sign of β1 would most probably be minus looking at the information from the surveys in the excel spreadsheet. The education value is always a positive number (educi > 0), βo is also a positive number (the intercept with y, as cigsi >=0). In this way in order for the number of cigarettes to be equal to 0, the β1 value should be negative. 2. Use the data in SMOKE.sav (see Blackboard) to estimate the model from question 1. Report the estimated equation in the usual way. Also, plot a handwritten graph of the estimated equation. cigs = 11,412 – 0,219 educ 3. Does educ explain a lot of the variation in the number of cigarettes smoked? Explain. The regression R2 is the fraction of the sample variance of cigsiexplained by (or predicted by) educi. In this example R2 equals to 0,002 and this amount is closer to 0, which means that the regressor educ is not very good at predicting the value of cigs, thus does not explain a lot of the variation in the number of cigarettes smoked. 4. Find the predicted difference in number of smoked cigarettes for two people...

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...International Conference On Applied Economics – ICOAE 2010 299 DOES STOCK MARKET DEVELOPMENT CAUSE ECONOMIC GROWTH? A TIME SERIES ANALYSIS FOR BANGLADESH ECONOMY MD. SHARIF HOSSAIN (PH. D.)1 - KHND. MD. MOSTAFA KAMAL2 Abstract In this paper the principal purpose has been made to investigate the causal relationship between stock market development and economic growth in Bangladesh. To investigate long-run causal linkages between stock market development and economic growth the Engle-Granger causality and ML tests are applied. In this paper another attempt has been made to investigate the non-stationarity in the series of stock market development and economic growth by using modern econometric techniques. The co-integrated tests are applied to know whether this pair of variables shares the same stochastic trend or not. From our analysis it has been found that the stock market development strongly influences the economic growth in Bangladesh economy, but there is no causation from economic growth to stock market development. Thus unidirectional causality has prevailed between stock market development and economic growth in the Bangladesh economy. Also it has been found that all the variables are integrated of order 1, and both the variables stock market development and economic growth share the same stochastic trend in Bangladesh economy. JEL Code: C010 Key Words: Stock Market Development, Causal Relationship, Non-stationarity, Unit Root Test, Co-integrated......

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...Impact of Education on Growth 27.05.2015 Applied Econometrics İpek Tuğrul 15415 İpek Tuğrul 15415 27.05.2015 Term paper: Impact of Education on Growth As a basic theory which is always taught in economics, the effect of education on the economic growth of a country is always positive. In order to further verify this theory, the authors of many books provide examples which complement it. If we go deep into this theory and search for other evidence, we come across different researches done by economists and statisticians who have analyzed the theory to a great extent. In order to differentiate their studies they have done their empirical research on the subject by using different econometric models. Even though the underlying result i.e. derived from their research is the same, yet these models have different comprehensive implications, something which will also be discussed in our review. As a part of our review we have taken four different research paper written by different researchers, which have the same fundamental scope. However, the origins of these researches are subject to geographical changes and this has been done in order to prove our basic rationality of the theory. The critical reviews consist of the methods used by the authors and the way they have tried to analyze the empirical evidence by using econometric models. The first article which we will be reviewing in our...

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