Advanced Topics in Applied Econometrics
Register* for Upcoming Training
October 31 - November 02
*Please Note: Completing the registration form will result in the generation of an invoice. Payment is expected within 30 days of course completion. Cancellation less than two weeks prior to class start date will result in a cancellation fee equal to 50% of the registration cost. No Exceptions.
Course Overview
This Presented by Dr. Oral Capps, Jr., executive professor and co-director of the Agribusiness Food and Consumer Economics Research Center and holder of the Southwest Dairy Marketing Endowed Chair in the Department of Agricultural Economics at Texas A&M University.
This sequel to Introduction to Applied Econometrics focuses on intermediate/advanced topics in working with econometric models. This course will enable analysts to better understand their economic/business landscape and to improve their ability to make sound forecasts. Through applications, participants gain knowledge of the practical elements of applied econometric analysis. The overall aims are to sharpen the quantitative, statistical, and analytical skills of participants in dealing with problems and issues related to business and economics as well as to improve communication skills in reporting findings to decision-makers.
Learn how to
- detect and circumvent collinearity and ill-conditioning problems in econometric models
- detect and assess data outliers and leverage points
- detect structural change and test the stability of structural coefficients
- incorporate dynamic elements in econometric models principally through the use of distributed lags
- use Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized ARCH (GARCH) models
- use qualitative choice models and censored response models
- use simultaneous-equation models
- use seemingly unrelated regression models
- use panel data in econometric applications (self-study).
Who should attend
Academicians, economists, forecasters, and government and business analysts.
Prerequisites
Before attending this course, you should
- have a basic knowledge of SAS software, including SAS procedures such as PROC REG, PROC AUTOREG, and PROC MODEL
- know the equivalent of the material covered in the Introduction to Applied Econometrics course, specifically data issues inherent with econometric models, the development and estimation of single-equation econometric models, hypothesis testing associated with these models, the construction and interpretation of dummy variables, and the detection and circumvention of serial correlation (autocorrelation) and heteroscedasticity
- have some knowledge pertaining to developing and evaluating ex-post and ex-ante forecasts.
This course addresses SAS/ETS software.
Pricing
Advanced Topics in Applied Econometrics: $2,475
Course Outline
Note: This course will last all day for the length of the course. Most classes will start at 9:00AM and end at 5:00PM.
Detecting and Circumventing Collinearity or Ill-Conditioning Problems
- introduction
- collinearity diagnostics
- solutions to the collinearity problem
- examples
- commentary
Detecting and Assessing Data Outliers and Leverage Points
- background
- influence diagnostics
- solutions to the problem of influential observations
- robust regression techniques
- examples
- commentary
Detecting Structural Change and Testing for the Stability of Structural Coefficients
- introduction
- diagnostic tests for structural change
- example: U.S. gasoline consumption 1960-1995
- illustration of sequential Chow tests
- illustration of the Farley, Hinrich, and McGuire test
- illustration of recursive coefficients, recursive residuals, CUSUM, and CUSUMSQ tests
- commentary
Incorporating Dynamics through the Use of Distributed Lags
- introduction
- approaches to distributed lag models
- sample problem: free-form lag
- sample problem: geometric lag
- sample problem: polynomial distributed lag
- the partial adjustment model
- sample problem: partial adjustment model
- commentary
Autoregressive Conditional Heteroscedasticy (ARCH) and Generalized ARCH (GARCH) Models
- introduction
- the ARCH(q) model
- sample problem: ARCH(q) model
- the GARCH model
- the GARCH-M model variations (linear, square root, and log)
- the GARCH model with autoregressive errors
- example: ARCH/GARCH models for three month returns of SP500
- the threshold GARCH model
- the exponential GARCH (EGARCH) model
- example: exponential GARCH (EGARCH) model
- estimation of GARCH models
- commentary
Qualitative Choice and Censored Response Models
- limited dependent variables
- probit/logit models
- computational methods and statistical considerations for empirical analysis
- sample problem: use of probit analysis
- sample problem: use of logit analysis
- censored response models
- censored samples: use of the Tobit model
- sample problem with the Tobit model
- Heckman sample selection procedure
- sample problem with the Heckman sample selection procedure
- commentary
Simultaneous Equation Models
- modeling approaches
- simultaneous systems
- simultaneous structural models
- types of structural models
- identification issues
- example of order and rank conditions
- common methods of estimation
- simultaneous equation model of demand and supply relationships
- analytically derived reduced forms
- microeconomics specification of simultaneous equation models
- final form of the system
- determining whether a system is stable
- example of stability condition: Klein Model
- specification, estimation, and simulation of a dynamic macroeconomic simultaneous equation model
- commentary
Seemingly Unrelated Regression Models
- seemingly unrelated regression models
- example of seemingly unrelated regression models
- example: demand for a cereal product from five retailers: HEB, Publix, Food Lion, Fred Myer, and Meijer
- seemingly unrelated regression models with restrictions
- Rotterdam Model
- linear approximate almost ideal demand system (LA/AIDS) model
- Example: demand interrelationships for spaghetti sauces: LA/AIDS model
- demand for spaghetti sauce example: use of PROC MODEL
commentary
Pooling of Time-Series and Cross-Sectional Data
- introduction
- to pool or not to pool
- single-equation model specification associated with the pooling of time-series and cross-sectional data or the use of panel data
- typical assumptions when dealing with the pooling of time-series and cross-sectional data: Parks model
- typical assumptions when dealing with the pooling of time-series and cross-sectional data: error components model
- sample problem: the use of pooled OLS, Parks procedure, and error components procedure
- typical assumptions when dealing with the pooling of time-series and cross-sectional data: covariance model
- fixed and random effects
- sample problem: the use of the ANACOVA or LSDV model and the use of the one-way random effects model
- seemingly unrelated regression model (fixed and random effects)
- sample problem: the use of seemingly unrelated regression
- commentary
Course Logistics
Location: FedEx Institute of Technology, 365 Fogelman Drive
Duration: 9:00 AM - 5:00 PM CST
We ask that attendees bring their own device in order to follow along with the class presentations. The temperature in our training room tends to be cooler, we advise you to bring a light jacket or sweater. Parking passes are provided for the garage across to the FedEx Institute of Technology (located on Fogelman Drive).
If you have any additional questions please let us know at fedex@memphis.edu.
Travel Information
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