Class Notes

1. Review
2. Regression Review using Stata
   
3. Time Series: Regression with Stationary Data
• Introduction
• Stata Commands:  Defining time series, time-series plots, lag and difference operators
• Finite distributed lags
• Finite distributed lags in Stata
• More Stata code for Finite Dist Lag Models
• Serial Correlation with more stuff on the BG test
• Estimation of AR(1) Models
• ARDL and model selection and Okun Analysis and some more Stata Code for model selection and output.
• Multiplier Analysis based on ARDL
• Miscellaneous notes, okun_ardo.do, okun_ardl_modelselect.do
  
4. Nonstationary Data
• Non-Stationarity: Trends
• ADF, ADF-GLS, KPSS in gretl: Using arima
  
• Non-Stationarity: Breaks
• QLR Test in Stata
  
• DF vs. DF-GLS. For data, http://www.stata-press.com/data/r11/lutkepohl2
• ARIMA forecasts using Stata and data: use http://www.principlesofeconometrics.com/poe4/data/stata/usa.dta 
5. Spurious regressions
6. Cointegration and the Error Correction Model with Stata lesson.  The ECM.do file.
7. DOLS to estimate the cointegrating vector.
8. VAR and VEC Models
• VECM Stata lesson
• VAR Stata lesson
• VAR .do file
• gdp.dta and fred.dta data sets
• IRF/FEVD and a Stata lesson.
9. ARCH/GARCH with Stata lesson and a do file
10. Instrumental Variables
11. Proxy Varianbles and IV specification issues
12. Cragg-Donald
    
13. SEM and an IV Stata file
14. Binary Choice
15. Binary Choice in Stata