ECO 648
Applied Macroeconomics
University of North Carolina at Greensboro
Spring 2002
Tuesday/Thurdsday, 9-10:45 am
Lectures in 456 Bryan Bldg
Computer Lab in 211 Bryan Bldg.
Instructor: Dr. Peter Bearse
UNCG Office: 447 Bryan Bldg.
UNCG Office Phone: (336) 334-4871
UNCG email: bearse@uncg.edu
Office Hours: Tuesday, Thursday, 11 - 2 pm and by appointment. Office
hours are held in 447 Bryan Bldg.
Course Goals: To provide an applied foundation for the analysis of
stationary and nonstationary univariate macroeconomic time series data.
Course Texts:
(Required)
1. Diebold, Francis X., Elements of Forecasting, 2nd Edition (Cincinnati,
OH: South-Western, 2001)
2. Enders, Walter. Applied Econometric Time Series (New York: John
Wiley & Sons, Inc., 1995).
(Optional)
1. Enders, Walter. RATS Handbook for Econometric Time Series (New
York: John Wiley & Sons, Inc., 1996).
(Other Useful References)
1. Hamilton, James D. Time Series Analysis (Princeton, NJ: Princeton
University Press, 1994).
2. Pindyck, Robert S. and Daniel L. Rubinfeld, Econometric Models and
Economic Forecasts, Third Edition (New York: McGraw-Hill, 1991).
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Grading: Three Midterms (10%, 30%, 30%) and Comprehensive Final
(30%). The Þnal exam is scheduled for noon-3 pm, Monday, May 8, 2000.
Additionally, you will be assigned three problem sets. These will not be
graded, but will certainly be useful preparation for graded materials. Students are expected to be able to present the solutions to these problems in
class.
Honor Code: Students are expected to know and abide by the UNCG
Academic Honor Code in all matters pertaining to this course.
Lecture and Computer Lab Attendance: Your choice.
Course Outline
• Tuesday, Jan. 15: (Lecture, Bryan 456) Syllabus. Course overview.
Read: Enders, pp. 1-7 (Brief overview of econometric time series
modeling); Diebold, pp. 13-26 (Review of linear regression from a
forecaster’s perspective)
Difference Equations
• Thursday, Jan. 17: (Lecture, Bryan 456)
— Solving Þrst order difference equations recursively – Set 1 of notes
Read: Enders, pp. 1-15.
• Tuesday, Jan. 22: (Lecture, Bryan 456, Problem Set 1 Distributed)
— Solving pth order difference equations recursively – Set 2 of notes.
• Thursday, Jan. 24: (Lecture, Bryan 456)
— Solving difference equations using the Lag Operator – Set 3 of
notes.
Read: Enders, pp. 45-48.
• Tuesday, Jan. 29: (Lecture, Bryan 456)
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— Solutions to Problem Set 1
• Thursday, Jan. 31: (Lab, Bryan 211)
— Solutions to Problem Set 1 (cont’d)
• Tuesday, Feb. 5: (Bryan 456)
— MIDTERM I
ARMA Models
Read: Enders, pp. 63-95, 99-119
• Thursday, Feb. 7: (Lab, Bryan 211)
— COMPUTER LAB # 1 – Introduction to RATS
• Tuesday, Feb. 12: (Lecture, Bryan 456)
— Stochastic pth order difference equations; Stationarity – Set 4 of
notes.
• Thursday, Feb. 14: (Lab, Bryan 211)
— COMPUTER LAB # 2: Simulating ARMA Models
• Tuesday, Feb. 19: (Lecture, Bryan 456)
— Set 4 of notes (cont’d)
• Thursday, Feb. 21: (Lab, Bryan 211)
— COMPUTER LAB # 3: Introduction to the SACF and SPACF
in RATS
• Tuesday, Feb. 26: (Lecture, Bryan 456)
— Set 5 of notes
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• Thursday, Feb. 28: (Lab, Bryan 211)
— COMPUTER LAB # 4: Examples of SACF and SPACF with
simulated and real time series.
• Tuesday, Mar. 5: (Lecture, Bryan 456)
— Set 6 of notes
• Thursday, Mar. 7: (Lab, Bryan 211)
— COMPUTER LAB # 5: The Box-Jenkins Approach to Forecasting ARMA models; Selecting models with AIC and SBC.
• Tuesday, Mar. 12: (Spring Break)
• Thursday, Mar. 14: (Spring Break)
• Tuesday, Mar. 19: (Lecture, Bryan 456, Problem Set 2 Distributed)
— Set 7 of notes
• Thursday, Mar. 21: (Lab, Bryan 211)
— Solutions to Problem Set 2, Question 5.
• Tuesday, Mar. 26: (Lecture, Bryan 456)
— Solutions to Problem Set 2, Questions 1 - 4.
• Thursday, Mar. 28: (Bryan 456)
— LECTURE PORTION OF MIDTERM II
— Lab Portion of Midterm II Distributed as a Take-Home
ARCH Models, Unit Roots, and ARIMA Models
• Tuesday, Apr. 2:
— Set 8 of notes (ARCH Models)
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— Read: Enders, pp. 135-146, 149-151, 158-165; Diebold, Chapter
12.
• Thursday, Apr. 4: (Lab, Bryan 211)
— LAB PORTION OF MIDTERM II due at beginning of
class
— COMPUTER LAB # 6: ARCH Modeling in RATS
• Tuesday, Apr. 9: (Lecture, Bryan 456)
— Set 9 of notes (Unit Roots and ARIMA Models)
— Read: Enders, pp. 95-99, 166-185, 211-228, 233-238
• Thursday, Apr. 11: (Lab, Bryan 211)
— COMPUTER LAB # 7: Testing Univariate Time Series for Unit
Roots using RATS
• Tuesday, Apr. 16: (Lecture, Problem Set 3 Distributed)
— Discussion of ‘Variable Trends in Economic Time Series’ by J.
Stock and M. Watson (Journal of Economic Perspectives, Summer 1998, pp. 147-174). [Note: This article is available through
www.jstor.org.]
— Set 10 of notes
• Thursday, Apr. 18: (Lab, Bryan 211)
— COMPUTER LAB # 8: Forecasting with ARIMA Models using
RATS
• Tuesday, Apr. 23:(Lecture, Bryan 456)
— Discussion of ‘Trends and Random Walks in Macroeconomic Time
Series’ by C. Nelson and C. Plosser (Journal of Monetary Economics, 1982, v10, pp. 139-162). [Note: This article can be accessed online through Jackson Library’s Journal Finder.]
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— Set 11 of notes
• Thursday, Apr. 25: (Lab, Bryan 211, Midterm III distributed as a
takehome)
— COMPUTER LAB # 9: Forecasting with Vector Autoregressive
Time Series Models using a Genetic Algorithm
• Tuesday, Apr. 30: (Lecture, Bryan 456)
— Solutions to Problem Set 3 (Analytical Parts)
• Thursday, May 2: (Lab, Bryan 211)
— Solutions to Problem Set 3 (RATS Parts)
• Tuesday, May 7: (Lecture, Bryan 456)
— MIDTERM III due at beginning of class
— Review for Final Exam
• Thursday, May 9, 2002, 8-11 am: (Bryan 456)
—
Comprehensive Final Exam
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