Notes on Teaching Econometrics and Time Series - Houston H. Stokes June 2001
General Comments
Where ever-possible, supply students with hand outs on all aspects of the course. The
problem is will they read them? Solution is to have handouts on line to facilitate “just in
time” use. Sample jobs can be cut and pasted out of IE or Netscape into pico to get task
up and running on a Unix machine. Goal: Get students on Unix early! Students have
“fear” of computer and will delay working until the last moment. In-class student running
of B34S designed to reduce the “fear factor.” Teams for projects facilitate students
talking among themselves concerning the analysis and its needs. Should teams be
mandated? How many on a team? My tentative answers are no and 2 (max of 3).
B34S has sample jobs for all commands and all 400+ Matrix commands. Sample jobs are
templates to be modified. B34S menu command “writes” jobs and the B34S shell can
also be used to build up a job quickly. Test jobs can also be modified. Goal: => let
students experiment with alternative techniques.
All students given “free” B34S to allow work at home. Students need to see that what
they learn can be taken with them. Projects are not an end in themselves. Projects are to
develop skills and confidence. Goal: Get students realize they are building skills for their
own use.
The Linux machine class2.econ.uic.edu allows students access to:
Software
CPU cycles
Fortran compilers and libraries (IMSL) that facilitate research.
Stokes can only supply B34S. Other software needs to be tried and used. Department
budget does not allow multiple student computers with multiple copies of the software.
The Linux machine class1.econ.uic.edu allows students to obtain access to SAS, RATS,
Interacter, IMSL, Fortran, GAUSS manuals. Up the availability of this facility programs
such as SAS with many manual were NOT usable by students!! Goal: Provide access to a
variety of software and easy links from B34S.
Data Sets for Study:
Over 100,000 lines of data supplied with system. All datasets in text are on line and
available to facilitate experimentation. All examples in Specifying and Diagnostically
Testing Econometric Models can be run and is supplied with the B34S software on all
platforms. Problem: Students tell me that they do not know how to load data. Such
students should look at the B34S data step. B34S command language very like SAS.
Goal: By having a large number of datasets students can easily try the example in the
books and experiment. Replication work is also facilitated.
Use of other software:
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Notes on Teaching Econometrics and Time Series - Houston H. Stokes June 2001
B34S provides links to RATS, SAS, SPEAKEASY, MATLAB, LIMDEP, GAUSS, SCA
to facilitate using just the right tool for the analysis without having to prepare data files.
Display Manager allows user to access all systems and test with little time cost.
Goal: Get students up on other systems quickly.
What course is like
Economics 535 designed as a “hands on course” where students, via work on projects, are
exposed to a wide range of data analysis problems. Since class assignments are on line
way before the class, students have time to get going prior to the class. Former students
can see what is new and renew their skills.
Projects designed to expose students to a wide range of problems.
Problem: If problems are used year after year, answers will get out => revise projects.
Some projects are just too good to give up (GUNFIELD). Do not want to penalize serious
students just because a few try to cut corners. Those who cut corners are really hurting
themselves!
Goal: Expose students to the fact that the courses 535, 537, 538 are a resource that can be
used after graduation to keep up in the field. All course materials are on the web for
access during the course and after.
Projects designed to build on each other:
Initial projects deal with:
Testing for multicollinearity, heteroskedasticity, serial correlation.
Testing for dynamic specific
GLS
In every case projects treat OLS as a special case. The limitations of OLS are well as its
strengths are stressed.
In recent years projects that involve nonlinear methods are being phased in. Such projects
involved redesigning the B34S to allow the user to specify complex models in a 4th
generation programming language. RATS and B34S are used in this aspect of the course.
Students obtain nonlinear templates that can be modified for other uses.
Custom Calculations / Student Programming Ability:
Modern econometric research requires the capability to program calculations. While
Fortran and C are usually not needed, access to a programming language such as
MATLAB, SPEAKEASY, GAUSS or the B34S Matrix command is important.
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Notes on Teaching Econometrics and Time Series - Houston H. Stokes June 2001
RATS and LIMDEP can be “programmed” but these systems are not true programming
languages. To try to rely on just RATS is to accept a limitation on what you can do.
In recent years a number of students have taken advantage of the programming capability
available on class2. These students pushed the B34S matrix command and in some cases
used the IMSL library with the Lahey Fortran compiler. Results were cross checked
against each other!
Many papers come with MATLAB or GAUSS programs. SPEAKEASY and the Matrix
command have easy to understand error messages. MATLAB is OK in this area. GAUSS
and RATS, while powerful, are very hard to debug!!
Use of B34S interface reduces the amount of programming that is needed.
Goal: Get students in the “point and click generation” over the fear of programming. Let
them realize that programming frees them in a very real sense. Anything they understand
can be programmed. By programming they test their understanding!!
Characteristics of a good project:
In “learning projects” student is told what to estimate. Not all pitfalls are laid out.
As problems arise, teacher offers help. “Problems” that occur have been discussed
in class but not with respect to this project. Student learns and obtains confidence
by getting out of problems as they occur. Teacher does not lead by the hand BUT is
available to help out.
“Intermediate projects” involve a dataset that is similar to that used for a journal article.
Many projects involve replication of published work. In other projects, student does not
know what the model is and needs to experiment with specification. Data building
problems have to be dealt with. These include whether to log or lag
etc and what
data actually to use. In time series projects, the issue of the time period must be tested
with RR analysis. Functional form issues have to be confronted.
“Advanced projects” are open ended. In early days of teaching the assignment was “write
an econometric paper.” Students spent a great deal of time on the data and the analysis
suffered. In recent years, I have supplied the data but given the student freedom. The
recent 535 finals have been a very rewarding experience for many students.
Goal: Train students to do econometric research a step at a time.
Display of results:
Students encouraged to write up their work in tables. Assignments that are just copies of
computer printout are to be discouraged.
Many students leave their assignments to the last moment. I do not know how to deal
with this problem.
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Notes on Teaching Econometrics and Time Series - Houston H. Stokes June 2001
Goal: Make students realize that they may not know just what they have found until they
write it up. Waiting too long before writing things up is not a good idea. A thesis /
research project is built a step at a time.
Linear Algebra.
Students have stated that they feel weak in matrix methods. In Economics 535 in 2001 a
MATLAB file was developed and run. Students can cut and paste from this file to run
MATLAB or look at the answers. This setup is in place of the SPEAKEASY paper
written by Stokes on LINPACK.
For 2002 Chapter 16 of the revision of Stokes (1997) has been prepared. This chapter
outlines the Matrix command capability and shows a number of Linear Algebra issues
that include:
LU factorization
Cholesky factorization
QR factorization
SVD factorization
Eigenvalue decomposition
Schur factorization
PC regression.
Idempotent matrix M
Generalized Inverse
Goal: Expose students to programming at the level of MATLAB and the B34S matrix
command.
Teacher Role
Teacher is available through face to face meetings or with E-mail to debug problems.
When on class2, both teacher and student can log into the same account at the same time
to run jobs and discuss the output. It helps if students have two lines.
Some students seem to require more help that others. Many students not able to run
editors. When 534 requires RATS projects, the students come into the class with much
more preparation than when this is not the case.
Goal: Teacher is in the back ground for help but not “hovering” or “over directing” the
projects. Students learn by discussing among themselves just what they have found.
Grading 6 projects plus one final very time consuming but necessary!
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