Previous Lecture Courses

Teaching

Courses, Michaelmas 2010

PhD 31 Advanced Econometrics - II

• Course Outline and Reading List: PhD31_10(Pesaran-Macro).pdf
• Exercises: Exercises(pHd31)-Oct10.pdf
• Multivariate Linear Rational Expectations Models: 1997-ET-Multivariate-linear-rational(withBinder).pdf
• Multivariate Analysis: Multivariate-Analysis-VARs-(versionNov2010).pdf

Courses, Michaelmas 2009

PhD12 - Subject 340: Advanced Topics in Macroeconometrics - II

• Course Outline and Reading List: PhD12_09(Pesaran-Macro).pdf
• Simultaneous Equations Estimation: SimultaneousEquationsEstimation.pdf
• RE Solution Benati (8-Oct-09): RESolutionBenati(8-Oct-09).pdf
• Luca Benati - 2009 Counterfactuals: LucaBenati-2009Counterfactuals.pdf
• 1997 ET Multivariate linear rational (with Binder): 1997ETMultivariatelinearrational(with Binder).pdf
• Exercises (updated Oct 09): Exercises(pHd12)Oct09.pdf
• Notes on Generalized Method of Moments: GMM_Oct_09.pdf

Courses, Michaelmas 2008

PhD 11: Advanced Econometrics, Analysis of Heterogeneous Panel Data Models

• Course Outline and Reading List: Phd11_08-09(Pesaran-Panel).pdf
• Panel Data Models: Some Basic Concepts: PanelBasics(I).pdf
• Exercises (updated Jan 09): SwamyMGE.pdf
• Dynamic Panel Data Models with Homogenous Slopes: PanDynHom(II).pdf
• Heterogeneous Panel Data Models: PanHetroBasics(III).pdf
• Tests for Unit Roots in Panels: PanUnitBasics(IV).pdf

PhD12 - Subject 340: Advanced Topics in Macroeconometrics - II

• Course Outline and Reading List: PhD12_08-09(Pesaran-Macro).pdf
• Simultaneous Equation Estimation: SimulEquation.pdf
• Exercises: Exercises(pHd12)Oct08.pdf
• Part III Stochastic Processes (extracts from book): BookPesaranFeb08.pdf

PhD 15: How to do Economics?

• Course Outline and Reading List: PhD15_How_to_do_Economics(Pesaran 2009).pdf
• Slides 1: HowSlide1(Jan 2009).pdf
• The Young Person’s Guide to Writing Economic Theory: Thomson_JEL_Theory_Writing.pdf
• How to Write Economics? How_to_Write_Economics_Slide2(Jan2009).pdf
• Writing Tips for Ph. D. Students: phd_paper_writing (John Cochran).pdf

Courses, Michaelmas 2007

PhD 11: Advanced Econometrics, Analysis of Heterogeneous Panel Data Models

• Course Outline and Reading List: HetroPanel(outline)Jan07.pdf
• Lecture Notes I - Panel Data Models: Some Basic Concepts: PanelBasics(I).pdf
• Lecture Notes II - Dynamic Panel Data Models with Homogenous Slopes: PanDynHom(II).pdf
• Lecture Notes III - Heterogeneous Panel Data Models: PanHetroBasics(III).pdf
• Lecture Notes IV - Tests for Unit Roots and Cointegration in Panels: PanUnitCointSummary(IV).pdf
• Swamy’s Random Coefficient Model and its Relation to the Mean Group Estimator: SwamyMGE.pdf

Courses, Michaelmas 2007

PhD12 - Subject 340: Advanced Topics in Macroeconometrics - II

• Course Outline and Reading List: M340_06(pesaran).pdf
• Lecture Notes - Advanced Time Series: PesaranTimeSeriesLectureNotes(October07).pdf

Courses, Lent 2007

PhD Subject 11: Advanced Econometrics I

• Course Outline and Reading List: HetroPanel(outline)Jan07.pdf

Courses, Michaelmas 2006

PhD Subject 340: Advanced Topics in Macroeconometrics

• Course Outline and Reading List: M340_06(pesaran).pdf
• Lecture Notes 2

Courses, Easter 2006

Subject 220: Growth Empirics

• Outline of the Course: outlineGrowthEmpirics.pdf
  
• Exercises: S220_Exercise(2006).pdf
  
• Solutions to questions 5&6 of 2005 Exam for S210: SolutionS210Questions5&62005.pdf

Courses, Michaelmas 2005

Subject 340: Advanced Topics in Econometrics

• Course Outline: Advanced Topics in Macroeconometrics
• Handouts
• Exercises

Courses, Lent 2004-05

• Part I Paper 3
• Course Outline
• Handouts
• H1: Scope of Econometrics
• H2: Financial Data - Descriptive Statistics
• H3: Basic Econometrics - Fitting Engel Curves
• Data files: (nb. to save, right click on item and select 'Save Target as')
  psidg.xls, psidh.xls, psidg.fit, psidh.fit, psidh8889.fit
• H4: Market Efficiency - Evidence from Return Regressions
• Data file: (nb. to save, right click on item and select 'Save Target as')
  ukus.fit
• H5: Term Structure of Interest Rates
• Data file: (nb. to save, right click on item and select 'Save Target as')
  Termus.fit
• Classes
• Introduction to Econometrics: Problem Set 1
• Introduction to Econometrics: Problem Set 2
• Exercises

• MPhil - 220 Growth Empirics
  • Course Outline: Growth Empirics

• MPhil - 330 Advanced Econometrics Module II
  • Course Outline: Macroeconometrics
  • Handouts
  • Exercises
  1. Exercises

Course Outlines for 1999-2000

Prelim Paper 5: Introduction to the Theory and Practice of Econometrics

• Lecture Outline
• Lecture Handouts:
  • Introduction to Microfit for Windows
  • Examples of Simple Hypothesis Testing
  • Relationship between Two Variables
  • Multiple Regression
  • Hypothesis Testing in Regression Models
  • The Multicollinearity Problem
  • Heteroscedasticity
  • Autocorrelated Disturbances
  • An Introduction to Dynamic Models
  • Testing for Unit Roots in UK Exchange Rate, Domestic and Foreign Prices
  • Capital Stock, Investment, Output and Profits in the UK Manufacturing Sector
  • Estimating Engel Curves and Almost Ideal Demand Systems
  • (Variables/Tables/Graphs)
  • Growth and Convergence, Using Cross-Sectional and Panel Data
     
• Data used in Lectures
  Download the file p5.exe into an appropriate directory, then double click on it in Explorer or Program Manager to unpack the contents)
• Class Assignments
  

MPhil Subject 310: Topics in Advanced Econometrics

• Lecture Outlines:
  • Macroeconometrics
     
  • Panel Data Models(Note:  For 2000 this course will be offered by Professor
    Manuel Arellano, Visiting Professor, CEMFI Madrid)
    Readings