Class materials and related resources of Advanced Econometrics

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ECN/EEC676 Advanced Econometrics, Spring 2010This site provides links to class materials and related resources for econometrics.
CLASS MATERIALS

• BayesGen.g   A Gauss program illustrating Bayesian regression with a normal prior distribution on slope parameters
• BayesIC2.g   A Gauss program illustrating Bayesian regression with inequality constraints
• BayesICCI.g   A Gauss program illustrating computation of posterior credible intervals
• beetle.m   A Matlab program illustrating ML estimation of a logistic regression. It calls a function provided by NR_logistic.m and uses data from beetle.dat. The inputs and outputs are displayed in NRlogistic.pdf
• FIML-3SLS.g   A Gauss program illustrating FIML and 3SLS estimation
• GCSR.m   A Matlab program for a simple example of Gibbs sampling described by Gelman, Carlin, Stern, and Rubin
• gdpgrowth1960i-2009iv.txt   Data on the annualized quarterly percentage growth rate of U.S. real GDP from the first quarter of 1960 to the last quarter of 2009
• lags.prg   A RATS program to estimate a distributed lag using a smoothness prior and Gibbs sampling. Data come from rates.rat
• matrixalg.g   A Gauss program illustrating basic matrix operations. Data come from matrixalg.asc
• matrixalg.R   An R program illustrating basic matrix operations. Data come from matrixalg.data
• mwg.m   A Matlab program illustrating the Metropolis within Gibbs procedure
• scivdp.g   A Gauss program to compute scaled condition indexes and variance decomposition proportions
• scivdp.m   A similar Matlab program
• scivdp.R   A similar R program
• sur.m   A Matlab/BACC program illustrating estimation of seemingly unrelated regressions
• syllabus
• TB3m1960i-2009iv.txt   Data on the nominal percentage interest rate on U.S. Treasury bills with three-month maturities, from the first quarter of 1960 to the last quarter of 2009
• Tbond10y1960i-2009iv.txt   Data on the nominal percentage interest rate on U.S. Treasury bonds with ten-year maturities, from the first quarter of 1960 to the last quarter of 2009

RESOURCES FOR ECONOMETRICIANS

• Abadir and Magnus   Notation in Econometrics: A Proposal for a Standard. The recommended notation is facilitated by the LaTeX style file ee.sty
• American Statistical Association,   Business and Economic Statistics Section
• BACC   Bayesian Analysis, Computation, and Communication
• BUGS   Bayesian Analysis Using Gibbs Sampling
• Bureau of Economic Analysis
• DPD   Dynamic Panel Data programs for Gauss and Ox
• EconData   Time series assembled by Inforum at the University of Maryland
• EconLit   Index and abstracts covering publications in economics
• Econometric Society
• Econometric Reviews
• Econometrics Journal
• Emacs   Editor Macros
• ESS   Emacs Speaks Statistics
• Farnsworth   Grant Farnsworth's "Econometrics in R"
• FRED   Data from the Federal Reserve Bank of St. Louis
• Gauss   Tutorials and white papers for the Gauss programming language
• Geweke   Supplements to John Geweke's Contemporary Bayesian Econometrics and Statistics
• GNU Project   Free software
• Greenberg   Supplements to Edward Greenberg's Introduction to Bayesian Econometrics
• ISBA   International Society for Bayesian Analysis
• JAGS   Just Another Gibbs Sampler
• Journal of Applied Econometrics
• Kleiber   Computer supplements to Kleiber and Zeileis's Applied Econometrics with R
• Leamer   Edward Leamer's classic book, Specification Searches: Ad Hoc Inference with Nonexperimental Data
• [url=http://0-www.ams.org.helin.uri.edu/mathscinet/search.html]MathSciNet[/url]   Index and abstracts of mathematical publications
• MathWorld   Math encyclopedia
• Matlab   A commercial matrix programming language, installed in some URI computer labs
• Mittelhammer   Supplements to Mittelhammer, Judge, and Miller's Econometric Foundations
• Octave   A free (GNU) matrix programming language, similar to Matlab
• Ox   A fast object-oriented matrix language developed by Oxford econometricians
• PlanetMath   Math encyclopedia, papers, and books under GNU Free Documentation License
• R   A free (GNU) language for statistical computing, similar to S
• Reproducible econometric research   Why and how to do it
• RFE   Bill Goffe's Resources for Economists on the Internet
• S   An object-oriented language designed to facilitate data analysis
• SAGE   Open-source mathematics software
• Scilab   A scientific software package, similar to Matlab, but distributed free of charge
• Train   Kenneth Train's Discrete Choice Methods with Simulation
• TUG   TeX Users Group

Last modified: January 24, 2010
John P. Burkett
Department of Environmental and Natural Resource Economics
Coastal Institute
University of Rhode IslandKingston, RI 02881
phone (401) 874–9195
email burkett at uri dot edu

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