S1 – Applied Econometrics with Stata

FSEG – Master second year – MPE

The series that will be used during the seminar of Applied Econometrics with Stata are available on FRED. This tutorial project is for those who have chosen the ‘Professional’ option and for those who have chosen the ‘Research’ option. The slides and the codes for the lectures are available on Moodle. Besides, the final evaluation consists in hand in a report on an application of the threshold model to a macroeconomic problem picked by themselves. The report should include 20 pages (10 pages per student). You can select a subject with the following survey: Hansen (2011) about threshold models. The reports (with the Stata file and the database in Excel format) must be uploaded to Moodle by Sunday, February 27, 2022, at midnight.

Tentative syllabus

  • Séance 1. Prise en main du logiciel
    • Informations pratiques
    • Rappel en économétrie
    • Création d’un Do-file
  • Séance 2. Modèles linéaires et tests d’hypothèses
    • Modèles linéaires
    • Tests d’hypothèses
  • Séance 3. Processus stationnaires et intégrés
    • Modèles linéaires
    • Tests d’hypothèses
  • Séance 4. Modélisation vectorielle auto-régressive (VAR)
    • Bases de données
    • La théorie quantitative de la monnaie
    • Modélisation VAR
  • Séance 5. Cointégration et modèle à correction d’erreur
    • Régressions fallacieuses
    • Relation entre consommation et revenu
    • Test de cointégration
    • Équation dynamique et cointégration
    • Modèle à correction d’erreur

Main references

Data Analysis Using Stata, Third Edition, Ulrich Kohler and Frauke Kreuter, Stata Press, 2012, ISBN-13: 978-1-59718-110-5, 497 pages, https://www.stata.com/bookstore/data-analysis-using-stata/

Applied Time Series Econometrics, Helmut Lütkepohl and Markus Krätzig, Cambridge University Press, 2004, 9780511606885, https://doi.org/10.1017/CBO9780511606885

Bruce E. Hansen, Threshold autoregression in economics, Statistics and Its Interface, Volume 4 (2011), Number 2, Pages: 123 – 127, DOI: https://dx.doi.org/10.4310/SII.2011.v4.n2.a4

StataCorp LLC, threshold — Threshold regression, https://www.stata.com/manuals/tsthreshold.pdf