FSEG – Master second year – MPE
The series that will be used during the seminar of Applied Econometrics with Stata are available on FRED, DBnomics, and JST Macrohistory Database. This seminar 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, the panel threshold model, or the Bayesian threshold model to a macroeconomic problem picked by themselves. You can consult this article with panel data and this article with time series. The report should include 20 pages (10 pages per student), the database and a functioning Stata code. 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.
Tentative syllabus
- Introduction sur les données
- Utiliser FRED avec Stata
- Utiliser DBnomics avec Stata
- Fusionner des bases de données avec des codes pays différents
- Review of the TAR model (Tong, 1983)
- Review of Panel Threshold model (Hansen, 1999)
- 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
New references for 2022-2023
- David Schenck, Structural vector autoregression models, 2016, Stata Blog.
- Nikolai Balov, Bayesian threshold autoregressive models, 2022, Stata Blog.
- Stata Toolbox for SVAR model visualization, by Abigail Kuchek, Jonah Danziger and Christoffer Koch, 2021.
- Wang, Q. (2015). Fixed-Effect Panel Threshold Model using Stata. The Stata Journal, 15(1), 121–134. https://doi.org/10.1177/1536867X1501500108
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.
- Applied Time Series Econometrics, Helmut Lütkepohl and Markus Krätzig, Cambridge University Press, 2004.
- Bruce E. Hansen, Threshold autoregression in economics, Statistics and Its Interface, Volume 4 (2011), Number 2, Pages: 123 – 127.
- StataCorp LLC, threshold — Threshold regression.