Seminar in Economics II

Marmara University Department of Economics

ECON3092
Class Hours: FRI.14-17
Classroom: A208
Grading: Midterm (40%) - Final (60%)

Midterm: HW
Final: Empirical paper using package programs

Midterm: April, 20th 2024 - 15:00
Final paper delivery: June 12 for exam; June 14 for Drive upload
GOOGLE DRIVE FOLDER

GRADES SHEET

Textbooks (supplementary):

Vogelvang, B. (2005). Econometrics: theory and applications with Eviews. Pearson Education
Asteriou, D., & Hall, S. G. (2015). Applied econometrics. Macmillan International Higher Education.

After midterm, there will no new topic to cover, however you may ask questions about your empirical papers to be prepared for the final homework during the class hour.
FINAL PAPER (ALL DETAILS AVAILABLE HERE AND IT IS A MUST TO FOLLOW THIS FORM)
FOR OTHER DETAILS, CHECK SEMINAR IN ECONOMICS I SECTION
PACKAGE MANUALS: EVIEWS MANUAL 1 - EVIEWS MANUAL 2 (Eviews Workfile) - R MANUAL (Dataset)

There will be midterm homework and a final empirical paper. For the midterm exam, students will be deliver their homework in softcopy form via uploading into given Google Drive folder.
Empirical papers will be grading the final. Papers should be at least 5-pages long (12 times roman and line spacing single) and will be delivered by the final week. You can work in groups of 2 at most. Empirical papers should be done using Eviews, STATA, R, Python etc. package program employing a regression model based on a topic you will choose. Using databases, such as World Bank, for any country or country group you choose and any time period you pick, you should apply a regression analysis. You can paste some figures (bar charts, pie charts, etc.) to explain the data/model you write your paper about. If you use books, articles, websites, you should give reference to them. You cannot copy and paste the work of someone else and present it as your paper. This is called plagiarism, as you may remember from Research Methods class. Papers not matching above criteria will be graded poorly.Lecture files will be distributed via e-mail.
LECTURE NOTES ARE BELOW (lecture 2 and 3 files)
TOPICS TO COVER* until midtermLecture 1: Basic Applied Econometrics for Time Series
Lecture 2: Basic univariate analysis and forecasting - Chapter 14 of Vogelvang (2005) - Industrial Production Index
Lecture 3: Basic multivariate analysis (VAR, Granger Causality, multicollinearity) - Energy and Environment
Lecture 4: Breaks on the time series - Issues on Turkish Macroeconomy
Lecture 5: Basic panel data analysis - Impacts on Covid-19 Outbreak (if time allows)
Lecture 6: Spatial analysis (visualization via mapping)
* there may be minor changes during the semester.

MIDTERM ( TO BE UPLOADED TO GOOGLE DRIVE FOLDER. NO EMAIL PLEASE)Each student will be given a specific OECD country and HW will done for that specific country (available in the Gradings_locked.xls file - 2nd column)You can use any package program for the midterm HW. However, my replication files are currently available for Eviews and STATA only.
HW1: You will be uploading your homework to the Drive folder as PDF (.PDF FORMAT) document WITH YOUR NAME AND LAST NAME GIVEN TO THE FILE and the title will end with HW1. (10 points)OECD DATABASE (use customize > selection > country & choose production of total industry, sa, Index)** oecd database has changed
Select your data for the time period 2005 January-2018 February- Seasonal adjustment using Census X-12 (this may not bring data since OECD database now brings only seasonally adjusted data)- Obtaining trend and cycle from HP filtering- Open seasonal factor, trend, cycle and raw data (a group of 4) in group and draw graphs in multiple graphs, copy and paste to a word document .********************************************************************************************************************************************************************************HW2: You will be uploading your homework to the Drive folder as PDF (.PDF FORMAT) document WITH YOUR NAME AND LAST NAME GIVEN TO THE FILE and the title will end with HW2. (30 points)Using your specific country, provided in the website, you will be following the steps using the same data (2005 January-2018 February):The data to be used: seasonally adjusted version of industrial production.1 - ADF Unit Root Test result (default form) - print screen to .doc2 - If fail to reject null hypothesis of unit root, take first difference of the serie, i.e., x(t)-x(t-1). If reject it, meaning the serie is stationary, keep using this raw form for the following steps3 - Check correlogram and print screen to .doc4 - Using correlogram, identify ARMA structure and print screen the regression regarding ARMA model to .doc5 - Open a new workfile ending in 2019 February 6 - Do forecasting for 2018 March to 2019 February7 - Open the data you use and you forecast in a group and show graph in line and print screen to .doc********************************************************************************************************************************************************************************HW3: You will be uploading your homework to the Drive folder as PDF (.PDF FORMAT) document WITH YOUR NAME AND LAST NAME GIVEN TO THE FILE and the title will end with HW3.(30 points)Using your specific country, provided in the website, you will be following the steps using the previous homework's industrial production index and in addition to that Federal Funds Rate (FFR) of the US to be downloaded from the link below for same time period of 2005 January-2018 February:https://fred.stlouisfed.org/series/FEDFUNDSThe aim is to check the impact of US monetary policy on specific country's production level (the country that you are assigned to). This time, the technique to be used is multivariate analysis.
The data to be used: first difference of seasonally adjusted version of industrial production (because it was observed to be nonstationary for all countries as far as I can remember) and FFR.
1 - ADF Unit Root Test to FFR - print screen to .doc2 - If fail to reject null hypothesis of unit root, take first difference of the serie, i.e., x(t)-x(t-1). If reject it, meaning the serie is stationary, keep using this raw form for FFR for the following steps3 - Apply static OLS analysis, having industrial production on the left hand side and FFR on the right hand side and include constant and print screen the equation to .doc4 - Check 3 diagnostics (serial correlation, heteroscedasticity and normality) in their default form (reading the explanations in Lecture 2 slides) and print screen all 3 diagnostic test results to .doc5 - Apply dynamic OLS analysis of ARDL(2,2), having industrial production on the left hand side and FFR on the right hand side and include constant and print screen to .doc6 - Check 3 diagnostics in the same manner and print screen all 3 diagnostic test results to .doc7 - Make explanations for each step one-by-one, including what we have in the null hypothesis for all tests we use and what results we end up with.********************************************************************************************************************************************************************************HW4: You will be uploading your homework to the Drive folder as PDF (.PDF FORMAT) document WITH YOUR NAME AND LAST NAME GIVEN TO THE FILE and the title will end with HW4. (30 points)You will again be using your specific country's industrial production index (seasonally adjusted and then HP filtered this time) and Federal Funds Rate (FFR) of the US (HP filtered).
Be aware that both variables will be HP filtered (assuming these two variables are titled as IPI_SA_HP and FFR_HP).
In this homework, we will apply VAR model, Impulse Response Function and Granger Causality.
1 - Create dummy variable for global financial crisis for the period 2008M09-2009M12 (crisis period will be composed of ones (1) and the rest will be composed of zeros (0)) and open a line graph for the dummy variable and print screen the graph to .doc2 - You will be running a VAR model for IPI_SA_HP and FFR_HP, adding crisis dummy in the exogeneous variables part of VAR specification.3 - Determine the lag for the VAR model using Schwarz Information Criteria and show it by print screening to .doc4 - Apply VAR model and print screen to .doc (if one screen shot does not cover all, split it into two parts)5 - Apply Impulse Response function and print screen to .doc6 - Apply Granger causality using the lag from lag length criteria and print screen to .doc7 - Make explanations for each step one-by-one, including what we have in the null hypothesis for all tests we use and what results we end up with.

FINAL: EMPIRICAL PAPER
Deadline for the First Draft: May 10th, 2024 (YOU HAVE TO UPLOAD TO DRIVE FOLDER)
1 - Name of the student or students (you can work in a group of two at most),
2 - Abstract of your empirical papers,
3 - Keywords,
4 - Jel Codes
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Deadline for the Second Draft: May 24th, 2024 (YOU HAVE TO UPLOAD TO DRIVE FOLDER)
1 - Literature Survey of at least 5 relevant papers on the topic
2- References (in APA format) of the papers cited in the literature survey

Each group will be uploading just one file,
- including only the literature survey and relevant references (all details are available in my website),
- with the name of the file as the title of your paper,
- with the document including your names as the authors in alphabetic order,
- in Word or pdf format,
- to be uploaded to the Google Drive folder (no email please):

----------------------------------------------Deadline for the full paper: Final Exam Day (YOU HAVE TO UPLOAD TO DRIVE FOLDER)Google Drive folder to upload the final papers: click here

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