University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #7
(3 March, 2010)
In this lab. class we are going to get some practice in estimating a count data model, using
Poisson regression and estimating the model by ML
University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #3
(27 January, 2010)
(a)
The Box-Cox model allows for a flexible non-linear functional form by
transforming the y and x variables as follows:
y ( ) = ( y 1) / ;
Department of Economics
University of Victoria
ECON 546: Themes in Econometrics
Estimation of Simultaneous Equations Models in EViews
In this handout we discuss the estimation of structural simultaneous equations models (SEMs)
using various estimation tec
University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #5
(10 February, 2010)
In this Lab. class we will use Monte Carlo simulation to investigate the finite-sample
performance of the Likelihood Ratio Test (LRT) for
University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #4
(3 February, 2010)
(a)
In the last Lab. class we estimated a Box-Cox model to explain expenditure on Research
& Development (y) in terms of Profit (x), and an
University of Victoria
Department of Economics
ECON 546:
Themes in Econometrics
Lab. Exercise 1
(13 January, 2010)
The purpose of this lab. class is to provide an introduction to the use of Monte Carlo simulation to
evaluate some of the sampling propertie
University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #6
(24 February, 2010)
In this Lab. class we will use Monte Carlo simulation to investigate the finite-sample performance of the
Breusch-Godfrey LM for serial in
ECON 546: Themes in Econometrics
Supplementary Problems, III
The following questions are designed to give you additional practice with the material that is
being covered in class. You should note that many of them are more challenging than the
questions t
ECON 546: Themes in Econometrics
Supplementary Problems, IV
The following questions are designed to give you additional practice with the material that is
being covered in class. You should note that many of them are more challenging than the
questions th
ECON 546: Themes in Econometrics
Supplementary Problems, II
The following questions are designed to give you additional practice with the material that is
being covered in class. You should note that many of them are more challenging than the
questions th
University of Victoria
Department of Economics
ECON 546:
Themes in Econometrics
Examples of Markov Chain Monte Carlo Analysis
Example 1
Let X and Y be a pair of random variables whose joint distribution is
f ( x, y ) ( n C x ) y x + 1 (1 y ) n x + 1 ;
(a)
ECON 546: Themes in Econometrics
Supplementary Problems, I
The following questions are designed to give you additional practice with the material that is
being covered in class. You should note that many of them are more challenging than the
questions tha
University of Victoria
Department of Economics
ECON 546: Themes in Econometrics
Lab Exercises #8
(10 March, 2010)
In this lab. class we are going to get some more practice in estimating count data models, using MLE. It
would be advisable to read the first