EC 761 : Econometrics II

Professor Baum

Fall 1997

The requirements for EC 761 include a brief, concise research paper, on a topic of your choice, which utilises one or more advanced econometric techniques. You may make use of pooled cross section / time-series (or panel) data and the attendant techniques, utilise a data set (cross-sectional or time series) with limited dependent variable methodologies, or apply techniques of time-series modelling, such as analysis of cointegrated systems, ARCH/GARCH models, etc., as may nonlinear estimation in a time-series context, or systems estimation and simulation. The econometric techniques displayed in the paper must go beyond application of an elementary technique (such as OLS, univariate probit, unit root tests, or a simple VAR). They may reasonably include a critical comparison of alternative techniques on a particular specification, and/or presentation of a number of alternative specifications against a particular benchmark (such as a set of nested hypotheses). The exposition should build upon established literature in the field; in the past, some of the most successful papers have been those which have critically evaluated a published article and extended its methodology and/or dataset.

For some assistance in familiarizing yourself with readily available data resources, please see the "Guide to Data Resources" and "Access to Economic and Financial Data at Boston College" links on the course homepage, http://fmwww.bc.edu/ec-c/f97/ec761.f97.html

The deadline for presentation of a proposal for the research paper is Wednesday, 29 October at classtime. On or before that date, you must give me a written proposal which: (1) outlines the issue to be researched, and gives a brief summary of one or more important articles in the field; (2) specifies the data required, and indicates that you have access to the required data and tools for manipulation; and (3) lays out the econometric methodology (and specific software) to be utilised. These proposals must be completed and approved on schedule to receive credit for the paper. The absolute deadline for submission of the paper is Friday, 12 December at classtime. Incompletes will not be given.