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Curso - International Seminar Unit Roots and Cointegration in Panels

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Colegio Mayor de Nuestra Señora del Rosario - Educación Continuada

Curso - International Seminar Unit Roots and Cointegration in Panels - Bogotá - Cundinamarca

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Teléfono Fijo [Indicativo ciudad + nº]. Ej. 12466666 (Bogotá) / Celular [nº celular sin indicativo]. Ej. 3002822222
 
 
 
 
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Curso - International Seminar Unit Roots and Cointegration in Panels - Bogotá - Cundinamarca Comentarios sobre Curso - International Seminar Unit Roots and Cointegration in Panels - Bogotá - Cundinamarca
Objetivos del Curso:
The seminar will attempt to provide an up to date account of the field of macro-panel econometrics. Topics covered will include testing for unit roots and cointegration in macro-panels of data, their properties and uses, and their applications in empirical macroeconometrics.

Starting with the simpler frameworks, generalizations of testing procedures to allow for cross-section dependence and the use of factor models will be discussed. More advanced topics such as testing for structural breaks in macro-panels, weak and strong dependence and error correction representations of macro-panel models will be covered.
Curso dirigido a:
The seminar is designed to bring together economists, econometricians, statisticians and social scientists who are interested in, or are working on, panel data issues. Whilst the instruction makes no assumptions as to prior exposure to the econometrics literature on panel data, participants should be familiarised with standard econometric techniques, such as multiple regression, qualitative choice models, and estimation methods such as maximum likelihood. Familiarity with basic empirical analysis will also be advantageous.
Contenido:
Course outline and reading list for “Unit roots and cointegration in panels”

Anindya Banerjee

Course at Universidad Del Rosario in Bogota 


Preliminary

Lecture 1: Introducing macro-panels
Readings:  
  • A. Banerjee (1999). Panel data unit roots and cointegration: an overview. Oxford Bulletin of Economics and Statistics 61, 607-629.
  • A. Banerjee and M. Wagner (2008).  Testing economic hypotheses using macro-panels of data. In K.
  • Patterson and T.J. Mills. Editors, The Palgrave Handbook of Econometrics, Volume II.
  • J. Breitung and H. M. Pesaran (2007). Unit roots and cointegration in panels. In L. Matyas and P. Sevestre,
  • editors, The Econometrics of Panel Data (Third Edition). Kluwer. Academic Publishers, 2007.

Lecture 2:  Testing for unit roots in macro-panels of data (First generation)
Readings:
  • K.S. Im, M.H. Pesaran and Y. Shin (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics 115, 53–74.
  • G.S. Maddala and S.Wu (1999). A comparative study of unit root tests with panel data and new simple test. Oxford Bulletin of Economics and Statistics 61, 631-652.

Lecture 3:  Testing for unit roots in macro panels of data (Second generation)
Readings:
  • A. Banerjee, M. Marcellino and C.  Osbat (2004). Some cautions on the use of panel methods for integrated series of macroeconomics data. Econometrics Journal 7, 322-340.
  • J. Bai and S. Ng (2004).  A PANIC attack on unit roots and cointegration. Econometrica 72, 1127-1177.
  • J. Bai, J., C. Kao and S. Ng (2009).  Panel cointegration with global stochastic trends. Journal of Econometrics 149, 82-99.
  • M.H. Pesaran (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics 22, 265-312.

Lecture 4: Testing for Cointegration in macro-panels of data
Readings:
  • G. Kapetanios, M.H. Pesaran and T. Yamagata, T (2011). Panels with non-stationary multifactor error
  • structures. Journal of Econometrics 160, 326-348.
  • P. Pedroni (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors.
  • Oxford Bulletin of Economic and Statistics 61, 653–678.
  • P. Pedroni (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests
  • with an application to the PPP hypothesis. Econometric Theory 20, 597- 625.
  • H. R. Moon and B. Perron (2007). An empirical analysis of nonstationarity in a panel of interest
  • rates with factors. Journal of Applied Econometrics 22, 383–400.

Lecture 5: Refinements of tests for cointegration
  • A. Banerjee and J.L. Carrion-i-Silvestre (2006). Cointegration in panel data with breaks and cross-section dependence. ECB Working Paper No. 591.
  • A. Banerjee and J.L. Carrion-i-Silvestre (2011). Testing for panel cointegration using common correlated effects.  Department of Economics, University of Birmingham Discussion Paper 11-16.
  • A. Chudik, M. H. Pesaran, and E. Tosetti (2011). Weak and strong cross section dependence and estimation of large panels. Econometrics Journal 14, C45-C90.

Empirical examples will be used to illustrate these techniques at each stage.

FECHAS:      November 26 - November 30, 2012
INTENSIDAD:      20 hours
HORARIO:      9 a.m. - 1:00 p.m.

INVERSIÓN:     

$1.200.000
$ 600.000 Students and Teachers from the University of Rosario
$ 900.000 Students and Teachers from other Unversities
$ 600.000 First ten students from other Unversities


Tenga en cuenta:
  •     Consultar el reglamento antes de formalizar su inscripción
  •     Efectuar el pago no garantiza su cupo y/o asistencia al programa, es necesario legalizarlo en la línea Inforosario o con la asesora comercial.
  •     Inscripciones antes del 16 de Noviembre de 2012
  •     Cupos Limitados

NOTA IMPORTANTE. En caso de necesidad y de acuerdo con sus políticas internas, la Universidad podrá modificar las fechas, los horarios, así como la programación de los docentes, contenido temático y sedes de la Universidad. De igual forma se reserva el derecho de cancelar y/o aplazar el evento. Por favor revise el reglamento (Título IV “Del retiro de los programas”).

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