Steve Lawford

 

IENAC20 (PREV) Econometrics 2

 

LATEST ANNOUNCEMENTS

  • (9 Mar) Please see the bonus paper ranking deadline (week 11, Tue 15 Mar 18:30). The presentation forms part of the assessment. Papers will be assigned following the deadline.
  • (9 Mar) Welcome to the course, and good luck!

 

 

Course and content

Contact details and office hours: It is best to contact me by email with questions - since I receive a great deal of spam mail, please mark messages with "IENAC20" and / or "Econometrics 2", somewhere in the subject line, or send the emails from an enac.fr address, otherwise they may get lost. In case of problems, you can contact me by (internal) phone on 719532.

Please contact me in advance BY EMAIL to arrange individual meetings, including the following information: (a) a precise (short) description of the problem, (b) any supporting data, files or illustrations (e.g. screenshots), (c) your availability and expected time required. Due to very heavy time constraints on my side, all meetings will have to be refused unless you follow this procedure.

Language:

The lectures, classes, all course material, and the assessments, will be in English. If you find this difficult, then I will be happy to receive and reply to questions, and to give you advice or supervision, in French.

Content: This course develops the material covered in IENA20 Econometrics 1. The main part of the course refreshes multivariate regression, and focuses on least squares (ordinary, restricted, generalized: given heteroscedasticity or autocorrelation, nonlinear), maximum likelihood, and finite-sample and asymptotic inference. The theory is illustrated throughout by detailed empirical examples, using the econometric software package EViews 6 / EViews 12. This course is a pre-requisite for the Forecasting module.

Cold calling: I will be "cold calling" you during this course, starting from Class 1. The aim of this is not to embarrass you, but simply to figure out whether you are understanding and following the course.

Textbook: I will use my own lecture notes on the subject, and further course material as appropriate. A printed version of all material will be given to you towards the end of the course, before the exam.

Examinations (in the Econometrics 2 module):

(a) The final grade is based on an open-book written examination, in week 13 (100% of grade): this will cover both applied and theoretical topics.

(b) I will also give each of you a maximum +25% "bonus" for a (maximum) 20 minute presentation of one (per group) of the papers provided under "Resources\Papers". The presentations will take place in week 18. All members of each group will receive the same grade.

Prize: The student who has the highest score on the final exam will receive a small prize!

Administration:

Various I.E.s & BdP

Teaching

16 hours of lectures and classes (these are interchangeable) and 4 hours of presentations.

Lectures and classes will be held in weeks 2022 // 10 - 12 (Mar), and presentations in week 18 (May).

Class schedules are sometimes subject to change at short notice.

ENAC Intranet upcoming class schedules.

2022 //

Schedule for week 10

Wed 9 Mar 2022 - Class 1/8 - 15:30-17:30 -- room C15 D201 #51, #52, #53, #54, #55 #29, #33, #36, #37, #39, #55

Fri 11 Mar 2022 - Class 2/8 - 13:15-15:15 -- room C15 #56, #57, #58, #59, #60 #38 #40 #41 #42 #43 #51

Schedule for week 11

Mon 14 Mar 2022 - Class 3/8 - 13:15-15:15 -- room C15 #61, #62, #63, #64, #65, #66 [Applied Problem Set 1] see email [E1.Applied Problem Set 2] etc.

Wed 16 Mar 2022 - Class 4/8 - 15:30-17:30 -- room C15 C06 #67, #68, #69 [Applied Problem Set 2] #52 #53

Fri 18 Mar 2022 - Class 5/8 - 13:15-15:15 -- room C15 C06 #70 (mid-course review quiz) [Applied Problem Set 3] #44 #45 #46 #47 #48 #49 (E1.APS2 solutions) and #53 #54 #56

Deadline this week // Tue 15 Mar 18:30 submit research paper rankings (1 = most preferred, to 12 = least preferred); please rank all papers

- outcome: Done

I will allocate one research paper (for bonus presentation) to each group, this week

- outcome: Done, schedule updated

Schedule for week 12

Mon 21 Mar 2022 - Class 6/8 - 13:15-15:15 -- room C15 C06 #71, #72, #73, #74, #75, #76, #77 #57 #58 #59 #60

Wed 23 Mar 2022 - Class 7/8 - 15:30-17:30 -- room C15 C06 #78, #79, #80, #81, #82, #83, #84, #85, #86 [E2.Applied Problem Set 1] #61 #62 #63 #64 #65 #66 (E2.APS1 solutions)

Fri 25 Mar 2021 - Class 8/8 - 13:15-15:15 -- room C15 C06 #87, #88 [E2. Applied Problem Set 2] #71 #72 #73 #74 #75 #76 #77 (E2.APS2 solutions)

I will prepare your polycopy (class notes) this week

- outcome: Done

Schedule for week 13

Mon 28 Mar 2022 - FINAL WRITTEN EXAMINATION - 13:15-15:15 -- room Bréguet

Wed 30 Mar 2022 - FINAL WRITTEN EXAMINATION - 13:15-15:15 -- room Bréguet

no classes this week

Schedule for week 14

(Forecasting module starts - see Forecasting webpage)

Schedule for week 15

(Forecasting module continues - see Forecasting webpage)

Schedule for week 16

(Forecasting module continues - see Forecasting webpage)

Schedule for week 17

(Econometrics 1 empirical project presentations - see Econometrics 1 webpage)

(Forecasting module continues - see Forecasting webpage)

Schedule for week 18 new

✔ Thu 5 May 2022 - 13:15-17:15 -- room Amphi Bréguet -- ** BONUS PAPER PRESENTATIONS **

Project groups (in presentation order)

(*) 13:20-13:40 -- group 1 -- Xiangyu, Simone, Wenbo, Shuo -- (5) Forbes, S.J., 2008, The effect of air traffic delays on airline prices, International Journal of Industrial Organization.

15 minute discussion + 15 minute break

(*) 14:10-14:30 -- group 4 -- Lorenzo, François-Xavier, Charles -- (9) Kaplanski, G., and Levy, H., 2010, Sentiment and stock prices: The case of aviation disasters, Journal of Financial Economics.

15 minute discussion + 15 minute break

(*) 15:00-15:20 -- group 5 -- Afsaneh, Yoosef -- (7) Goolsbee, A., and Syverson, C., 2008, How do incumbents respond to the threat of entry? Evidence from the major airlines, Quarterly Journal of Economics.

15 minute discussion + 15 minute break

(*) 15:50-16:10 -- group 2 -- Thaïs, Jules, Maxence, Estelle -- (2) Cornia, M., Gerardi, K.S., and Shapiro, A.H., 2012, Price dispersion over the business cycle: Evidence from the airline industry, Journal of Industrial Economics.

15 minute discussion + 15 minute break

(*) 16:40-17:00 -- group 3 -- Pierre-Antoine, Ashraf, Stéphane -- (12) Zuidberg, J., 2014, Identifying airline cost economies: An econometric analysis of the factors affecting aircraft operating costs, Journal of Air Transport Management.

15 minute discussion

Deadline this week // Thu 5 May 20:00 submit bonus paper slides

- outcome: Done

Schedule for week 19

no classes this week

Schedule for week 20

no classes this week

Schedule for week 21

(Forecasting exam - see Forecasting webpage)

 

Resources

Applied Problem Setsnew

Applied Problem Set 1 (heteroscedasticity) [solutions: #61 #62 #63 #64 #65 #66]

Applied Problem Set 2 (nonlinear models and hypotheses) [solutions: #71 #72 #73 #74 #75 #76 #77]

Applied Problem Set 3 (autocorrelation) [solutions: #78 #79 #80 #81 #82 #83 #84 #85] / moved to Forecasting module

Data

(1) NLSY labour market data

(2) U.S. credit card data [Applied Problem Set 1 (heteroscedasticity)]

(3) U.S. income and consumption data [Applied Problem Set 2 (nonlinear models and hypotheses)]

(4) U.S. investment data [Applied Problem Set 3 (autocorrelation)] / moved to Forecasting module

Papers for bonus presentations

(1) Ciliberto, F., and Williams, J.W., 2010, Limited access to airport facilities and market power in the airline industry, Journal of Law and Economics.

(2) Cornia, M., Gerardi, K.S., and Shapiro, A.H., 2012, Price dispersion over the business cycle: Evidence from the airline industry, Journal of Industrial Economics.

(3) Fageda, X., 2014, What hurts the dominant airlines at hub airports? Transportation Research Part E.

(4) Fageda, X., and Flores-Fillol, R., 2016, How do airlines react to airport congestion? The role of networks, Regional Science and Urban Economics.

(5) Forbes, S.J., 2008, The effect of air traffic delays on airline prices, International Journal of Industrial Organization.

(6) Gerardi, K.S., and Shapiro, A.H., 2009, Does competition reduce price dispersion? New evidence from the airline industry, Journal of Political Economy.

(7) Goolsbee, A., and Syverson, C., 2008, How do incumbents respond to the threat of entry? Evidence from the major airlines, Quarterly Journal of Economics.

(8) Johnston, A., and Ozment, J., 2013, Economies of scale in the US airline industry, Transportation Research Part E.

(9) Kaplanski, G., and Levy, H., 2010, Sentiment and stock prices: The case of aviation disasters, Journal of Financial Economics.

(10) Stavins, J., 2001, Price discrimination in the airline market: The effect of market concentration, Review of Economics and Statistics.

(11) Wang, J., Mo, H., Wang, F., and Jin, F., 2011, Exploring the network structure and nodal centrality of China's air transport network: A complex network approach, Journal of Transport Geography.

(12) Zuidberg, J., 2014, Identifying airline cost economies: An econometric analysis of the factors affecting aircraft operating costs, Journal of Air Transport Management.

Additional reading

Jarque-Bera paper [for Applied Problem Set 3 (autocorrelation)]

Other

Statistical tables [these will be available to you during the final exam]

Past exams

IENAC15 Econometrics 2 resit exam [solutions]

 

Reading list (optional)

Of particular use is Greene, W. H. (2000), Econometric Analysis, 4th edition, New Jersey: Prentice-Hall / Chapters 1-4 matrix algebra, statistical theory, Chapter 6 multivariate regression, Chapter 7 inference, Chapters 8 and 10 nonlinearity and nonlinear regression, Chapter 9 asymptotic theory, Chapter 11 generalized least squares, Chapter 12 heteroscedasticity, Chapter 13 autocorrelation, Chapter 17 distributed lag models. [A revised 6th edition is now available, and is recommended for both Econometrics 2 and Forecasting]

Also helpful is Hayashi, F. (2000), Econometrics, Princeton: Princeton University Press / Chapter 1 finite-sample properties of OLS, inference, and a discussion of the Nerlove cost function empirical example, Chapter 2 large-sample theory, including asymptotic results on White's robust standard errors, testing nonlinear hypotheses, White's test for heteroscedasticity, time regressions, Chapter 6 autocorrelation, Newey-West robust standard errors.

 

Assessment new