FACULTAD DE CIENCIAS SOCIALES

Slabo Semestre 2012-II

Informacin General

Nombre del curso: Econometra 2 Cdigo del curso : ECO 330 Carcter: Obligatorio Crditos: 5 Nmero de horas de teora: 4 (Martes de 6-8 pm y Jueves de 6-8 pm) Nmero de horas de prctica : 2 (Sbados 12-2 pm y Sbados 2-4 pm) Profesores del curso: Guillermo Moloche (guillermo.moloche@pucp.pe) Profesores del curso: Gabriel Rodrguez (gabriel.rodriguez@pucp.edu.pe) Horario: 0722 2 Sumilla

Ecuaciones simultneas: identicacin, estimacin e inferencia. Aplicaciones. Series de tiempo univariadas. Modelos AR, MA, ARMA y ARIMA: identicacin, estimacin y prediccin. Modelos dinmicos: modelos con variables dependientes rezagadas, modelos con retardos distribuidos, modelos de volatilidad estocstica (ARCH, GARCH). El Mtodo de lo general a lo especco. Series de tiempo multivariadas: modelos de vectores autoregresivos (VAR). Races unitarias, integracin y cointegracin. Modelo de correccin de errores. Anlisis de datos de corte transversal y de Panel Data. Modelos de efectos jos y de efectos aleatorios. Modelos Probit, Logit y Tobit. Datos censurados y truncados. Sesgo de seleccin. 3 Objetivos

Los objetivos del curso son los siguientes: 1) ofrecer a los estudiantes los elementos tericoprcticos sobre recientes tpicos desarrollados en la literatura economtrica; 2) contribuir al analisis emprico en economa. En lo posible, dichas aplicaciones sern hechas para el caso peruano; 3) uso del programa economtrico Eviews e introduccin al uso de programas economtricos como Gauss, JMulti.

Requisitos del Curso

El curso supone que los estudiantes han seguido y aprobado satisfactoriamente el curso de Econometria 1 o los respectivos cursos que se juzguen equivalentes. El desarrollo satisfactorio del curso supone conocimientos fundamentales de estadstica, clculo matemtico y manipulacin de matrices. Una rpida revisin de algunos conceptos ser hecha cuando sea necesario. En general, una revision del apndice matemtico de algn libro de econometra como Greene (2005), Hamilton (1994) o Wooldridge (2000) es aconsejable. 5 Evaluacin

La evaluacin del curso se basa en tres elementos: prcticas calicadas, un examen parcial y un examen nal. Dado el carcter prctico del curso, habrn 4 prcticas calicadas. Dos prcticas calicadas sern realizadas en el horario respectivo y las otras dos prcticas sern realizadas en grupos en un plazo de dos semanas. Ninguna de las prcticas ser anulada. Los grupos sern formados en las primeras semanas de clases. Las ponderaciones son las siguientes: 1. Prcticas Calicadas (4): 40% 2. Examen Parcial: 30% (Fecha: Sbado 13 de Octubre 2012, 11:00 am) 3. Examen Final: 30% (fecha: Sbado 15 de Diciembre 2012, 11:00 am) 6 Computador

Unos de los objetivos del curso es el analisis emprico univariado y/o multivariado de series econmicas. En este sentido, el uso del computador es un elemento importante en el desarrollo del curso. En general, haremos uso del programa economtrico Eviews aunque veremos a nivel introductorio algunos ejemplos utilizando el programa Gauss. Debido a las restricciones de tiempo, es imposible dedicar mucho tiempo al aprendizaje de dicho programa. Por tal motivo, el Profesor distribuir programas ya existentes para las respectivas aplicaciones que se indiquen en clases. Se recomienda leer alguna gua introductoria o prctica relacionada con los programas Eviews y Gauss. La direccin http://faculty.washington.edu/ezivot contiene algunas direcciones que pueden ser tiles a este respecto. Es bueno mencionar que el programa JMulti es gratuito y se recomienda que los estudiantes instalen dicho programa en sus respectivas computadoras. Este programa puede ser obtenido gratuitamente entrando a la pgina web del Profesor Helmut Ltkepohl. Otro programa gratuito recomendable para el anlisis multivariado es denominado SVAR. 7 Contenido 1. Introduccin 2. Revisin del Modelo Clsico Mltiple de Regresin Lineal (Estimacin, Inferencia, Propiedades).

3. Teora Asinttica y el Modelo Clsico Mltiple de Regresin Lineal. 4. Modelos ARMA 5. Races Unitarias 6. Forma Espacio-Estado, Filtro de Kalman y Descomposicin de Tendencia y Ciclo 7. Anlisis Multivariado (Vectores AutoRegresivos-VAR) 8. VAR y Cointegracin 9. Volatilidad: Modelos ARCH, GARCH y otros 10. Modelos con Variables Dependientes Limitadas 11. Econometra de Datos en Panel 8 Referencias

La econometra ha evolucionado de manera importante en los ltimos 15-20 aos y consecuentemente debemos hacer algunas priorizaciones debido al corto tiempo del curso. Una lista de referencias (no exhaustiva) es otorgada con la nalidad de completar detalles o profundizar en ciertos temas de mayor inters del estudiante. Ningn libro es obligatorio como manual del curso. Sin embargo, el material dictado en las clases tericas y prcticas es el material fundamental para la comprensin y el xito del curso. A continuacin se presenta una lista de referencias (libros y papers). Es necesario notar que la lista de papers incluye aplicaciones empricas en la mayora de los casos. 8.1 Libros

1. Anderson, T. W. (1971), The Statistical Analysis of Time Series, John Wiley & Sons. 2. Arellano, M. 2003), Panel-Data Econometrics, Advanced Texts in Econometrics, Oxford: Oxford University Press. 3. Baltagi, B. H. (1995), Econometric Analysis of Panel Data, John Wiley & Sons Ltd. 4. Banerjee, A., J. J. Dolado, J. W. Galbraith and D. F. Hendry (1993), Cointegration, Error Correction and the Econometric Analysis of Non Stationary Data, Oxford University Press. 5. Brooks, C. (2008), Introductory Econometrics for Finance, Second Edition, Cambridge University Press. 6. Cameron A. C. y P. K. Trivedi (2005), Microeconometrics. Methods and Applications, Cambridge: Cambridge University Press. 7. Davidson, R. and J. G. MacKinnon (1993), Estimation and Inference in Econometrics, Oxford University Press. 3

8. Enders, W. (2004), Applied Econometric Time Series, John Wiley Second Edition. 9. Franses, P. H. (1999), Time Series Models for Business and Economic Forecasting, Cambridge University Press. 10. Granger, C. W. J. and T. D. Tersvirta (1993), Modelling Nonlinear Economic Relationships, Advanced Texts in Econometrics, Oxford: Oxford University Press. 11. Greene, W. (2007), Econometric Analysis, 6th ed., Prentice-Hall. 12. Greene, W. H., Hensher, D. A. (2010), Modeling ordered choices: A primer, Cambridge University Press. 13. Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press. 14. Harvey, A. C. (1981), Time Series Models, MIT Press. 15. Harvey, A. C. (1999), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press. 16. Hatanaka, M. (1998), Time Series-Based Econometrics, Oxford University Press. 17. Hendry, D. F. (1997), Dynamic Econometrics, Oxford University Press. 18. Hsiao, Ch. (2003), Analysis of Panel Data, 2da Edicin, Cambridge: Cambridge Universiy Press. 19. Johansen, S. (1999), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press. 20. Juselius, K. (2006), The Cointegrated VAR Model: Methodology and Applications, Oxford University Press 21. Kim, Ch.-J. and Ch. R. Nelson (1999), State-Space Models with Regime Switching, MIT Press. 22. Long, J. S. (1997), Regression Models for Categorical and Limited Dependent Variables, Advanced Quantitative Techniques in the Social Sciences Series 7, Sage Publications. 23. Long, J. S. y J. Freese (2006), Regression Models for Categorical Dependent Variables Using Stata, 2da Edicin, Stata Press. 24. Maddala, G. S. (1983), Limited-Dependent and Qualitative Variables in Econometrics, Cambridge: Cambridge University Press. 25. Maddala, G. S. and I. M. Kim (1998), Unit Roots, Cointegration and Structural Change, Cambridge University Press. 26. Mills, T. C. (1990), Time Series Techniques for Economists, Cambridge University Press. 4

27. Mills, T. C. (1993), The Econometric Modelling of Financial Time Series, Cambridge University Press. 28. Winkelmann, R. (2008), Econometric Analysis of Count Data, 5ta Edicin, Springer. 29. Winkelmann, R. and Boes, S. (2006), Analysis of Microdata, Springer. 30. Wooldridge, J. M. (2000), Introduction to Econometrics, A Modern Approach, SouthWestern College Publishing, Thompson Learning. 8.2 8.2.1 Papers Tests de Raiz Unitaria

1. Banerjee, A., R. Lunsdaine, and J. H. Stock (1992), Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis, Journal of Business and Economic Statistics 10, 271-288. 2. Campbell, J. Y. and P. Perron (1991), Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots, in NBER Macroeconomics Annual, O. J. Blachard and S. Fisher, Editors, Vol. 6, 141-201. 3. Christiano, L. (1992), Searching for Breaks in GNP, Journal of Business and Economic Statistics 10, 237-250. 4. Elliott , G., T. J. Rothenberg and J. H. Stock (1996), E cient Tests for an Autoregressive Unit Root, Econometrica 64, 813-836. 5. Niels Haldrup, and Morten rregaard Nielsen, 2007, Estimation of Fractional Integration in the Presence of Data Noise Computational Statistics and Data Analysis , 51, 3100-3114. 6. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin (1992), Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How sure are we that economic time series have a unit root, Journal of Econometrics 54, 159-178. 7. Nelson, C. R. and C. I. Plosser (1982), Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics 10, 139-162. 8. Ng, S. and P. Perron (1995), Unit Root tests in ARMA Models with Data Dependent Methods for the Selection of the truncation Lag,Journal of the American Statistical Association 90, 268-281. 9. Ng, S. and Perron, P. (2001), Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica 69, 1519-1554. 10. Perron, P. (1989), The Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Econometrica 57, 1361-1401.

11. Perron, P. (1990), Testing for a Unit Root in a Time Series with a Changing Mean, Journal of Business and Economic Statistics 8, 153-162. 12. Perron, P. (1994), Trend, Unit Root and Structural Change in Macroeconomic Time Series, in Cointegration for the Applied Economist, B. B. Rao (Editor), Macmillan Press, 113-146. 13. Perron, P.(1997), Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics 80, 355-385. 14. Perron, P. and S. Ng (1996), Useful Modications to Some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties,Review of Economic Studies 63, 435-463. 15. Perron, P. and G. Rodrguez (2003), E cient Unit Root Tests and Structural Change, Journal of Econometrics 115, 1-27. 16. Perron, P. and G. Rodrguez (2003), Searching for Additive Outliers in Nonstationarity Time Series, Journal of Time Series Analysis, 24(2), 193-220. 17. Perron, P. and T. Vogelsang (1992), Nonstationarity and Level Shifts with an Application to Purchasing Power Parity, Journal of Business and Economic Statistics 12, 471-478. 18. Phillips, P. C. B. and P. Perron (1988), Testing for a Unit Root in Time Series Regression, Biometrika 75, 335-346. 19. Phillips, P. C. B. and Z. Xiao (1998), A Primer on Unit Roots,Journal of Economic Surveys, 12 (5), 423469. 20. Rodrguez, G. (2004), An Empirical Note about Additive Outliers in Latin American In ation Series, Empirical Economics 29 (2), 361-372. 21. Said, S. E. and D. A. Dickey (1984), Testing for Unit Root in Autoregressive-Moving Average Models of Unknown Order, Biometrika 71, 599-607. 22. Stock, J. H. (1994), Unit Roots and Trend Breaks, in Handbook of Econometrics, Vol. 4, R. F. Engle and D. MacFaden, Editors, Elsevier. 23. Vogelsang, T. J. (1999), Two Simple Procedures for Testing for a Unit Root when there are Additive Outliers, Journal of Time Series Analysis 20, 237-252. 24. Zivot, E. and D. W. Andrews (1992), Furhter Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statistics 10, 251-270.

8.2.2

Forma Espacio Estado, Filtro de Kalman y Descomposicin de Tendencia y Ciclo

1. Beveridge, S. and C. R. Nelson (1981), A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with particular attention to measurement of the business cycle, Journal of Monetary Economics 7, 151-174. 2. Clark, P. K. (1987), The Cyclical Component of U.S. Economic Activity, Quaterly Journal of Economics 102, 798-814. 3. Engle, R. F. and M. W. Watson (1987), The Kalman Filter: Applications to Forecasting and rational Expectations Models, In Advances in Econometrics, Vol. 1, Fifth World Congress, T. F. Bewley (Editor), Econometric Society Monograph # 13, 245-285 (more references in this paper). 4. Harvey, A. C. (1987), Applications of the Kalman Filter in Econometrics, in Advances in Econometrics, Vol. 1, T. F. Bewley (Editor), Econometric Society Monograph # 13, 285-313. 5. Rodrguez, G. (2005), Estimates of Permanent and Transitory Components for Canadian Regions using the Friedman Plucking Model of Business Fluctuations, Canas dian Journal of Regional Science 27 (1), 61-78. 6. Kim, C.-J. and C. R. Nelson (1999), Friedman Plucking Model of Business Fluctus ations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking 31, 317-334. 7. Mills, T. C. and P. Wang (2002), Plucking Models of Business Cycle Fluctuations: Evidence from the G-7 Countries, Empirical Economics 25, 225-276. 8.2.3 Modelos VAR

1. Blanchard, O. J. and D. Quah (1989), The Dynamic Eects of Aggregate Demand and Supply Disturbances, American Economic Review 79, 655-673. 2. Bernanke, B. (1986), Alternative Explanations of the Money-Income Correlation, Carnegie Rochester Conference Series on Public Policy 25, 45-49. 3. Gal, J. (1992), How well does the IS-LM Model Fit Postwar Data?,Quaterly Journal of Economics 107, 709-735. 4. Lutkepohl, H. (1999), Vector Autoregression,Unpublished manuscript, Institut for Statistik und Okonometrie, Humboldt-Universitat Zu Berlin. 5. Watson, M. W. (1994), Vector Autoregression and Cointegration, in Handbook of Econometrics, Vol. 4, R. F. Engle and D. MacFaden, Editors, Elsevier.

8.2.4

VAR y Cointegracion

1. Engle, R. F. and C. W. J. Granger (1987), Co-Integration and Error Correction: Representation, Estimation and Testing, Econometrica 55, 251-276. 2. Granger, C. W. J. and P. Newbold (1974), Spurious Regression in Econometrics, Journal of Econometrics 2, 111-120. 3. Hansen, B. E. (1992), E cient Estimation and Testing of Cointegration Vectors in the Presence of Deterministic Trends, Journal of Econometrics 53, 87-121. 4. Hubrich, K., H. Ltkepohl and P. Saikkonen (1998), A Review of Systems Cointegration Tests, Unpublished manuscript, Institut for Statistik und Okonometrie, Humboldt-Universitat Zu Berlin. 5. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economics, Dynamics and Control 12, 231-254. 6. Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica 59, 87-121. 7. Johansen, S. and K. Juselius (1990), Maximum Likelihood Estimation and Inference on Cointegration with an Application to the Demand for Money, Oxford Bulletin of Economics and Statistics 52, 169-210. 8. Johansen, S. and K. Juselius (1992), Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK, Journal of Econometrics 53, 221-244. 9. King, R., C. I. Plosser, J. H. Stock and M. W. Watson (1991), Stochastic Trends and Economic Fluctuations, American Economic Review 81, 819-840. 10. Perron, P. and G. Rodrguez. (2002), Residual-Based Tests for Cointegration with GLS Detrended Data, manuscript. 11. Phillips, P. C. B. and S. Ouliaris (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica 58, 165-193. 12. Stock, J. H. (1987), Asymptotic Properties of Least Squares Estimates of Cointegration Vectors, Econometrica 55, 1035-1056. 13. Stock, J. H. (1999): A Class of Tests for Integration and Cointegration, in Engle, R.F. and H. White (eds.), Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger, Oxford University Press, 137-167. 14. Stock, J. H. and M. W. Watson (1989), Testing for Common Trends,Journal of the American Statistical Association 83, 1097-1107. 15. Sims, C. A., J. H. Stock and M. W. Watson (1990), Inference in Linear Time Series Models with some Unit Roots, Econometrica 58, 113-144.

16. Watson, M. W. (1994), Vector Autoregression and Cointegration, in Handbook of Econometrics, Vol. 4, R. F. Engle and D. MacFaden, Editors, Elsevier. 8.2.5 Volatilidad: Modelos ARCH, GARCH y otros

1. Andersen, T.G., and Bollerslev T., (1998), Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review 39, 885-905. 2. Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P. (2001a), The distribution of realized exchange rate volatility, Journal of the American Statistical Association 96, 42-55. 3. Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P. (2001b), The distribution of realized stock return volatility, Journal of Financial Economics 61, 43-76. 4. Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31(3), 307-27. 5. Bollerslev, T. and Wooldridge J.M. (1992), Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances,Econometric Reviews 11(2), 143-72. 6. Engle, R. F. (1982), Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom In ation, Econometrica 50(4), 987-1007. 7. Engle, R.F. and Lee, G.G. J. (1999), A Permanent and Transitory Component Model of Stock Return Volatility,in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, Robert F. Engle and Halbert White, eds. Oxford: Oxford University Press, 475-97. 8. Engle, R. F. and Joseph Mezrich. (1996), GARCH for Groups, RISK 9(8), 36-40. 9. Engle, R. F. and Victor Ng. (1993), Measuring and Testing the Impact of News on Volatility, Journal of Finance 48(5), 1749-78. 10. Engle, R., Takatoshi Ito and Wen-Ling Lin. (1990), Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market,Econometrica 58(3), 525-42. 11. Engle, R., Ng V. and Rothschild M. (1992), A Multi-Dynamic Factor Model for Stock Returns, Journal of Econometrics 52(12), 245-66. 12. Garman, M. B. and Klass, M. J. (1980), On the estimation of security price volatilities from historical data, Journal of Business 53, 67-78. 13. Glosten, L. R., Jagannathan R. and Runkle D.E. (1993), On the Relation Between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks, Journal of Finance 48(5), 1779-801.

14. Hansen, P., and Lunde A. (2005), A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?, Journal of Applied Econometrics 20, 873-89. 15. Nelson, D. B. (1990), Stationarity and persistence in the GARCH(1,1) model, Econometric Theory 6, 318-334. 16. Nelson, D. B. (1991), Conditional Heteroscedasticity in Asset Returns: A New Approach, Econometrica 59(2), 347-70. 17. Pagan, A., and Schwert W. (1990), Alternative models for conditional stock volatility, Journal of Econometrics 45, 267-90. 18. Rabemananjara, R. and Zakoian J. M. (1993), Threshold Arch Models and Asymmetries in Volatility, Journal of Applied Econometrics 8(1), 31-49. 19. Rogers, L. C. G. and Satchell, S. E. (1991), Estimating variance from high, low and closing prices. Annals of Applied Probability 1, 504-512. 20. West, K., and Cho D. (1995), The predictive ability of several models of exchange rate volatility, Journal of Econometrics 69, 367-91. 21. Yang, D. and Zhang, Q. (2000), Drift-independent volatility estimation based on high, low, open, and close prices, Journal of Business 73, 477-491. 22. Zakoian, J. M. (1994), Threshold heteroscedastic models,Journal of Economic Dynamics and Control 18, 931-955. 8.2.6 Modelos con Variables Dependientes Limitadas

1. Atallah, G., and G. Rodrguez (2006), Indirect Patent Citations, Scientometrics 67(3) 437-465. 2. Cameron, A. C., Trivedi, P. K. (1986), Econometric models based on count data: Comparisons and applications of some estimators and tests, Journal of Applied Econometrics 1(1), 29-53. 3. Chay, K. Y., & Powell, J. L. (2001), Semiparametric censored regression models, The Journal of Economic Perspectives 15(4), 29-42. 4. Dhrymes, P. J. (1986), Limited dependent variables,in Z. Griliches & M. D. Intriligator (eds.), Handbook of Econometrics, volume 3, chapter 27, 1567-1631 Elsevier. 5. Gern, M. (1996), Parametric and semiparametric estimation of the binary response model of labour market participation, Journal of Applied Econometrics 11(3), 321339. 6. Greene, W. (2006), Censored data and truncated distributions, in T. C. Mills & Kerry Patterson (eds.), Palgrave Handbook of Econometrics, Volume 1, Chapter 20, 695-736, Palgrave, London.

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7. Heckman, J. J. (1979), Sample selection bias as a specication error,Econometrica 47(1), 153-161. 8. Horowitz, J. L., & Savin, N. (2001), Binary response models: Logits, probits and semiparametrics, The Journal of Economic Perspectives, 15(4), 43-56. 9. Kiefer, N. M. (1988), Economic duration data and hazard functions, Journal of Economic Literature 26(2), 646-679. 10. Lancaster, T. (1979), Econometric methods for the duration of unemployment, Econometrica 47(4) , 939-956. 11. McFadden, D. (1984), Econometric analysis of qualitative response models, in Z. Griliches & M. D. Intriligator (eds.), Handbook of Econometrics, Volume 2, Chapter 24, 1395-1457, Elsevier. 12. Meng, X. y P. Miller (1995), Occupational Segregation and Its Impact on Gender Wage Discrimimation in China Rural Industrial Sector, Oxford Economic Papers s 47, 136-155. 13. Miller, P. W. y P. A. Volker (1985), On the Determination of Occupational Attainment and Mobility, Journal of Human Resources 20, 197-213. 14. Tobin, J. (1958), Estimation of relationships for limited dependent variables,Econometrica 26(1), 24-36. 15. Vella, F. (1998), Estimating models with sample selection bias: A survey, The Journal of Human Resources 33(1), 127-169. 8.2.7 Econometra de Datos de Panel

1. Arellano, M. (1987), Computing Robust Standard Errors for Within-Group Estimators, Oxford Bulletin of Economics and Statistics 49, 431-434. 2. Arellano, M. (1990), Testing for Autocorrelated in Dynamic Random Eects Models, Review of Economic Studies 57, 127-134. 3. Arellano, M. y S. R. Bond (1991), Some Tests of Specication for Panel Data: Monte Carlo Evidence and an Application to Employment Equation, Review of Economic Studies 58, 277-297. 4. Baltagi, B. y C. Kao (2000), Nonstationary Panel, Cointegration in Panels and Dynamic Panels: A Survey, manuscrito. 5. Judson, R. A. y A. L. Owen (1999), Estimating dynamic panel data models: a guide for macroeconomists, Economics Letters 65, 9-15. 6. Phillips, P. C. B. y H. R. Moon (1999), Nonstationary Panel data Analysis: An Overview of Some Recent Developments, Manuscript of the Cowles Foundation at Yale University. 11

7. Phillips, P. C. B. y H. R. Moon (1999), Linear Regression Limit Theory for Nonstationary Panel Data Econometrica 67 (5), 1057-1111. 8. Westerlund, J. (2003), A Panel Data Test of the Bank Lending Channel in Sweden, manuscrito. 9 Plagio

Todo acto de plagio en el desarrollo del curso (prcticas o laboratorios calicados, trabajo de sesin, exmenes parcial y nal) ser castigado de manera severa y de acuerdo al reglamento de la Universidad. Una guia relacionada con las reglas de elaboracin de trabajos y otros asuntos relacionados puede ser distribuida al comienzo del curso. Lima, Agosto 2012

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