Masterclass on time
series analysis - Monday 19th May to Saturday 24th May
2008
Conducted by
Mark Franklin, Stein Rokka Professor of Comparative Politics at the EUI, and
Dennis Quinn, Professor at the McDonough School of Business, Georgetown University
Requirements
It is expected that researchers attending this class will have received credit for Research Methods 1 and Research Methods 2, taught by Professors Dronkers and Franklin in 2006-7 or 2007-8, and for Research Design for Quantitative Analysis, taught by Professor Franklin in 2008. Prospective members of the class who do not have these prerequisits should discuss their expertise with Professor Franklin (by email in the first instance) before registering for the class.
Format, readings, and schedule
This class meets five times for two hours, 1100-1300 Mon,Tues,Thurs-Sat with an additional hour, 10-11 on Tues, Thurs-Sat, as an optional homework clinic. The format will be lectures, discussions, hands-on data analysis, and homework due at the time of the following class. Readings are listed below which should be read carefully BEFORE each class. A class website will contain a link to a password-protected folder containing most of these readings. On registration, researchers will receive the necessary password. Peter Kennedy's Guide to Econometrics, fifth edition, is the principal text. It is in the EUI library on reserve in multiple copies. Relevant portions will be available as pdf files on the class website. Participants are strongly recommended to obtain their own copy of Kennedy. HOWEVER, A SIXTH EDITION IS NOW AVAILABLE and this is the one that should be purchased (readings are specified in terms of both editions). Additional readings will comprise publications authored by the instructors that employ the methods being taught, and reviewer comments on prior drafts, illustrating the demands that were made before the material was accepted for publication.
Because
there is a good deal of reading due for the first two meetings of the class, it
is strongly recommended that students begin this reading well before the week
of the class. Indeed it would be helpful to always be one day ahead in the
readings, since the last half-hour or so of each class will deal with the next
topic in the reading list, setting homework for that topic.
Software
The class will employ the STATA statistical package, focusing on reg, prais, logit, arima, xtdata, xtreg, xtlogit, xtpcse, xtmixed, xtmelogit, xtdpdsys, dfuller, dfgls. Participants who are unfamiliar with these procedures should at least look at the descriptions given in the help text for each of them before the time of the relevant classes (relevant software for each meeting of the class is listed below).
Data
Researchers are encouraged to bring their own data to the class. As far as possible homework will be organized around researchers' own datasets so that the class can be maximally beneficial in helping researchers to overcome data analysis problems relevant to their own research. Classwork will be performed using data from published articles authored by the instructors.
Topics and readings
(Readings can be downloaded from the class website by clicking on the links
provided)
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Monday, 19th May |
Classic Time-series (1) |
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Readings: Chevalier and Franklin, "Introduction to time series analysis" (class website) |
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Kennedy, 5th & 6th eds. Ch1-2, Ch3-5, Ch6-7 (large text and General |
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Notes) |
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Software: |
reg, logit |
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Tuesday, 20th May |
Classic Time-series (2) |
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Readings: |
Kennedy, 5th ed: Ch8, Ch9, Ch10-11 & Ch18; 6th ed: Ch8, Ch10-12, & |
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Ch19 (large text and General Notes) |
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Franklin and Hircy, "Divided Government and Turnout" American Journal |
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of Political Science 1998. |
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Software: |
prais, arima; |
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Data: |
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Thursday 22nd May |
Time-series cross section analysis |
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Readings: |
Beck, "Time-Series Cross-Section Methods" draft chapter |
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Kennedy, 5th ed: Ch17; 6th ed: Ch18 (large text and General Notes) |
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Franklin, Voter Turnout pp.126-9 and pp.237-43 |
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Quinn and Toyoda, "Ideology and Voter Preferences as Determinants of |
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Financial Globalization" American Journal of Political Science 2007 |
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Reviews on Quinn and Toyada from International Organization and AJPS |
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Software: xtdata, xtreg, xtlogit, xtpcse; |
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Data: |
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Friday, 23rd May |
Interactions, instrumental variables, and General Method of Moments |
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Readings: |
Kennedy, Technical Notes 5th ed: 2.11 & 8.5; 6th ed: 2.11 & 9.1 (and |
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review the General Notes on these topics) |
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Brambor, Clark and Golder, ÒUnderstanding Interaction Models: |
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Improving Empirical AnalysesÓ, Political Analysis 2006 |
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Software: |
xtdpdsys |
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Saturday, 24th May |
What else do we need to know? Unit roots and stationarity |
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Readings: |
Kennedy, Technical notes 5th ed: 18.4-6; 6th ed: 19.4-6 (and review the |
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General Notes on these topics) |
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Software: |
dfuller, dfgls |
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