teaching
I have been mainly teaching quantitative subjects. I am currently responsible for the PhD level short course in Econometric Modelling (as a part of the course on Research Methods) and Master level courses in Econometric Analysis and Global Economy: Theories and Applications, all delivered at the Vilnius University.
I also have extensive experience teaching short courses (e.g. summer schools, courses for policymakers, etc). Previously, I have had experience in teaching on different aspects in International Economics (especially, on International Trade), Mathematics and Statistics for Economists, Econometrics (at both, undergraduate and graduate levels) at the University of Cambridge where I also supervised and examined undergraduate (BA) and graduate (MPhil) dissertations in international economics and econometrics, in particular spatial econometrics and heterogeneous dynamic panels.
2017/2018
PhD Course in Research Methods, a part on Econometric Modelling (Autumn Semester)
- Syllabus
- Lecture Notes
- Problem Set 1 || Abridged Solutions
- Problem Set 2 || Abridged Solutions
2016/2017
MSc/MA Course in Global Economy: Theories and Applications (Spring Semester)
MSc/MA Course in Econometric Analysis (Spring Semester)
- Syllabus
- Lecture Notes
- Problem Set 1
- Problem Set 2
- Final Exam (Mock exam and abridged solutions are available to students only)
PhD Course in Research Methods, a part on Econometric Modelling (Autumn Semester)
- Syllabus
- Lecture Notes
- Problem Set 1 || Abridged Solutions
- Problem Set 2 || Abridged Solutions
2015/2016
Classes of Theory and Practice of Econometrics (Paper 3) - Michaelmas Term
- Slides 2 (Anatomy of Multiple Regression and Hypotheses Testing). Problem Set 2. Data Set
- Slides 3 (Properties of Estimators and Program Evaluation). Problem Set 3
- Slides 4 (Endogeneity, IVs, and TSLS). Problem Set 4. Data Set 1. Data Set 2
- STATA, remote access for Cambridge students
- My teaching page on the Faculty's website: http://www.econ.cam.ac.uk/links/part2apaper3-PL.html
Mathematics and Statistics for Economists (Paper 3)
- Course website
- Main texts: Chiang and Wainwright, Goldberger, and Miller and Miller.
- All supervision material accessible to supervisees only.
Theory and Practice of Econometrics (Paper 3)
- Course website
- Texts: Stock and Watson (main) and Wooldridge (supplementary).
- All supervision material accessible to supervisees only.
Summer 2014/2015
Introduction to the Theory and Practice of Global Macroeconomic Modelling (Slides - available to participants only)
This is an introductory course to the global econometric modelling, which covers both econometric theory and applications. I base the lectures on the following books:
- M. H. Pesaran (2015): Time Series and Panel Data Econometrics. Oxford University Press.
- di Mauro, F., and M. H. Pesaran (2013): The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis. Oxford University Press.
- Garratt, A., K. Lee, M. H. Pesaran, and Y. Shin (2006): Global and National Macroeconometric Modelling: A Long-Run Structural Approach. Oxford University Press.
The course is composed of theory lectures, practical sessions, and theoretical exercises, to be solved during the lectures and discussed with all the participants. Full solutions are available to participants. You can find a full syllabus here.
The structure of a two-weeks course is as follows:
- The Preview of GVAR Applications
- Introduction to the VAR modelling
- Introduction to the Cointegrating VARs
- Testing of Cointegrating VARs
- Identification
- Impulse Responses
- Introduction to the GVAR modelling
- Generalised Impulse Responses
- Extensions of GVAR
- Weight Matrices
- Stability Conditions
- Practicals: use of GVAR Toolbox (Matlab and/or R)
- Multi-Country Rational Expectations Models
- Theory: Steady States
- Theory: Structure of a Model
- Estimation
- Practicals: use of GVAR Toolbox (Matlab)
- Discussion on Current Applications of GVAR; Further Research Directions
International Finance (Slides - available to participants only)
2014/2015
Mathematics and Statistics for Economists (Paper 3)
- Supervision 1: (Partial) Derivatives, Homogeneity, Euler's Theorem
- Supervision 2: Probability and Hypotheses Testing
- Supervision 3: Further Constrained and Unconstrained Optimisation
- Supervision 4: Further Probabilities, Hypotheses Testing, and Estimators
- Supervision 5: Constrained and Unconstrained Optimisation and Matrix Algebra
- Supervision 6: Further Hypotheses Testing and Sampling Distributions
- Supervision 7: Applications of Linear Algebra
- Supervision 8: Introduction to Least Squares
- Supervision 9: Integration, Taylor Series, Difference Equations
- Supervision 10: Further Least Squares. Hypothesis Testing
- Supervision 11: Multiple Regression
- Supervision 12: Differential Equations
- Mock Exams (available to my students only)
- Additional sources (caveat: required topics differ from this year's paper)
Theory and Practice of Econometrics (Paper 3)
- Supervision 1: Probability
- Supervision 2: Regression, OLS and its Properties
- Supervision 3: Regression, Interpretation of Results
- Supervision 4: Multiple Regression and Testing
- Supervision 5: Dynamic Models, Units Roots
- Supervision 6: Revision
- Supervision 7: Endogeneity and Instrumental Variables
- Supervision 8: Discrete Choice and Panel Data Models
- Supervision 9: Partial Adjustment and ECMs
- Supervision 10: Vector Autoregressive Models
- Mocks Exams (available to my students only)
- Additional sources
- Useful Book References:
2013/2014
International Finance (Slides - available to participants only)
- Introduction to Global Financial System
- The US 'Exorbitant Privilege'
- The 'Original Sin'
- National and International Money
- International Monetary Fund
- Macroeconomic Interdependence and the Policy Trilemma
- Interdependence and Contagion
- Macroeconomic Interdependence
- Contagion of Currency Crises
- Capital Flows
- Theory
- Empirics
- Summary
Introduction to World Trade Organisation (Slides - available to participants only)
- World Trade Organisation (WTO)
- Basic Facts of the GATT and WTO
- Regulation of Trade
- Some Trade Theory
Econometric Methods
(MPhil Economics & MPhil Economic Research & MPhil Finance and Economics)
- Lecture Notes
- Readings
- Summary Notes (updated)
- Revision Notes
- Problem Set 1. Stata File. Solutions
- Problem Set 2. Solutions
- Problem Set 3. Solutions
- Mostly Harmless Econometrics
- Theil, H. (1983), Linear Algebra and Matrix Methods in Econometrics, in Handbook of Econometrics, Vol. 1, edited by Z. Griliches and M. D. Intriligator
- Abadir, K. M. and J. R. Magnus (2002), Notation in econometrics: proposal for a standard, Econometrics Journal, 5: 76-90.
- Buse, A. (1982), The Likelihood Ratio, Wald, and Lagrange Multiplier Tests: An Expository Note, The American Statistician, 3(1): 153-157.
- Engle, Robert F.(1984), Wald, likelihood ratio, and Lagrange multiplier tests in econometrics, in: Z. Griliches & M. D. Intriligator (ed.), Handbook of Econometrics, 1(2), Ch 13, 775-826.
Mathematics and Statistics for Economists (Paper 3)
- Supervision 1: (Partial) Derivatives, Homogeneity, Euler's Theorem
- Supervision 2: Probability and Hypotheses Testing
- Supervision 3: Constrained and Unconstrained Optimisation and Matrix Algebra
- Supervision 4: Further Hypotheses Testing and Sampling Distributions
- Additional sources (caveat: required topics differ from this year's paper)
- Supplementary Material
- Supervision 5: Further Optimisation
- Supervision 6: Least Squares and Gauss-Markov Theorem
- Supervision 7: Taylor Series and Discrete Dynamical Systems
- Supervision 8: Further Regression Analysis
- Mock Exam
- Holiday Problem Sets and Selected Solutions
Submit your scripts at least 24 hours before supervision.
Theory and Practice of Econometrics (Paper 3)
- Introductory Notes
- Microeconometrics
- Macroeconometrics
- Overview of Regression Analysis
- Supervision 1: Probability
- Supervision 2: Regression
- Supervision 3: Multiple Regression and Testing
- Supervision 4: Dynamic Models
- Supervision 5: Endogeneity and IVs
- Supervision 6: Discrete Choice and Panel Data
- Supervision 7: Partial Adjustment and ECMs
- Supervision 8: VARs
- Econometric Project
2012/2013
No teaching for this academic year. I am based at Kiel Institute for the World Economy.
2011/2012
International Trade Theory and Policy (Paper I)
- Material available here (access details are given to my supervisees only)
- Additional Notes on International Trade Theory:
- ‘Old’ and ‘New’ Trade Theory,
- Political Economy of Trade Policy,
- Trade and Endogenous Growth,
- Trade Gravity.
- Supervision 1: Classical Trade Theories and Factor Movements.
- Supervision 2: Trade Policy. Trade and Market Structure.
-
Additional Material: Krugman, P. (1979), Increasing returns, monopolistic competition, and international trade, Journal of International Economics, 9(4): 469-479.
- More on Preference Structure Used in the Supervision: Salop, S. (1979), Monopolistic Competition with Outside Goods, Bell Journal of Economics, 10: 141-156.
- The Increasing Returns Revolution in Trade and Geography - Nobel Prize Lecture. Slides.
- Additional Material: Grossman, G. and E. Helpman (1994), Protection for Sale, American Economic Review, 84(4) Sep 1994, pp. 833-50.
- Fernandez, R. and D. Rodrik (1991), Resistance to Reform: Status-Quo Bias in the Presence of Individual Specific Uncertainty, American Economic Review, 81(5), pp. 1146-55.
- Olson, M., The Logic of Collective Action, Harvard University Press, 1965.
Mathematics and Statistics for Economists (Paper 3)
- Material available here (access details are given to my supervisees only)
- Frequently Asked Questions (updated 28/01)
- Supervision 1: Basic Calculus.
- Supervision 2: Constrained and Unconstrained Optimisation. Duality. A Note on Optimisation.
- Supervision 3: Basic Probability and Distributions. Selected Solutions.
- Supervision 4: Estimators, Hypothesis Testing, and Correlation.
- Supervision 5: Christmas Revision. Sketch Answers to the Questions. Readings on Hypothesis Testing. A Note on Sampling Distributions.
- Mock Exam I. Results.
- Supervision 6: Further Regression Analysis.
- Supervision 7: Linear Algebra & Applications. Graphs.
- Supervision 8: Time Series & Advanced Regression Models. Sketch Solution (Time Series).
- Supervision 9: Taylor Series Approximation, Difference and Differential Equations.
- Supervision 10: Empirical Project. Data. Project Requirements. Frequently Asked Questions.
- The Excel 2007 Data & Statistics Cookbook
- Excel For Statistical Data Analysis
- Exercises and Solutions
- Solution Sketches
- Mock Exam II.
- Supplementary Note on Jacobians, Hessians, IFT and Comparative Statics
National Student Academy (NSA) - Economics Section
- Material available here (access details are given to the NSA students only)
- Winter Session 2012:
- Frequently Asked Questions
- Topic 1: Basic Economic Ideas. Answers
- Topic 2: The Price System and the Theory of the Firm. Answers
- Topic 3: Government Intervention in the Price System. Answers
- Grades for Tutorials 1-3
- Topic 4: Competition and Strategic Behaviour. Answers
- Topic 5: International Trade. Answers
- Topic 6: Game Theory with Applications. Supplementary Material. Answers
- Grades for Tutorials 4-6
- Supplementary Readings: Principles of a Free Society
2010/2011
Mathematics and Statistics for Economists (Paper 3)
- Material available here (access details are given to my supervisees only)
- Supervision 1: Differentiation. Several graphs.
- Supervision 2: Sets, Probability and Distributions. Sketch of the answer to 5c. A note on the conditional expectations with several examples. Galileo problem.
- Supervision 3: Constrained and Unconstrained Optimisation. A note on duality. Several graphs.
- Supervision 4: Estimation, Hypothesis Testing, Correlation and Regression. A note on the hypothesis testing, a power of test, hypothesis relating to a regression coefficient, and one- and two-sided t-tests.
- Holidays Revision. Sketch Answers.
- Supervision 5. Further Regression Analysis. Efficiency and unbiasedness.
- Supervision 6. Taylor Series Approximation, Difference and Differential Equations.
- Supervision 7. Time Series Analysis. Hints. Several graphs.
- Supervision 8. Matrix Algebra. Additional problems. Several graphs.
- Supervision 9. Presentation on Econometric Project. Violations of the Classical Assumptions. Data and Excel help-files.
- A Note on Sampling Distributions
International Trade Theory and Policy (Paper I)
- Material available here (access details are given to my supervisees only)
- Supervision 1
- Supervision 2
- Additional Material on the 'Old' and 'New' Trade Theory
- Several Illustrations