ECON8331f2021

ECON8331f2021 Econometrics II
Fall 2021 Instructor: Bent E. Sorensen

I will be out the first week. Prof. Vollrath will give you an introductory lecture Monday 8/23 and I will teach on Zoom Wednesday 8/25. Classes October 18 and 20th will be Zoom only as I am out of town.

TA: Luis Salinas. Luis have office hours Tuesdays 3pm -- 5pm.

TA Session will be in person Friday 10-11.30 in M115.

No class: TBA if needed

Make-up classes: TBA if needed or desired

Exam Friday December 3nd TBA.

Syllabus

Two midterms, Monday September 27th and Monday October 25th.

2020 Midterm 1

2020 Midterm 2

2020 Final

NOTE: There will be computer exercises using Matlab as part of the homeworks. NOTE: the computer exercises are at the heart of this course.

Material Covered 2020

Notes:

Review of Maximum Likelihood (corrected a little 2021).

Short Introduction to Time Series. (How to work with time series model, unchanged from Macro II notes.)

Estimation of AR and MA models (revised 2021).

Truncation, censoring and selection. (Similar to the coverage in the Davidson-MacKinnon book, but updated with more details 2020.)

My 1992 JBES article on credit rationing. (Example of an ordered-sequential logit model.)

After covering the selectivity model, I will talk about my 2000 Journal of Econometrics article on portfolio demand. (Example of an multinomial discrete-continuous logit model.)

The following notes may be adjusted during the semester.

Note on Panel Data (small corrections 2020)

Literature on clustered standard errors:

Moulton

Bertrand, Dufflo and Mullainathan

Cameron and Miller: Guide to Cluster Robust Inference

(link to Cameron's WEB page which has the paper as well as Stata code and datasets)

Weak Instruments:

Class Notes on Weak Instruments (summarizes some of the surveys below, updates a little 2021)

Know the striking example in Nelson-Starz Journal of Business (1990)

Michael Murray's survey in Journal of Economic Perspectives 2006, (you should know the formulas on pp. 123-124 and the Stock- Yogo (2005) rule of thumb in footnote 8)

Most up-to-date survey on weak instruments Andrews, Stock, Sun (2018)

Local Average Treatment Effects (LATE) if we get to it (not 2019):

Derivation of simplest case in my paper in Quantitative Economics

GMM Notes part 1

GMM Notes part 2

GMM Notes part 3 (The first two pages are the most important. The theory is not going to be on exam.)

Class Handouts

Statistics Notes Aug 24

Newton Algorithm Aug 26

Information Matrix Identity Aug 26

Likelihood Dependent Variables Sep 2

Short intro to duration models Sep 30