ECON8331f2022

ECON8331f2022 Econometrics II
Fall 2022 Instructor: Bent E. Sorensen

Classes will be in person and on Zoom. I expect you to attend most classes in person, though. Classes September 21 and TBA will be Zoom only as I am out of town.

TA: William Bennett. email: williamrobertbennett@protonmail.com

William have office hours TuTHu 11.30-1.00, or by appointment.

TA Session will be in person Friday in SR2 134 from 11:30am to 1:00pm.

No class: TBA if needed

Make-up classes: Monday Oct 31 in SR2 134 4pm-5:30pm

Exam Friday December 2nd.

Syllabus

Two midterms, Monday September 26th and Monday October 24th.

2021 Midterm 1

2021 Midterm 2

2021 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 (similar for 2021)

Notes:

Review of Maximum Likelihood (updated 2022).

Binary Choice Models Binary Choice (version 2022).

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 with more details. Small corrections 2022)

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 (important addition for unbalanced panels 2021)

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 (updated 2022 for more consistent notation)

GMM Notes part 2 (updated 2022)

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

Class Handouts 2021 (I expect to use version of these, with small updates)

Statistics Notes Aug 24

Newton Algorithm Aug 26

Information Matrix Identity Aug 26

Likelihood Dependent Variables Sep 2

Short intro to duration models (Updated Sep 2022)