Economics 8331 
Econometrics II
Fall 2016



TA is Aritri Banerjee.  Her office hours are Tue 2.30-3.30.


Aritri will lecture the first week of class.


TA Session is Friday TBA in TBA.  Aritri will likely do an introduction to Stata Friday 8/26


Make-up classes: TBA, if needed

Midterm:  Two midterms,  Monday Oct 3 and Monday Nov 7. 

Preliminary Syllabus: The topics, and in particular the order, will be adjusted, when I see how much time things take (you need to let me know if I go to fast).

Syllabus for Midterm 1

Syllabus for Midterm 2

Syllabus for Final


NOTE: I plan to have a number of computer exercises using Stata and/or GAUSS.

NOTE: I have an old handout-introduction to GAUSS that you can borrow and copy in case you need it.

FINAL:  Friday December 2, 2pm-3.30pm in Room 212.



Note on Panel Data

Panel Data Program from Ostergaard, Sorensen, Yosha JPE 2002. the data

GAUSS Program (ML estimation of MA(1) model) for Homework 1.


Literature on clustered standard errors:

1)     Moulton, 

2)     Bertrand, Dufflo,  and Mullainathan

3)     Cameron and Miller Practioner’s Guide to Cluster –Robust Inference (link to Cameron’s WEB page which has the paper as well as Stata code and datasets)

4)     Gauss code for the paper ``U.S. Banking Deregulation, Small Businesses,  and Interstate Insurance of Personal Income.''  Journal of Finance, Vol. 62, November 2007, 2763--2801. (Cluster code starts around line 915.)

Weak Instruments :

Read the example in Davidson-MacKinnon, pp. 327-327

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)

Local Average Treatment Effects (LATE):

Derivation of simplest case in my paper in Quantitative Economics


     Teaching notes on Structural VARs (SVARs)


     Stock and Watson JEP survey on VARs


   Teaching notes on unit root testing


   Teaching notes on GMM

    Andersen-Sorensen GMM 1996 (a lot of finite sample evidence)




Assignment                      Due 

HW #1         

Homework 1                  Wed Sep 7

HW #2

Homework 2                  Wed Sep 14

(Answer sheet for GAUSS reg)

HW #3

Homework 3                  Wed Sep 28

The data (Stata format)





HW #4

         Homework 4                 Wed Oct 5

       Gauss program        

HW #5

          Homework 5                 Wed Oct 12

       Gauss program               Answer program

HW #6

          Homework 6                 Wed Oct 19

       Gauss program                              

HW #7

          Homework 7                 Wed Oct 26

       Gauss program1             

        Gauss program2             

HW #8

          Homework 8                 Wed Nov 2

       Gauss program1             


HW #9

          Homework 9                 Wed Nov 16

       Gauss program1             


HW #10

          Homework 10                 Mon Nov 21

       Gauss program1             


 HW #11

           Homework 11                 Mon Nov 28

       Gauss program1        data