Economics 8331 
Econometrics II
Fall 2017



TA is Xavier Bautista.  His office hours are Wed 3.00-4.00 or by appt.


Xavier will lecture the first week of class.


TA Session is Friday 1.30-3.00  in 212. 


Make-up classes: TBA, if needed

Midterm:  Two midterms, Wednesday Oct 4 and November 6. 


NOTE: There will be weekly  computer exercises using Matlab (and Stata) as part of the homeworks.

FINAL:  TBA in Room 212.


The following notes may be adjusted during the semester.

Note on Panel Data

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

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)


Homework #       Matlab Code                     Due

Homework 1                                                Wed August 30   


Homework 2      MainHW2                         Wed Sep 13  


Homework 3        MainHW3                       Wed Sep 20  


Homework 4        MainHW 4                     Wed Sep 27    



Homework 5        MainHW 5a                   Wed Oct 18

                                LikelihoodHW5a1 LikelihoodHW5a2

                             MainHW 5b



Homework 6        MainHW 6a                   Wed Oct 25

                                LikelihoodHW6a1 LikelihoodHW6a2

                             MainHW 6b