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. 

2016 Midterm 1

2016 Midterm 2

2016 Final

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

FINAL:  December 5, 10am-12am in Room 212.

Material Covered 2017



The following notes may be adjusted during the semester.

Note on Panel 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)

Weak Instruments :

Read the example in Davidson-MacKinnon, pp. 326-327

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


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



Homework 7      MainHW7                         Wed Nov 1  

Homework 8      HW8-zipped                   Wed Nov 15  

Homework 9      HW9-zipped                   Mon Nov 20  


Homework 10   Hansen-Singleton pgm   Mon Nov Oct 27