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
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.
Literature on clustered standard errors:
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
Stock and Watson JEP survey on VARs
Andersen-Sorensen GMM 1996 (a lot of finite sample evidence)
Homework # Matlab Code Due
Homework 1 Wed August 30