ECON8331f2018

ECON8331f2018 Econometrics II
Fall 2018 Instructor: Bent E. Sorensen

TA: Eris Azizaj. His office hours are Thursday 10.30-11.30am in M250 or by appt.

TA Session is Friday 2:30-4:00pm in M109.

No class: Monday October 22nd.

Make-up classes: TBA, if needed

Syllabus

Two midterms, Monday Oct 1 and Monday October 29.

2017 Midterm 1

2017 Midterm 2

2017 Final

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

FINAL: November 28 in class.

Material Covered 2017

Notes:

I will talk (August 29th) about my 1992 JBES article on credit rationing. (Example of an ordered-sequential logit model.)

After covering the selectivity model, I will talk (September 5th, or the following class) 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

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:

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

Stock and Watson JEP survey

GMM Notes part 1

GMM Notes part 2

GMM Notes part 3 (The first 2 pages are the most important. The theory is not going to be on exam.)

Homework # Matlab Code Due

Homework 1 MainHW1 Wed August 29

LikelihoodHW1

Homework 2 Wed Sep 5

Homework 3 MainHW3 Wed Sep 13

Homework 4 Wed Sep 19