ECON8331f2019

ECON8331f2019 Econometrics II
Fall 2019 Instructor: Bent E. Sorensen

TA: Xavier Bautista. His office hours are Friday 5-6pm or by appt.

TA Session is Friday 2.30-4pm in M 212.

No class: Wednesday September 4th, Monday November 18th, and November 25th (last official day of classes)

Make-up classes: Friday Aug 23rd, Thursday Nov 21st, Monday Dec 2nd. Exam Monday December 2nd 10-12pm.

Syllabus

Two midterms, Monday September 30th and Monday October 28th.

2018 Midterm 1

2018 Midterm 2

2018 Final

NOTE: There will be computer exercises using Matlab (and maybe Stata) as part of the homeworks. NOTE: the computer exercises are at the heart of this course.

Material Covered 2018

Notes:

Review of Maximum Likelihood .

Short Introduction to Time Series. (How to work with time series model, unchanged from Macro II notes.)

Estimation of AR and MA models.

Truncation, censoring and selection. (Similar to the coverage in the Davidson-MacKinnon book.)

My 1992 JBES article on credit rationing. (Example of an ordered-sequential logit model.)

After covering the selectivity model, I will talk 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:

Class Notes on Weak Instruments (summarizes some of the surveys below)

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)

Most up-to-date survey on weak instruments Andrews, Stock, Sun (2018)

Local Average Treatment Effects (LATE):

Derivation of simplest case in my paper in Quantitative Economics

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 Aug 28

Homework 2 AR-main MA-main Wed Sep 11

Likelihood_AR Likelihood_MA

Homework 3 MainHW 3 LikelihoodHW3 Wed Sep 19

Homework 4 MainHW 4 Wed Sep 25