ECON8331f2020

ECON8331f2020 Econometrics II
Fall 2020 Instructor: Bent E. Sorensen

For now, the class will be fully online. M212 is currently not open for teaching. We will reconsider in a month or so if the department allows for the use of M212.

TA: Xavier Bautista. Xavier is available by appt. most days

TA Session will be online Friday 1pm-3pm.

No class: TBA if needed

Make-up classes: TBA if needed or desired

Exam Wednesday December 2nd 10-12pm. (This can be changed if someone has a good reason, but it should be done soon.

Syllabus

Two midterms, Monday September 28th and Monday October 26th.

2019 Midterm 1

2019 Midterm 2

2019 Final

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

Material Covered 2019

Notes:

Review of Maximum Likelihood (updated a little 2020) .

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

Estimation of AR and MA models (revised 2020).

Truncation, censoring and selection. (Similar to the coverage in the Davidson-MacKinnon book, but updated with more details 2020.)

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 (small corrections 2020)

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, small corrections 2020)

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) if we get to it (not 2019):

Derivation of simplest case in my paper in Quantitative Economics

GMM Notes part 1

GMM Notes part 2

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

Class Handouts

Statistics Notes Aug 24

Newton Algorithm Aug 26

Information Matrix Identity Aug 26

Likelihood Dependent Variables Sep 2

Short intro to duration models Sep 30