ECON8331f2021 Econometrics II

Fall 2021       Instructor: Bent E. Sorensen

I will be out the first week. Prof. Vollrath will give you an introductory lecture Monday 8/23 and I will teach on Zoom Wednesday 8/25. Classes October 18 and 20th will be Zoom only as I am out of town.

TA: Luis Salinas.     Luis have office hours Tuesdays 3pm -- 5pm.

TA Session will be in person Friday 10-11.30 in M115.

No class: TBA if needed

Make-up classes: TBA if needed or desired

Exam Friday December 3nd TBA.


Two midterms, Monday September 27th and Monday October 25th.

2020 Midterm 1

2020 Midterm 2

2020 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 2020


Review of Maximum Likelihood (corrected a little 2021).

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

Estimation of AR and MA models (revised 2021).

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:


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, updates a little 2021)

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

Short intro to SURE estimation      (small corrections 10/6/21)

Short intro to Multivariate, Multinomial, Ordered and Sequential Probit/Logit Models     (updated Oct 21)

Short intro to identification in multivariate linear model    

Short intro to bootstrapping of critical values    

Short intro to robust cluster estimation of standard errors    

Homework #       Matlab Code           Due

Homework 1       PdfCode             Wed September 1

Homework 2                           Wed September 8

Homework 3       PdfMatlabAR-MA Code     Wed September 15

Homework 4       Program code                Wed September 22

Homework 5       Program code                Fri October 8

Homework 6       Program code                Fri October 15

Homework 7       Program code for 2SLS, LIML..        Fri October 22

           Program code panel estimation       

Homework 8       Program code for bootstrapping        Fri November 5

           Program code for clustering       

Homework 9       Program code for weak IV             Fri November 12

Homework 10          Program code               Fri November 19