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.Syllabus
Two midterms, Monday September 27th and Monday October 25th.
2020 Midterm 1
2020 Midterm 2
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)
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.)
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     Pdf Code Wed September 1
Homework 2     Wed September 8
Homework 3     Pdf MatlabAR-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