ECON8331f2024

ECON8331f2024 Econometrics II
Fall 2024 Instructor: Bent E. Sorensen

Classes will be in person. Class September 4 will be on Zoom as I am out of town. .

TA: Hanieh Nasrollahi Email: haniehnasrollahi1996@gmail.com

Hanieh will have office hours TBA.

TA Session will be TBA.

No class: 11/25

Make-up classes: TBA if needed

Midterm 9/25.

Midterm 2: 10/21.

Final Exam: 11/20!

Syllabus

2023 Midterm 1

2023 Midterm 2

2023 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.

You are supposed to know what is in the notes posted here that I have written. For the articles posted, I will make clear in class what you are supposed to know in detail.

Notes:

Review of Maximum Likelihood (updated 2022).

Binary Choice Models Binary Choice (version 2022).

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

Estimation of AR and MA models (revised 2023).

Truncation, censoring and selection. (Similar to the coverage in the Davidson-MacKinnon book, but with more details. Small change in notation 2023)

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

After covering the selectivity model, I will talk briefly about my 2000 Journal of Econometrics article on portfolio demand. (Example of an multinomial discrete-continuous logit model, what you have to take away is how you should estimate a combination of a discrete choice and a continuous function, my specific application you need not memorize.)

The following notes may be adjusted during the semester.

Note on Panel Data (important addition for unbalanced panels 2021)

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, updated a little 2023)

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)

Survey on weak instruments Andrews, Stock, Sun (2018)

Valid t-Ratio Inference for IV (Lee, McCrary, Moreira, and Porter AER 2022) (Lee, McCrary, Moreira, and Porter AER 2022)

https://www.aeaweb.org/articles?id=10.1257/aer.20211063

Local Average Treatment Effects (LATE) if we get to it (otherwise this is covered in Amiee's class):

Derivation of simplest case in my paper in Quantitative Economics

GMM Notes part 1 (updated 2022 for more consistent notation)

GMM Notes part 2 (updated 2022)

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

Class Handouts (I expect to use version of these, with small updates)

Statistics Notes

Newton Algorithm

Information Matrix Identity for Normal