2024 Midterm 1

2024 Midterm 2

2024 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.

Notes (I leave the notes from last year, but you may note that some of this was covered in Econometrics I and will not be covered again, except we may dive a bit deeper into some of the issues):

Review of Maximum Likelihood (updated 2022).

Binary Choice Models Binary Choice (version 2025).

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)

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    

Likelihood Dependent Variables    

Short intro to duration models     (Small update Oct 2025)

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

Short intro to Multivariate, Multinomial, Ordered and Sequential Probit/Logit Models     (updated 2023)

Short intro to identification in multivariate linear model    

Short intro to bootstrapping of critical values    

Short intro to robust cluster estimation of standard errors (some corrections 2022)    

Short intro to ARCH, GARCH, Volatility models (some typo corrections 2024)    

Short intro to unit roots and ADF tests     

Short intro to cointegration     

Homework #       Matlab Code           Due

Homework 1               Pdf   Code            Wed Sep 3

Homework 2       Program code panel estimation              Monday September 8