TA Session is Friday 2:30-4:00pm in M109.
No class: Monday October 22nd.
Make-up classes: TBA, if needed
SyllabusTwo midterms, Monday Oct 1 and Monday October 29.
NOTE: There will be computer exercises using Matlab (and maybe Stata) as part of the homeworks
FINAL: November 28 in class.
Notes:
I will talk (August 29th) about my 1992 JBES article on credit rationing. (Example of an ordered-sequential logit model.)
After covering the selectivity model, I will talk (September 5th, or the following class) 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.
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:
Read the example in Davidson-MacKinnon, pp. 326-327
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)
Local Average Treatment Effects (LATE):
Derivation of simplest case in my paper in Quantitative Economics
Stock and Watson JEP survey
GMM Notes part 3 (The first 2 pages are the most important. The theory is not going to be on exam.)
Homework # Matlab Code Due
Homework 1       MainHW1 Wed August 29
Homework 2 Wed Sep 5
Homework 3 MainHW3 Wed Sep 13
Homework 4 Wed Sep 19
MainHW 4a LikelihoodHW4a1 LikelihoodHW4a2
Homework 5 MainHW5 Wed Sep 26
Homework 6 Wed Oct 17
HW6 bootstrap code HW6 LIML codeHomework 7 Hansen-Singleton pgm Wed Oct 24
Homework 8 (updated) Wed Nov 7
Homework 9 Wed Nov 14
Homework 10 Program for Cluster Monday Nov 19