APEC 8212: Econometric Analysis II

Transcription

1 APEC 8212: Econometric Analysis II Instructor: Paul Glewwe Spring, 2014 Office: 337a Ruttan Hall (formerly Classroom Office Building) Phone: Class Website: Office Hours: By Appointment (send me an to schedule an appointment) Lecture Hours: MW 10:40 a.m. 12:35 p.m. Classroom: Room 415, Alderman Hall Teaching Assistant: Jongwook Lee Office: 218a Ruttan Hall Phone: Course Description: This course is a continuation of Apec It will provide deeper coverage of some of the topics covered in Apec 8211 (heteroscedasticity, measurement error and maximum likelihood estimation) and will introduce many new topics (instrumental variables, panel data, simultaneous equation estimation, bootstrap methods, limited dependent variable models, density estimation, semi-parametric estimation, econometrics of program evaluation, time series analysis and hazard models). The focus will be on empirical work rather than on theoretical topics. Students should have completed Apec 8211 or an equivalent course. There are two required textbooks and three optional books for this course: Required: Jeff Wooldridge. Econometric Analysis of Cross Section and Panel Data. 2 nd ed Walter Enders. Applied Econometric Time Series (third edition) Optional: William Greene. Econometric Analysis (sixth edition) James Hamilton. Times Series Analysis Colin Cameron & Pravin Trivedi. Microeconometrics: Methods & Applications Joshua Angrist and Jörn-Steffen Pischke. Mostly Harmless Econometrics Grading: There will be homework, a midterm, and a final. Their weight in the final grade will be: Homework: 30% Mid-Term: 30% Final: 40% You must take the final at the scheduled time (Saturday May 17, 8:00 a.m.)! Computer Assignments: Much of the homework will involve econometric estimation. The software used will be Stata, which has been ordered for student use by the Department of Applied Economics.

2 Lectures: In addition to readings from Greene, Enders, Wooldridge, and Hamilton, there will also be many other readings. All will be available in Waite Library (and elsewhere, if requested). Advanced readings are marked by an asterisk. These are optional and given for anyone interested in further reading. They are not on reserve but are in the University libraries. 1. Introduction + Conditional Expectations and Related Concepts (January 22). Readings: Wooldridge, Chapters 1 and 2 2. Review of Basic Asymptotic Theory (January 24, 3:00 the 1 st of 2 lectures on a Friday). Readings: Wooldridge, Chapter 3 Review Greene, Appendix D * White, Halbert Asymptotic Theory for Econometricians (Revised Edition) Chapters 2, 3, 4 and 5. * Engle, Robert Wald, Likelihood Ratio and Langrange Multiplier Tests in Econometrics in Griliches and Intriligator, Handbook of Econometrics Volume 2. * Newey, Whitney, and Daniel McFadden Large Sample Estimation and Hypothesis Testing in Engle and McFadden, Handbook of Econometrics Volume Review of Single Equation Linear Model and OLS Estimation (January 27) Readings: Wooldridge, Chapter Instrumental Variable Methods (January 29 and February 3) Readings: Wooldridge, Chapters 5 and 6 Review Greene, Chapter 12, Sections 1-4 Bound, Jaeger and Baker Problems with Instrumental Variables Estimation Journal of American Statistical Association, 90(430): Shea, John Instrumental Relevance in Multivariate Linear Models: A Simple Measure. Review of Economics and Statistics 79(2): Stock and Yogo Testing for Weak Instruments in Linear IV Regression, in D. Andrews & J. Stock, eds. Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg. 2

3 * Staiger and Stock Instrumental Variables Regression with Weak Instruments. Econometrica, 65(3): * Stock and Wright GMM with Weak Identification. Econometrica 68(5): * Lewbel Constructing Instruments for Regressions with Measurement Error... Econometrica 65(5): * Bound, Brown and Mathiowetz Measurement Error in Survey Data. in Heckman and Leamer, Handbook of Econometrics Volume 5 * Hahn and Hausman Weak Instruments: Diagnosis and Cures in Empirical Econometrics American Economic Review 93(2): * Cruz and Moreira On the Validity of Econometric Techniques with Weak Instruments. Journal of Human Resources 40(2): Systems of Regression Equations & Simultaneous Equation Models (February 5, 10 and 12) Readings: Wooldridge, Chapters 7, 8 and 9. * Davidson and MacKinnon Estimation and Inference in Econometrics. Chapter 18, Section Panel Data (February 17 and 19) Readings: Wooldridge, Chapters 10 and 11, Review Greene, Chapter 9 Deaton pp Hausman and Taylor Panel Data and Unobservable Individual Effects. Econometrica 49(6): Deaton Panel Data from Time Series of Cross-Sections. Journal of Econometrics 30(1): *Bertrand, Duflo and Mullainathan How Much Should We Trust Difference in Difference Estimates? Quarterly Journal of Economics 119(1): * Mátyás and Sevestre The Econometrics of Panel Data. (2 nd ed.). * Arellano and Honoré Panel Data Models: Some Recent Developments in Heckman and Leamer. Handbook of Econometrics Volume 5 * Baltagi Econometric Analysis of Panel Data. (3 rd Edition) * Hsiao Analysis of Panel Data (2 nd Edition) 7. M-Estimation (nonlinear estimation) (February 24) Readings: Wooldridge, Chapter 12. 3

4 8. Maximum Likelihood Estimation (February 26) Readings: Wooldridge, Chapter 13. Review Greene, Chapter General Method of Moments Approach (March 3) Readings: Wooldridge, Chapter 14. Greene, Chapter 15. Wooldridge Application of Generalized Method of Moments Estimation Journal of Economic Perspectives 15(4): * Davidson and MacKinnon, Chapter 17. * Hansen Large Sample Properties of Generalized Method of Moments Estimators Econometrica 50(4): Limited Dependent Variable Models (March 5, 10 and 24) Maximum Likelihood Estimation and Probit and Logit. Readings: Wooldridge, Chapter 15 (sections 1 6) Review Greene, Chapter 23 (sections 1 4) Deaton, 1997, pp *Hajivassiliou and Ruud Classical Estimation Methods for LDV Models Using Simulation. in Engle and McFadden. Ordered Probits and Logits, Mutltinomial Probits and Logits Readings: Wooldridge, Chapter 15 (sections 9 and 10) Specification Tests, Endogenous Regressors and Panel Data Readings: Wooldridge, Chapter 16 Rivers and Vuong Limited Information Estimators and Exogeneity Tests Journal of Econometrics, 39: Tobits and Sample Selection Models Readings: Wooldridge, Chapters 17 and 19 Deaton, pp Smith and Blundell An Exogeneity Test for a Simultaneous Equation Tobit Model Econometrica 54(2): Chay and Powell Semiparametric Censored Regression Models Journal of Economic Perspectives 15(4): Midterm: Wednesday, March 12 Spring Break: March

5 11. Hazard Models (March 14) [Optional Lecture at Friday recitation time] Readings: Wooldridge, Chapter 20. Kiefer Economic Duration Data and Hazard Functions Journal of Economic Literature. 26: * Lancaster The Economic Analysis of Transition Data. * van den Berg Duration Models: Specification, Identification, and Multiple Durations in Heckman & Leamer. 12. Robust Estimation Bootstrap and Related Methods (March 26) Readings: Cameron and Trivedi, Chapter 11. Deaton pp * Efron and Tibshirani An Introduction to the Bootstrap. * Horowitz The Bootstrap in Heckman & Leamer. * Hall Methodology & Theory of the Bootstrap in Engle & McFadden. 13. Density Estimation and Semi-parametric Econometrics (March 28 (Friday) and 31) Density Estimation Readings: Cameron and Trivedi, Chapter 9, Sections 1-3. Deaton pp * Hardle and Linton Applied Nonparametric Methods in Handbook of Econometrics, vol. 4, pp *Pagan and Ullah Nonparametric Econometrics. Chapter 2. General Methods of Nonparametric and Semiparametric Econometrics Readings: Cameron and Trivedi, , Deaton, pp Blundell and Duncan Kernel Regression in Empirical Microeconomics. Journal of Human Resources. 33(1): * Pagan and Ullah Nonparametric Econometrics. Chapter 3. * Yatchew Semiparametric Regression for the Applied Econometrican. Chapter 4. * Ichimura and Todd Implementing Nonparametric and Semiparametric Estimators, in Handbook of Econometrics, vol. 6B. Application to Index Models and Selection Models Readings: Wooldridge, Chapter 15 (subsections 7.5 and 8.6) Vella, Francis Estimating Models with Sample Selection Bias. Journal of Human Resources 33(1): Pagan and Ullah Nonparametric Econometrics. Chaps. 5, 7 & 8. * Powell Estimation of Semiparametric Models in Engle and McFadden. 5

6 14. Econometrics of Program Evaluation (April 2 and 7) Readings: Imbens and Wooldridge Recent Developments in the Econometrics of Program Evaluation. Journal of Economic Literature 47(1): Wooldridge, Chapter 21. Blundell and Dias Alternative Approaches to Evaluation in Empirical Microeconomics. Journal of Human Resources 44(3): * Manski Identification of Endogenous Social Effects: The Reflection Problem Review of Economic Studies 60: * Heckman and Vytlacil Econometric Evaluation of Social Programs, Part I, in Heckman and Leamer, eds. Handbook of Econometrics, vol 6B. * Heckman and Vytlacil Econometric Evaluation of Social Programs, Part II, in Heckman and Leamer, eds. Handbook of Econometrics, vol 6B. 15. Time Series Econometrics (April 9, 14, 16, 21, 23, 28, 30 and May 5 and 7) Difference Equations (April 9 and 14) Reading: Enders, Chapter 1. * Hamilton, Chapters 1 and 2 Stationary Time Series Models (April 16 and 21) Readings: Enders Chapter 2 * Hamilton, Chapter 3 Estimation of Time Series Models (April 23) Readings: Hamilton, Chapters 5 and 14 Modeling Economic Time Series (April 28) Readings: Enders Chapter 3 * Hamilton Chapter 21 Unit Roots (April 30) Readings: Enders Chapter 4 * Hamilton Chapter 15 Jones Time Series Tests of Endogenous Growth Models. Quarterly Journal of Economics 110(2): Introduction to Vector Autoregression (May 5) Readings: Enders Chapter 5 (sections 1 5) * Hamilton Chapters 10 and 11 * Watson Vector Autoregressions and Cointegration. in Engle and McFadden. Introduction to Cointegration (May 7) Readings: Enders Chapter 6 (sections 1 7) * Hamilton Chapters 19 and 20 6