Econ 8370 - Econometrics I

 

Syllabus

Fall 2015. Section 01, T 4:40 - 7:10 p.m.  PDF

Stata

You can use the GradPlan to buy Stata at a reduced price. Follow the link here.

 

Class Handouts

	Main File
	Contents
Chapter 1	The Nature of Econometrics
Chapter 2	Linear regression models, OLS, assumptions and properties
Chapter 3	Stata
Chapter 4	Inference, functional forms, specification and prediction
Chapter 5	Heteroscedasticity and autocorrelation
Chapter 6	Instrumental variables, simultaneous and systems of equations
Chapter 7	Nonlinear least squares
Chapter 8	Generalized Method of Moments
Chapter 9	Maximum Likelihood Estimation
Chapter 10	Panel Data
Chapter 11	Regression Discontinuity Design	Data
Chapter 12	Censoring and Sample Selection Models

 

Presentations

Paper presentations should be scheduled for 30 minutes.

Topic	Presenter	Paper	Date
Ordinary Least Squares	Won-Seok	It pays to have friends	October 1
Ordinary Least Squares and Panels	Riani	Do social networks solve information problems for peer-to-peer lending? Evidence from prosper.com	October 8
Ordinary Least Squares	Phyu Phyu	The fit between product market strategy and business model: Implications from firm performance	October 22
Discrete Choice	Hang	The choice of airport, airline, and departure date and time: Estimating the demand for flights	October 29
Generalized Method of Moments	Shahil	Generalized Method of Moments: Applications in Finance	November 12
Generalized Method of Moments	Juan	A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix	November 19
Generalized Method of Moments	Andre	Applications of generalized method of moments estimation	November 19
Maximum Likelihood	Corey	Maximum likelihood estimation of misspecified models	December 3
Maximum Likelihood and Panels	John	Technical efficiency in competing panel data models: A study of Norwegian grain farming	December 3

 

Identification Problem I

Identification Problem II

Scientific Rigor