Theory and Practice of Econometrics
Spring 2020
Assignments
There are two kinds of assignments for this class: daily assignments that are done individually and submitted at the beginning of each class session and weekly projects (usually) done in teams of two students and submitted (electronically) by midnight Mondays. Both daily assignments and weekly projects will be posted approximately one week before they are due.
Daily assignments
- January 29: Mean sum proof
- January 30: Stata commands
- January 31: OLS assumptions
- February 3: Maximum-likelihood estimators
- February 5: Monte Carlo methods
- February 6: Matrix methods
- February 7: Interpretation of simple regression results
- February 10: Interpretation of multiple regression results
- February 12: Multicollinearity
- February 13: Covariance matrix of beta-hat
- February 14: Confidence intervals
- February 17: Tests in the multiple regression model
- February 19: F tests
- February 20: Inconsistency of OLS estimators when u and x are correlated
- February 21: Interaction terms between x variables
- February 24: Quadratic terms in x
- February 26: Partial effects in log models
- February 27: Chow tests for stability of coefficients across samples
- February 28: (REVISED) Model-choice criteria
- March 2: Experimental data and differences in differences
- March 9: Heteroskedasticity
- March 11: Lag Operators
- March 12: Covariance matrix when the error is AR(1)
- March 13: Polynomial roots
- March 16: Breusch-Godfrey test
- April 1: Lagged effects in the ARDL model (delayed from March 30)
- April 1: Choosing a lag specification (also to be discussed on April 1)
- April 3: Dickey-Fuller test
- April 3: Cointegration (also to be discussed on April 3)
- April 6: Vector autoregression
- April 8: Pooled data
- April 10: Random effects
- April 13: Method of moments and instrumental variables
- April 15: Instrumental variables application
- April 17: Identification in simultaneous equations
- April 20: Seemingly unrelated regressions
- April 22: Probit interpretation
- April 25: Ordered probit
- April 27: Censorship
Weekly econometric projects
- February 3: Downloading data, getting them into Stata, and doing some simple analysis
- February 10: Monte Carlo simulations to estimate the sampling distribution of the OLS estimator with alternative distributions of the error term Files: olstest20.do MC Class Demo.dta
- February 17: Does professor beauty affect student evaluations? Data set: Evals20.dta
- February 24: How are property values related to neighborhood characteristics? Data set: hprice.dta
- March 2: Determinants of men's wage rates Data set: wage2_class.dta
- April 13: Analysis of U.S. and Euro Zone GDP Data set: gfc.dta
- April 20: Unemployment in the U.S. states Data set: Unemp_class.dta
- April 27: Estimating the elasticity of wholesale demand for fish Data set: fish_proj.dta