Theory and Practice of Econometrics
Spring 2013
Assignments
There are two kinds of assignments for this class: daily assignments that are done individually and submitted prior to 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
- Due January 31: Proving a property of statistical summations
- Due February 1: Maximum-likelihood estimators
- Due February 4: Some basic Stata commands
- Due February 6: Simple regression in matrix form
- Due February 7: Interpreting a quadratic equation
- Postponed to February 11: Interpreting Stata regressions
- Due February 13: Linear tests of hypothesis
- Due February 14: Interpreting R-square
- Due February 15: Log models
- Due February 18: Matrices in multiple regression
- Due February 20: Multiple regression tests
- Due February 21: F tests
- Due February 22: Coefficient restrictions
- Due February 25: Interactions
- Due February 27: Chow tests
- Postponed to March 1: Using dummies to examine functional form
- Due: March 4: Midterm preview question
- Due: March 8: Heteroskedasticity
- Due: March 11: Method of moments and instrumental variables
- Due: March 13: Instrumental variables
- Due: March 15: Identification
- Due: March 25: IV estimation and tests
- Due: March 27: Seemingly unrelated regressions
- Due: March 28: Lag operators
- Due: March 29: Roots of polynomials
- Due: April 1: Covariance in AR(1) error models
- Due: April 3: The ARDL model
- Postponed to April 5: Choosing among lag specifications
- Postponed to April 8: Topics for final project
- Due: April 10: Dickey-Fuller tests
- Due: April 11: Cointegration examples
- Due: April 15: Pooled data
- Due: April 17: Panel estimation
- Due: April 18: Random effects
- Due: April 19: Limited dependent variables
- Due: April 22: Interpretation of probit models
- Due: April 24: Multinomial choice models
- Due: April 25: Ordered probit
- Due: April 26: Censorship
- Due: April 29: Specification searches
- Due: May 1: Quantile regression
Weekly econometric projects
Project Guidelines
Sample Project Report
- Project 1: Monte Carlo analysis of OLS estimators (due February 11)
- Data set: MC_Class_Demo.dta
- Do-file: olstest.do
- Project 2: Simple regression analysis of course evaluation data (due February 18)
- Data set: Evals.dta
- Project 3: Using multiple regression to analyze house prices (due February 25)
- Data set: hprice.dta
- Project 4: How do increases in benefits affect teachers' salaries? (due March 4)
- Data set: Teacher93.dta
- Project 5: Testing the quantity theory of money with cross-country inflation data (due April 1)
- Data set: brumm.dta
- Project 6: The dynamic relationship between the price of sugar cane and area planted (due April 8)
- Data set: bangla.dta