Economics 312

Theory and Practice of Econometrics

Spring 2014

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

1. January 30: Algebra of sums of squared deviations
2. January 31: Maximum-likelihood estimators
3. February 3: Basic Stata commands
4. February 5: Monte Carlo method
5. February 6: Matrix methods
6. February 7: Interpreting a quadratic model
   
7. February 10: Simple tests
8. February 12: More tests
9. February 13: Tests involving two coefficients
10. February 14: Choosing a functional form
11. February 17: Multiple regression in matrices
12. February 19: Multiple regression tests
13. February 20: F tests
14. February 21: Coefficient restrictions
15. February 24: Interaction terms
16. February 26: Chow test
17. February 27: Using dummies to assess functional form
18. Optional March 3: Mid-term sample problem
19. March 7: Heteroskedasticity
20. March 10: Method of moments and instrumental variables
21. March 12: IV estimation examples (Link to article)
22. March 13: IV application
23. March 14: Identification in a simultaneous-equation model
24. March 24: Seemingly unrelated regressions
25. March 26: Lag operators
26. March 27: Polynomial roots
27. March 28: Covariance matrix in an AR(1) model
28. March 31: Analyzing an ARDL model
29. April 2: Lag model choice
30. April 3: Dickey-Fuller test
31. April 4: Cointegration
32. April 9: Vector autoregressions
33. April 10: Pooled data
34. April 11: Panel-data estimators
35. April 14: Random effects
36. April 16: Likelihood functions with limited depedent variables
37. April 17: Interpretation of probit models
38. April 18: Ordered probit
39. April 21: Censorship

Weekly econometric projects

• Project 1: Monte Carlo analysis
  • Project assignment
  • Data set
  • Class demonstration do file
• Project #2: Beauty and professors' course evaluations
  • Project assignment
  • Data set
• Project #3: Neighborhood house prices
  • Project assignment
  • Data set
• Project #4: Teachers' salaries and benefits
  • Project assignment
  • Data set
• Project #5: Money and inflation
  
  • Project assignment
  • Data set
• Project #6: Dynamic analysis of crop planting and prices
  • Project assignment
  • Data set

Project Guidelines
Sample Project Report