Basic Econometrics Aug - Dec 2007 Economics 205
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Week |
Date |
Topics |
Readings |
Assignment Due Dates |
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UNIT 1: Estimation of and Inference in Simple and Multiple Linear Regressions |
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1
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T Aug 28 |
Economic questions and data Review of Probability |
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Th Aug 30 |
Review of Statistics Linear regression with 1 regressor |
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Th |
LAB 1 |
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2
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T Sept 4 |
Inference in simple regression |
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Th Sept 6 |
Theory of simple regression |
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Th |
LAB 2 |
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3 |
T Sept 11 |
Multiple regression |
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Th Sept 13 |
class canceled |
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Th |
LAB 3 (not canceled) |
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4 |
Mo Sept 17 |
Initial proposal due 09:00 |
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T Sept 18 |
Inference in multiple regression Generalized least squares
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Gelman and Stern (2006), "The Difference between Significant and Not Significant is Not Itself Statistically Significant," American Statistician, 60 (4) |
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Th Sept 20 |
Catch-up day |
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Unit 1 Review handed out |
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Th |
LAB 4 |
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UNIT 2: Functional forms, Panel data, LDV models, and IV regression |
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5
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T Sept 25 |
Functional forms |
Unit 1 Review due |
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Th Sept 27 |
Critical assessment of regressions |
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Th |
LAB 5 |
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Mon Oct 1 |
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T Oct 2 |
Panel data methods |
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Th Oct 4 |
Panel data methods |
SW 10 |
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Th |
LAB 6 |
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| Mon Oct 8 | Data Description
due 09:00 |
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T Oct 9 |
Binary dependent variables Linear probability model |
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Th Oct 11 |
Logit and probit models |
Horowitz and Savin (2001), “Binary Response Models,” JEP, Fall |
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Th |
LAB 7 |
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T Oct 16 |
No class ... Fall break |
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Th Oct 18 |
Instrumental variables (IV) |
Angrist and Krueger (2001), “Instrumental Variables and the Search for Identification,” JEP, Fall |
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Th |
LAB 8 |
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Fri Oct 19 |
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T Oct 23 |
IV and GMM estimation |
Murray (2006), “Avoiding Invalid Instruments and Coping with Weak Instruments,” JEP, Fall |
Intro & Lit Review due 10:00 |
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UNIT 3: Systems of Equations and Time Series regression |
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Th Oct 25 |
Estimating systems of equations Parameter identification |
GH & J 17 and 18 |
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Th |
LAB 9 |
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T Oct 30 |
Estimating systems of equations |
GH & J 19 |
Unit 2 Review handed out |
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Th Nov 1 |
Experiment and quasi-experiments |
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Th |
LAB 10 |
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Mon Nov 5 |
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T Nov 6 |
Autoregressive time series models Stationarity |
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Th Nov 8 |
Dynamic effects and exogeneity |
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Th |
LAB 11 |
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Unit 2 Review due in class |
| Fri Nov 9 | ||||
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T Nov 13 |
VAR Integration and cointegration |
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Th Nov 15 |
ARCH models |
SW 16 |
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Th |
LAB 12 |
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T Nov 20 |
Catch-up day |
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Model Development & Predictions due 17:00 |
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Th Nov 22 |
No class ... Thanksgiving break |
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Th |
No lab ... Thanksgiving break |
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UNIT 4: Quantile regression, Nonparametric estimation, Monte carlo and bootstrap |
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T Nov 27 |
Quantile regression |
Koenker and Hallock (2001), “Quantile Regression,” JEP, Fall |
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Th Nov 29 |
Nonparametric estimation |
DiNardo and Tobias (2001), “Nonparametric Density and Regression Estimation,” JEP, Fall |
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Th |
LAB 13 |
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| Fri Nov 30 | Model estimation due 17:00 | |||
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T Dec 4 |
Nonparametric estimation |
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Th Dec 6 |
Count data Hazard/duration/waiting time models |
TBA |
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Th |
LAB 14 |
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T Dec 11 |
Monte carlo and bootstrap methods |
TBA |
Regression analysis paper due 17:00 |
| Th Dec 13 | Reading day | Units 3 & 4 Review handed out | ||
| Th Dec 20 | Last day of exams | Units 3 & 4 Review due, 16:00 | ||