EC 671
Advanced Econometrics
EC671
[NOTE: This site will not be updated. Instead, DROPBOX will be used.]
DATA SETS and CODES for textbook examples
Wooldridge Data sets via Baum | Sources of the data sets | Datasets from the STATA site
STATA procedures (Wooldridge) | RATS procedures for Wooldridge data sets
Greene's Official Site (data sets, limdep examples..) | Greene Data sets via Baum
DATA / PANEL DATA
RFE (Resources for Economists) DATA LINKS
PSID (Panel study of income dynamics)
NLS (National Longitudinal Survey of Youth 1997 (NLSY97)
Start here; author list; title list; source list; keyword search
STATA RESOURCES
Stata class notes with movie! (UCLA)
Econometrics Handbook (Volume 1 - 4 free pdf files, 5 - 6)
Three tests (undergraduate/MA econometrics): Exam 1, Exam 2, Exam 3
Greene textbook, Typos | His book link
STATA Help
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OUTLINE [Revised Lecture Notes, 2010] Lecture 1 (Revised, 2010) Panel I (also, see below; previously Lecture 5 or Note 5) Lecture 2 (Revised, 2010) Panel II (also, see below; previously Lecture 6 or Note 6) Corrections on Lectures 1 and 2 Lecture 3 (Revised, 2010) M-Estimation Lecture 4 (Revised 2010) MLE (also, see below; previously Lecture 7/8 or Note 7/8) Lecture 5 (Revised, 2010) Binary Discrete Choice Models (also, see below; previously Lecture 9 or Note 9)
******************* SUMMARY ******************** ------------------- Review of EC 670 ------------------------------------------- Old Note 1 Review of Regression Analysis and Extension | Older Note 1 Old Note 2 Review of Instrumental Variables Estimation | Older Note 2 Old Note 3 Review of Additional Single-Equation Topics | Older Note 3 Old Note 4 Review of System of Equations Models | Older Note 4 ----------------- Main Topics in EC 671 --------------------------------------- Old_NOTE5 Old 2007 Note 5�� Panel Data Models (I) | Older Note 5 Old Old 2007 Note 6 Further Topics in Panel Data Models (II) | Older Note 6 Old Old 2007 Note 7 Note 7: Maximum Likelihood Estimation Older Part I, Part II, and Part III Old Old 2007 Note 8 M-estimator, GMM, and Minimum Distance Estimation | OLD Note 8 Old Old 2007 Note 9 Binary Discrete Choice Models | Older Note 9 Added I (delta method) | Added II (interaction) Old Old 2007 Note 10 Extended Choice Models | Older Note 10 Old Old 2007 Note 11 Corner Solution Outcomes and Censored Regression Models | Older Note 11 Note 12 Selection Bias Models and Average Treatment Effects Models | OLDer Note 12 Note 13 Count Data Models | Older Note 13 Note 14 Stochastic Frontier Models | Older Note 14 Note 15 Duration Models | Older Note 15 Note 16 Non-linear Panel Data Models (III) | Older Note 16
======================================== Part I. Review of Linear Regression Models * (* will go fast) 1. Regression Analysis and Extension Read: CT 1.6, 4, 7; Wooldridge Ch 4; Verbeek Ch 2, Ch 3, 4.10; Green Ch 2, 3, 4, 6 NEW Note 1 | old Note 1 Word file (not proofread) STATA example and h/w data asset2.do (code) asset_pricing.zip (data files) fashion_stores.zip (clothing data) 10 Papers that Dr. Cook recommends for finance doctoral students. Linear Algebra of OLS Estimation (common ground) Assumptions in OLS and Asymptotic Inference Using OLS Heteroskedasticity-robust Inference HAC Standard errors GLS and WLS (CT 4.5) Testing Hypothesis and 3 Tests Sources of the Endogeneity Problem Treating Unobservables Nonlinear Models Testing for Structural Breaks Use of STATA and Empirical Exercises
2. Instrumental Variables Estimation Read: CT 2.4, 4.8-4.9; Wooldridge Ch 5, 9; Verbeek Ch 5; Green Ch 5 NEW Note 2 | old Note 2 (pdf) Word file (not proofread) Read: Levitt's paper 2SLS stata examples | data | excel | 2sls example (word file) | 2sls.do Instrumental Variables Estimation and 2SLS Testing for Endogeneity
Potential Pitfalls with 2SLS Issues regarding Weak Instruments ** Murphy_Topell correction | Summary (revised) | STATA code | data(mroz.dta) | output | Jing's comment | limdep code OLS with Generated Regressors and IVs GIV, GMM estimator (Wooldridge Ch 13, 14) GMM in Limdep examples | mroz.dat | mroz.des (description) Verbeek zip file including the example for Consumption based Asset Pricing Model: RATS example (verbeek154.prg) GMM Example Papers in Finance 3. Additional Single-Equation Topics NEW Note 3 | Old Note 3 (pdf) Word file (not proofread) Read: CT 4.6; Wooldridge Ch 6; Green Ch 7 References: Read: Heckmit's standard error | Murphy and Topel, and Alternative Read: D-i-D estimator and Trade liberalization | Meyer et al AER 1995 Read: How much do we trust d-i-d?
Other sampling schemes
4. System of Equations Models (Moved from Part I) Read; CT 6.9-6.10; Wooldridge Ch 7; Green Ch 14 Seemingly Unrelated Regressions GLS Endogeneity and GMM in system of equations
4. Specification Tests and Model Selection Read CT 8
================================= Part II. Linear Unobserved Effects Panel Data Models 1. Panel Data Models (I) *** Lecture 1 (Revised, 2010) Panel I *** Old_Note5 Old 2007 Note 5 | older Note 5 Stata Examples: wagepan.do (code) wagepan.dta (data) Manual
Wooldridge Ch 10; Verbeek Ch 10.1-10.3; Green Ch 13 Advantages of Panel data models and Unobserved heterogeneity Three Approaches o First Difference (FD) o Fixed Effect (FE) Models o Random Effect (RE) Models Choosing between OLS, FD, FE, BE or RE models
Someone's excellent notes on Panel data models (easy but good discussions and good examples) Notes: 1, 2, 3, 4, 5 | 6 (dynamic) | 7 (choice, FE), 8 (choice RE) | 9 (GEE) | 10 (count)
2. Further Topics in Panel Data Models (II) Lecture 2 (Revised, 2010) Panel II Wooldridge Ch 11; Verbeek Ch 10.4-10.8; Green Ch 13 Hausman and Taylor method Dynamic Linear Models Cluster Samples Recent Issues in Panel data models Manuals Backup copy: Read (1) abond and (2) dpd (new) Stata files: Panel IV estimation (xtivreg.do | xtrivreg.log ) Hausman & Taylor Method (Stata do file | data set | log file ) Dynamic panel o TSP archives for Dynamic Panel Data models o STATA example (stata example | data) References: Lemieux paper | Hoxby paper | Friedberg paper | Levine's Bad smoking paper Fama and MacBeth : Example 1 | Example 2 | Example 3 | Example 4 | Example 5 (Fama French) | Example 6 (Fama French) | Part III. Review of General Estimation Methods * Wooldridge Ch 12, 13, 14; Verbeek Ch 6; Green Ch 17, 18 (* will go fast) Lecture 3 (Revised, 2010) M-Estimation GMM examples Stata codes| Output (email) (a) Maximum Likeihood Estimation NEW Note 7�� |� Old Note 7: Part I, Part II, and Part III Properties of MLE Hypothesis Testing Preliminary and Examples Examples o Ex6 (Poisson) | another o Ex7 (Linear using own gradient) o Ex8 (Poisson using own gradient) Exercises
(b) M-estimator, GMM, and Minimum Distance Estimation M-estimator, Extreme estimator and Properties of GMM
Part IV. Advanced Cross-Sectional Econometric Models
1. Binary Discrete Choice Models Wooldridge Ch 15; Verbeek 7.1; Green 21.2-21.5 Review on Probit and Logit Models Latent Index model? Advantages of LPM? Issues for these models Endogeneity issue Choice based sampling On heteroskedasticity and non-normality QMLE and sandwich estimator Panel Choice Models Examples and Review
** Murphy_Topell correction | Summary (revised) | STATA code | data(mroz.dta) | output | Jing's comment | limdep code Read: Sandwich estimator for the variance in logit or probit, Why?
2. Extended Choice Models Wooldridge Ch 15; Verbeek 7.2; Green 21.7-21.8
IIA assumption Nested Logit Models Ordered Probit Models Panel Models Examples and Review
3. Corner Solution Outcomes and Censored Regression Models Wooldridge Ch 16; Verbeek 7.4-7.5; Green 22.1-22.3 Inconsistency of OLS Estimation and Inference with Censored Tobit Censoring and Truncated Regression Models Panel Models Examples and Review Stata code tobit_cnreg_intreg.do | output log file | word file output
4. Selection Bias Models and Average Treatment Effects Models Wooldridge Ch 17, 18; Verbeek 7.6; Green 22.3-22.4 Censoring, Truncation and Incidental Truncation Two Stage estimation of the Tobit Model Models with Self-selectivity Corrected Standard Errors of Generated Regressors Other extended models Panel Models Counterfactual Setting and the Self-Selection Problem Propensity Score Matching Methods Differences-in-Differences Method IV Estimation
Examples and Review Stata code heckman_selection.do | output log file | word file output PSM example:
5. Count Data Models Wooldridge Ch 19; Verbeek 7.3; Green 21.9 Count Data Poisson regression models Negative binomial models Hurdle, ZIP and ZAP Models Endogeneity Issue Panel Count data models Examples Stata code and output files : poisson_negbin.do | output log file | word file output Limdep code and outputs : POISSON.LIM | poisson.out | poisson.lpj Limdep code and outputs : count_hw.lim | crime1.dat | fertil1.dat
6. Stochastic Frontier Models (Reference Papers, Green p. 429, 501-505) Various Frontier Models Efficiency Measures Ranking airline companies or banks? Why can�t we use residuals? Technical efficiency, allocation efficiency Stochastic Frontier Models Panel Data Stochastic Frontier Models Examples and Review Stata code and output files : frontier.do | output log file | word file output | frontier.txt
7. Duration Models Wooldridge Ch 20; Verbeek 7.8; Geeen 22.5 Duration and Transition Data Hazard and survival functions Non-parametric Approach Plot of Hazard Rates Homogeneity test Semiparametric and Parametric Duration models Proportional Hazard Models Parametric Duration Models Examples and Review STATA example: LIMDEP example: 8. Panel Data Models (III) (Total Review of ) Panel Data Models for Limited Dependent variables Models Integrating-out and Conditioning-out methods GEE models Latent Class models Survey paper by Greene (good! Read this!) Panel RE models Review in STATA (good! Skim through this!) Recent developments in Panel data models (survey by Arrelano and Bonore)
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Bootstrap Examples Jing's note (basic bootstrap in stata) | example code bootstrap.do Gauss codes: boot_block.g | boot_s_mean_ci.g | ec671/boot_reg_res.g
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