Charles B. Moss • AEB 6571 Econometric Methods II

Estimation Methodologies

Lecture XXV: Generalized Method of Moments - Part I (March 21) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 13 pp. 455 - 507).
  - ^*Hall, A. 2005. Generalized Method of Moments. Oxford University Press (Chapters 1 - 3 pp. 1 - 114).
  - Vadim Marmer - University of British Columbia (Econ 627) Lecture I , Lecture II , Lecture III .
- Overheads , WMA Audio , MP3 Audio .
- 3SLS Assignment , Corn Market Data .
- Problem Set VIII.B , Oklahoma Wheat .
Lecture XXVI: Generalized Method of Moments - Part II (March 23) .

Readings
- ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 13 pp. 455 - 507).
- ^*Hall, A. 2005. Generalized Method of Moments. Oxford University Press (Chapters 1 - 3 pp. 1 - 114).
- Vadim Marmer - University of British Columbia (Econ 627) Lecture I , Lecture II , Lecture III .
Overheads , WMA Audio , MP3 Audio .
R-Code , 3SLS03-13-12.CSV .
Problem Set VIII.C , Endog03-16-12.csv .

Lecture XXVII: Maximum Likelihood - Part I (March 26) .

Readings
- ^*Cramer, J.S. 1986. Econometric Applications of Maximum Likelihood Methods. Cambridge University Press.
- ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 14 pp. 509 - 598).
Overheads , WMA Audio , MP3 Audio .
R-Code for Maxlike , R-Data .
Problem Set IX.A , AggregDiff.csv .

Lecture XXVIII: Maximum Likelihood - Part II (March 28) .
- Readings
  - ^*Cramer, J.S. 1986. Econometric Applications of Maximum Likelihood Methods. Cambridge University Press.
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 14 pp. 509 - 598).
- Overheads , WMA Audio , MP3 Audio .
- R-Code for Maxlike , AggregDiff.csv .
- Problem Set IX.B .
Lecture XXIX: Maximum Likelihood Part III -- Lagrange Multiplier Test (March 30) .
- Readings
  - ^*Cramer, J.S. 1986. Econometric Applications of Maximum Likelihood Methods. Cambridge University Press.
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 14 pp. 509 - 598).
- Overheads , WMA Audio , MP3 Audio .
- Problem SEt IX.C .
Lecture XXX: Simulation Based Estimation and Inference - Non-Normality and Effects of Small Sample (April 2) .
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 14 pp. 509 - 598).
  - ^*Laitinen, K. 1978. Why is Demand Homogeneity So Often Rejected. Economics Letters 1(3), 187-191. Science Direct
  - ^*Meisner, J.F. 1979. The Sad Fate of the Asymptotic Slutsky Symmetry Tests for Large Systems. Economics Letters 2(3), 231-233. Science Direct
  - ^*Mishra, A.K., G.T. Livanis, and C.B. Moss. 2011. Did the Federal Agricultural Improvement and Reform Act of 1996 Affect Farmland Values? Entropy 13(3), 668-682. Entropy
  - ^*Moss, C.B. and H. Theil. 2003. Homogeneity Testing Revisited Journal of Agricultural and Applied Economics 35(Special Issue), 3-4. pdf
  - ^*Shonkwiler, J.S. and H. Theil. 1986. Some Evidence on the Power of Monte Carlo Tests in Systems of Equations. Economics Letters 20(1), 53-54. Science Direct
  - ^*Taylor, T.G., J.S. Shonkwiler, and H. Theil. 1986. Monte Carlo and Bootstrap Testing of Demand Homogeneity. Economics Letters 20(1), 55-57. Science Direct
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- Problem Set X.A .
Lecture XXXI: Simulation Based Estimation and Inference - Estimating Using Simulation (April 4)
- Readings
  - ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 14 pp. 509 - 598).
  - ^*Terrell, D. 1996. Incorporating Monotonicity and Concavity Conditions in Flexible Functional Forms. Journal of Applied Econometrics 11(2), 179-194. JSTOR
  - Train, K. 2009. Simulation-Assisted Estimation, Chapter 10 in Discrete Choice Methods with Simulation Cambridge University Press. Text
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Lecture XXXII: Bayesian Estimation - An Introduction to Theory and Practice (April 6) .

Readings
- ^*Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 16 pp. 655-680).
- ^*Albert, J. 2009. Bayesian Computation with R.
Overheads , WMA Audio , MP3 Audio .
Gauss Example .

Limited Dependent Variables

Lecture XXXIII: Limited Dependent Variables - Part I (April 9)
- Readings
  - ^*Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 14).
  - ^*Greene, W.H. 2012. Econometric Analysis. Seventh Edition (Chapter 17 [Sections 17.1 - 17.3 pp. 681 - 714).
  - ^*Maddala, G.S. 1983. Limited Dependent and Qualitative Variables in Econometrics. Cambridge University Press. (Chapters 1 and 2 pp. 1-56).
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Lecture XXXIV: Limited Dependent Variables - Part II (April 11)
- Readings
  - ^*Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 15).
  - ^*Greene, G., C.B. Moss, and T.H. Spreen. 1997. Demand for Recreational Fishing in Tampa Bay, Florida: A Random Utility Approach. Marine Resource Economics 12(4), 293-305. AgEcon Search
  - ^*Greene, W.H. 2012. Econometric Analysis. Seventh Edition (Chapter 17 [Section 17.5 pp. 738 - 752]).
  - ^*Maddala, G.S. 1983. Limited Dependent and Qualitative Variables in Econometrics Cambridge University Press. (Chapter 3 pp. 59 - 78).
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Lecture XXXV: Truncating and Censoring (April 11) .

Readings
- ^*Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition . Stata Press. (Chapter 16).
- ^*Greene, W.H. 2012. Econometric Analysis. Seventh Edition (Chapter 19 [Section 19.1 - 19.3 pp. 833 - 860]).
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Lecture XXXVI: Selection and Selection Bias (April 14) .

Readings
- ^*Greene, W.H. 2012. Econometric Analysis. Seventh Edition (Chapter 19 [Section 19.5 pp. 872 - 898]).
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