Charles B. Moss • AEB 6571 Econometric Methods II
Generalized Least Squares
- Lecture XVIII: Effect of Heteroscedasticity on Ordinary Least Squares (February 27) .
- Readings
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 9 Section 9.1 - 9.4 pp. 257 - 274).
- *Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 9.1).
- *Morgan, M.S. 1992. The History of Econometric Ideas. Cambridge University Press. (Chapter 8: Haavelmo's Probability Model pp. 229-258).
- *Theil, H. 1971. Principles of Econometrics. John Wiley & Sons. (Chapter 6 Sections 6.1 - 6.3 pp. 236-250).
- Overheads , Audio , MP3 Audio .
- Example R-Code for Corn Data , Illinois Corn Data .
- Koundouri, P. and N. Kourogenis. 2011. On the Distribution of Crop Yields: Does the Central Limit Theorem Apply?. American Journal of Agricultural Economics 93(5), 1341-1357. Oxford Journals .
- Problem Set VI.A , Erickson2003 .
- Lecture XIX: Weighted Least Squares - Test and Applications (February 29)
- Readings
- *Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 5).
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 9 Section 9.1 - 9.4 pp. 257 - 274).
- *Hansen, B.E. 2011. Econometrics Draft Textbook Website: http://www.ssc.wisc.edu/~bhansen. (Chapter 9.2).
- Overheads , Audio , MP3 Audio .
- Problem Set VI.B , ProductionPanel.csv .
- Lecture XX: Seemingly Unrelated Regressions - Introduction to Systems (March 2) .
Endogeneity
- Lecture XXI: Endogeneity and Instrumental Variables (March 12) .
- Readings
- Bowden, R.J. and D.A. Turkington. 1984. Instrumental Variables. Cambridge University Press. (Chapters 1 and 2 pp. 1-65).
- *Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 6).
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 8 Section 8.1 - 8.3 pp. 219 - 230).
- Radner, R. and F. Bobkoski. 1992. Some Recent Work of H. Theil on Estimation in Systems of Simultaneous Equations. In Henri Theil's Contributions to Economics and Econometrics: Volumne I (eds) Baldev,R. and J. Koerts. Kluwer Academic Publishers, 117-125.
- *Theil, H.1992. Estimation and Simultaneous Correlation in Incomplete Equations Systems. In Henri Theil's Contributions to Economics and Econometrics: Volumne I (eds) Baldev,R. and J. Koerts. Kluwer Academic Publishers, 65-107.
- Overheads , Audio , MP3 Audio .
- R-Code (Generates endogeneity), Data used in Lecture .
- Problem Set VII.A , Endog03-16-12.csv .
- Lecture XXII: Endogeneity in Systems of Equations (March 14) .
- Readings
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 10 Section 10.6 - 10.7 pp. 314 - 335).
- *Theil, H. 1971. Principles of Econometrics. John Wiley & Sons. (Chapters 9 and 10 pp. 429 - 439).
- Theil, H. 1992. Estimation of Parameters of Econometric Model. In Henri Theil's Contributions to Economics and Econometrics: Volumne I (eds) Baldev,R. and J. Koerts. Kluwer Academic Publishers, 109-116.
- Theil, H. 1992. The Aggregate Implications of Identifiable Structural Macrorelations. In Henri Theil's Contributions to Economics and Econometrics: Volumne I (eds) Baldev,R. and J. Koerts. Kluwer Academic Publishers, 127-145.
- *Zellner, A. and H. Theil. 1992. Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations. In Henri Theil's Contributions to Economics and Econometrics: Volumne I (eds) Baldev,R. and J. Koerts. Kluwer Academic Publishers, 148-178.
- Overheads , WMA Audio , MP3 Audio .
- R-Code , Data (RDta) .
- Problem Set VII.B .
Models of Panel Data
- Lecture XXIII: Fixed Effect Models for Panel Data (March 16) .
- Readings
- Arellano, M. 2003. Panel Data Econometrics. Oxford University Press. (Chapters 1 and 2 pp. 1-29).
- *Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 8 [Section 8.1- 8.2] pp. 235- 240).
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition. (Chapter 11 Section 11.1 - 11.4 pp. 314 - 335).
- *Hsiao, C. 1990. Analysis of Panel Data. Cambridge University Press. (Chapters 1, 2, and 3 [Section 3.1-3.2] pp. 1-31.
- Overheads , WMA Audio , MP3 Audio .
- Problem Set VII.C , FixedEffect09-22-11.csv .
- Lecture XXIV: Random Effect Models for Panel Data (March 19) .
- Readings
- Arellano, M. 2003. Panel Data Econometrics. Oxford University Press. (Chapters 3 and 4 pp. 31-54).
- *Cameron, A. C. and P. K. Trivedi. 2010. Microeconometrics Using Stata Revised Edition. Stata Press. (Chapter 8 [Section 8.3 - 8.7] pp. 240- 253).
- *Greene, W.H. 2012. Econometric Analysis Seventh Edition (Chapter 11 Section 11.5 pp. 359 - 364).
- *Hsiao, C. 1990. Analysis of Panel Data. Cambridge University Press. (Chapters 3 [Section 3.4-3.9] pp. 32-68).
- Overheads , WMA Audio , MP3 Audio .
- Problem Set VIII.A , Wheat Panel Dataset .
