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Applied
Econometrics
Econ
508 - Fall 2008
Syllabus |
|
|
Main
Texts
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Wooldridge,
Jeffrey (2002), Econometric Analysis of Cross Section and Panel Data,
MIT Press. |
Harvey,
Andrew (1990), The Econometric Analysis of Time Series, Second Edition,
MIT Press. |
Johnston,
Jack and John DiNardo (1997), Econometric Methods, Fourth Edition,
McGraw Hill. |
|
Lectures
by
Prof.
Roger
Koenker
|
Week |
Date |
Topic |
Readings* |
1 |
Aug
30 |
Household
Demand Models |
DM.
2 |
2 |
Sep
6 |
Single
Equation Dynamic Models |
H.
7-8 |
3 |
Sept
13 |
Model
Selection |
JdN.
7.1 & H. 5 |
4 |
Sept
20 |
Delta
Method and Bootstrap |
JdN.
11.3 |
5 |
Sept
27 |
Errors
in Variables and IV's |
H.
2.11, W. 5, JdN. 5.5 |
6 |
Oct
4 |
Simultaneous
Equations |
W.
8-9, JdN. 5.5, H. 9 |
7 |
Oct
11 |
VARS,
Causality & Cointegration |
D.
3, JdN. 8-9 |
8 |
Oct
18 |
ARCH
and Stochastic Volatility |
JdN.
6.9, H. 6.9 |
9 |
Oct
25 |
Panel
Data I |
W.
10, HT (1981), JdN. 12 |
10 |
Nov
1 |
Panel
Data II |
W.
11 |
11 |
Nov
8 |
Binary
Response & Count Data |
W.
15, W. 19, JdN. 13 |
12 |
Nov
15 |
Sample
Selection & Censoring |
W.
16-17, JdN. 13 |
13 |
Nov
22 |
Survival
Analysis Models |
W.
20 |
14 |
Nov
29 |
Quantile
Regression |
Handout |
15 |
Dec
6 |
Non-Parametric
Regression |
JdN.
11.5 |
|
* Weeks are
identified by the date on Tuesday each week. Readings indicate Section
numbers in Harvey's Econometric Analysis of Time Series, Wooldrige's
Econometric
Analysis of Cross Section and Panel Data, and Johnston and DiNardo's
Econometric
Methods. DM refers to Deaton and Muellbauer (1980) Economics and
Consumer Behavior, and D refers to Deaton (1992)
Understanding Consumption.
HT is Hausman and Taylor, "Panel Data and Unobserved Individual Effects,"
Econometrica,
(1981) 1377-1398. |
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