Dr. Philip Shaw
Dealy Hall, East 522
Office Hours: Monday, 2pm-3:30pm & Thursday 2pm-3:30pm.
class will begin with an exploration of the properties required to
obtain causality in econometrics. We will focus largely on
the theoretical properties of conditional expectations operators and
basic asymptotic theory applied to ordinary least squares (OLS),
two-stage least squares (2SLS), and nonlinear methods such as discrete
response models. Although this is an applied class, I expect
students to have a good grasp on the theoretical properties of each
type of estimator covered. We will also introduce nonparametric
methods and contrast them to the parametric methods introduced in the
first half of the semester.
The grading for the class breaks down as follows:
Final Exam (40%)
Class Project (15%)Problem Sets (5%)
Wooldridge, J., 2010. Econometric Analysis of Cross Section and Panel Data, MIT Press, Edition 2.
Li, Q. and Racine, J., 2007. Nonparametric Econometrics: Theory and Practice, Princeton University Press, Edition 1.
1. Causal Relationships and Ceteris Paribus Analysis
2. Conditional Expectations and Related Concepts in Econometrics
3. Basic Asymptotic Theory
II. Linear Models
4. Single-Equation Linear Model and Ordinary Least Squares Estimation
5. Instrumental Variables Estimation of Single-Equation Linear Models
6. Additional Single-Equation Topics
7. System Estimation of Instrumental Variables and Simultaneous Equations Models
III. Nonlinear Models and Related Topics
8. Binary Response Models
IV. Nonparametric Methods
9. Density Estimation
10. Regression Estimation with Exogenous Covariates
11. Regression Estimation with Endogenous Covariates
Where to get R: http://cran.wustl.edu/
R-code Posted Below
Problem Sets:PS1 PS2 PS3
Data Sets and Descriptions:
DOWNLOAD ENTIRE DATA SET BELOW:
INDIVIDUAL DATA SETS:
Additional Readings Posted BelowBootstrap Additional Readings
Horowitz, J. “The Bootstrap”., Handbook of Econometrics, Volume 5, 2001. p. 3160-3186. Download Here!
Instrumental Variables Estimation Additional Readings
Staiger, Douglas and Stock, James H., 1997. "Instrumental Variables Regression with Weak Instruments"., Econometrica, Vol. 65 (3), 557-586. Download Here!
Moreira, Marcelo., 2003. "A Conditional Likelihood Ratio Test for Structural Models"., Econometrica, Vol. 71 (4), 1027-1048. Download Here!
Lewbel, Arthur., 2012. "Using Heteroscedasticity to Indentify and Estimate Mismeasured and Endogenous Regressor Models"., Journal of Business & Economic Statistics, Vol. 30 (1), 67-80. Download Here!