ECON 7910
Econometrics I
Dr. Philip Shaw
Dealy Hall, East 522
Phone: 718-817-4048
Email: pshaw5@fordham.edu
Office Hours: Monday 4:00pm-5:00pm & Thursday 4:00pm-5:00pm on Zoom.
This
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.
The grading for the class breaks down as follows:
Midterm (40%)
Final Exam (40%)
Problem Sets (20%)
Textbooks:
Wooldridge, J., 2010. Econometric Analysis of Cross Section and Panel Data, MIT Press, Edition 2.
Course Outline:
I. Introduction
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
Where to get R: http://cran.wustl.edu/
Simple Commands in R
R-code Posted Below
R-Code for Moreira's CLR and IV Estimation
R-Code for Robust Standard Errors
Problem Sets:
Data Sets and Descriptions:
DOWNLOAD ENTIRE DATA SET BELOW:
INDIVIDUAL DATA SETS:
Additional Readings Posted Below
Instrumental Variables Estimation Additional ReadingsStaiger, 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!