ECON 7920

Econometrics II

Dr. Philip Shaw

Dealy Hall, East 522

Phone: 718-817-4048

Email: pshaw5@fordham.edu

Office Hours: Monday 2:00pm-3:30pm & Thursday 2:00pm-3:30pm on Zoom.

This class is a continuation of Econometrics I (ECON 7910). We will begin with nonlinear estimation which includes M-estimation, nonlinear regression methods, maximum likelihood methods, and generalized method of moments estimation (GMM). We will also provide an introduction to basic unobserved effects models including random and fixed effects models. Finally, we will conclude with a introductory exploration of basic time series models commonly used in econometrics.   

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. General Approaches to Nonlinear Estimation

1. M-Estimation and Nonlinear Regression

2. Maximum Likelihood Methods

3. Generalized Method of Moments and Minimum Distance Estimation

II. Linear Models

4. Basic Linear Unobserved Effects Panel Data Models

5. Introduction to Basic Time Series Models

Where to get R: http://cran.wustl.edu/

Simple Commands in R

R-code Posted Below

Problem Sets:

PS1 PS2 PS3 PS4 PS5 PS6

Data Sets and Descriptions:

DOWNLOAD ENTIRE DATA SET BELOW:

Data Files in CSV Format

INDIVIDUAL DATA SETS:

MAURO1995

Additional Readings Posted Below

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!