Econometrics II
Fall 2011
Key
Materials
on Matlab Tutorials
1. http://www.mathworks.com/academia/student_center/tutorials/launchpad.html
2. http://www.math.ufl.edu/help/matlab-tutorial/
3. http://www.ag.unr.edu/moeltner/Matlab%20Tutorial/Matlab%20Tutorial.pdf
Matlab
Installation Guide (Using Apache Server).
Materials
on Stata Tutorials
1. http://data.princeton.edu/stata/#s11
(webpage)
2. http://www.youtube.com/watch?v=OXOcz22YwMw
(video)
3. http://www.youtube.com/watch?v=olkv_8jMSY8&feature=related
(video, importing data)
4. http://www.youtube.com/watch?v=F1Zj7W_z8yk&feature=related
(video, Logit model)
Lecture
Notes and Matlab Examples
Lecture note (Matlab
basic) Data X and Y
Matlab Basic (Regression)
Panel
Covariance Estimator (function, example)
Monte
Carlo Examples
Bootstrap
Examples
Example 3 (Nonparametric for serial
correlation)
Example 5 (Not pivotal case: Dynamic Panel
Regression where N>T)
Maximum
Likelihood Estimation
Method of
Moments and GMM
MoM: Example,
Moment function(covariance) Moment function2(correlation) Data
GMM: Moment function
Limited
Dependent Variable Examples
Example 1 (logit
function in Matlab)
Example 2 (Logit
Monte Carlo Studies in Stata)
Example 3
(Panel Logit fixed and common time effects, data, program)
Monte
Carlo Simulation in Stata
Example
1 (Tobit)
Example
2 (Nickell Bias)
Truncated
Regression
Powells Balanced Trimmed
Estimator (Stata
Old
Assignments
(Answer: Matlab codes. Download and unzipped it, and then run ‘runthisfirst.m’)
Assignment 7 (Matlab code for Q1)
Reference
Covariance
Estimation
Donald W.K.
Andrews “HAC covariance matrix estimation”
Bertrand,
Duflo and Mullainathan 2004 (QJE) “How much should we trust did estimates”
Bootstrap
Horowitz (2001,
Handbook of EM Vol 5) “The bootstrap”
Difference in Difference
Jeff Woodridge
2007 NBER Lecture “Difference in Differences War Estimation”