Montana State University

Eric J. Belasco

Department of Agricultural Economics and Economics
Montana State University
P.O. Box 172920
Bozeman, MT 59717-2920

Tel: (406) 994-3706
Fax: (406) 994-4838
E-mail: eric.belasco@montana.edu
Location: 309D Linfield Hall

 

ECNS 562 - Econometrics II
Spring 2012

Instructor: Eric Belasco
Office Hours: TTH 11:00am - 12:00 noon, and by appointment

You can download the Syllabus and term paper description

Lectures

  • Instrumental Variable Estimation
    olsIVSimulation.R
  • Discrete Dependent Variables
    optim.R
    binary_response.R
    discrete_response.R
    McFadden, D. (2001)  "Economic Choices."  The American Economic Review.  91(3): 351-378.
    Train, K.E. (1998) "Recreation Demand Models with Taste Differences over People."  Land Economics.  74(2): 230-239.
    Train, K. (2009) Discrete Choice Methods with Simulation (Cambridge University Press) - chapters 2,3
    Small, K.A. and H.S. Rosen.  1981.  "Applied Welfare Economics with Discrete Choice Models."  Econometrics. 49(1): 105-130.
  • Censoring and Truncation
    censoring.R
    Amemiya, T. (1984)  "Tobit Models: A Survey."  Journal of Econometrics.  24: 3-61.
    Jones, A.M. (1989)  "A Double-Hurdle Model of Cigarette Consumption."  Journal of Applied Econometrics.  4(1): 23-39.
    Gurmu, S. and P.K. Trivedi (1996).  "Excess Zeros in Count Models for Recreation Trips."  Journal of Business and Economic Statistics.  14(4): 469-477.
  • Systems of Equations
    simultaneous.R
    systems.R
    Zellner, A. (1962).  "An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias."  Journal of the American Statistical Association.  57: 742-749.
    Belasco, E.J., S.K. Ghosh, and B.K. Goodwin (2009)  "A Multivariate Evaluation of Ex ante Risks Associated with Fed Cattle Production."  American Journal of Agricultural Economics.  91(2): 431-443.
  • Time Series
    timeseries.R - globaltemp.dat, sp500.csv, corn_cattle.csv
    Engle, R. (2001) "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics."  The Journal of Economic Perspectives.  15(4): 157-168.
    Goodwin, B.K. and L.A. Vado (2007) "Public Responses to Agricultural Disasters: Rethinking the Role of Government."  Canadian Journal of Agricultural Economics.  55: 399-417.
  • Panel Methods
    panel.R
    Baltagi, B.H (2005), Econometrics Analysis of Panel Data, 3nd edition, Wiley.

Homeworks

Exams

R links