ECNS 562

Econometrics II (Spring 2012)

Basic Information

Lectures

  • Instrumental Variable Estimation
  • 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.csvcorn_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