Advanced Econometrics II, Part II

• Syllabus

• Writing tips (Cochrane)

• Hayashi 's Econometrics book

• Wooldridge's Econometrics book

• Bruce Hansen's Econometrics book

Slides

• Introduction: Quick review of OLS and Single Equation GMM

Readings and more:

• Chapter 3, Hayashi

• Murray paper (Review of IV papers and methods)

• Angrist and Krueger (2001) (Review of IV papers and methods)

• Watch this video on weak instruments and many instruments (G. Imbens, NBER 2007).

• IV techniques with STATA

• But be careful with the STATA output! read this document:

  On the correct use of tests of weak instruments

Slides

• Handout 2: GMM with Serial Correlation

Problemsets

• Problemset 1.

  Due: 25 Feb.

   

Readings:

• Chapter 6, Hayashi

• Two good books on Time Series Analysis (see references to specific chapters in the notes):

• Hamilton
• Brockwell and Davis

Slides

• Handout 2 (cont.)

• Handout 3: Multiple equation GMM

Problemsets

• Problemset 2.

  Due: March 4th

   

Readings:

• Hayashi, Chapter 4 [Multiple equation GMM}

• Newey and West, (1987)[HAC estimation]

• Nice Survey on GMM (by Wooldrige, 2001)

Slides

• Handout 3: Multiple equation GMM (cont).

Problemsets

• Problemset 3.

  Due: March 11th

   

Readings:

• Wooldridge, chapters 7 and 8
• Gmm with stata

Slides

• Handout 4: Extremum Estimators. M-Estimators. Maximum Likelihood Estimation.

Problemsets

• Problemset 4.

   

   

Readings:

• Chapter 7, Hayashi

• Newey and McFadden, 1994, Handbook of Econometrics

Slides

• Handout 5: Nonlinear GMM

Problemsets

• NO problem set this week

   

Readings:

• Heckman notes on Nonlinear least squares

(For those interested on this, but not really material of this course)

• An early survey of weak instruments, Stock et al (2002)
• A more recent survey (Stock and other authors,