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Advanced Econometrics II, Part II
Master in Economics and Finance, Winter 2021
Barcelona GSE
Syllabus
Writing
tips
(Cochrane)
Hayashi 's Econometrics
book
Wooldridge's Econometrics
book
Bruce Hansen's Econometrics
book
Week 1
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
Week 2
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
Week 3
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)
Week 4
Slides
Handout 3:
Multiple equation GMM
(cont).
Problemsets
Problemset 3.
Due:
Readings:
Wooldridge, chapters 7 and 8