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Columbia University
Department of Economics
Economics G6412
Introduction to Econometrics II
Spring 2004
Professor Alexei Onatski
IAB 1007
854-3685; [email protected]
Office Hours: Friday 12-1 p.m. and by appt
TA: Claudia Canals-Perez, [email protected]
Recitations: Wednesday 2-3:30 p.m., IAB 411
OH: TBA
Course Description
Economics G6412 is a second course of econometrics at the graduate level. The first half
of the course is devoted to the linear regression model and least squares. Both large and
small sample properties are studied. Our discussion in the first half of the course leads us
to more advanced topics in the second half, including robust standard errors estimation,
panel data, instrumental variables, and limited dependent variables. Each of these topics
will be considered from both a theoretical and empirical viewpoint. The goal is for each
of these viewpoints to shed light on the other, so that by the end of the semester we will
be well on our way to competently practicing econometrics.
Lectures and recitations
Class will meet twice a week for one and a half hour lectures and once a week for
recitations. Recitations will be conducted by TA.
Textbooks and readings
The two required textbooks for the course are A Course in Econometrics, Arthur S.
Goldberger, 1991, Harvard University Press, and Econometric Analysis, William H.
Greene, 2003, Prentice Hall. The applied papers are meant to serve as tools for
motivation and further understanding of the material. Additional supplementary
references will be provided during the semester.
Problem Sets
Econometrics is learned through practice and solving problems. Thus the problems sets
are an integral part of the course. Much of the emphasis on applications comes through
the problem sets. STATA is the required statistical software package.
Grading
Grades will be based on the four problem sets (5% each for a total of 20%), a midterm
exam (30%), and a final (50%).
Prerequisites
An understanding of the probability and statistics concepts at the level of Introduction to
Econometrics I course is assumed. Familiarity with matrix algebra will also be necessary.
COURSE OUTLINE
Review: Concept of Regression, Matrix Algebra and Statistics
Greene Appendix A,B,C
Galton F. (1886) “Regression Towards Mediocrity in Hereditary Stature”,
Journal of the Anthropological Institute of Great Britain and Ireland, Vol. 15, pp.
246-263.
Ordinary Least Squares
Small Sample:
Goldberger Chapters 1, 4, 5, 7, 11.1-11.3, 12, 13.5, 14, 15, 16, 17.1-17.3, 19.119.4, 20, 21, 22.4-22.5, 23, 25.1-25.4
Greene Chapters 3, 4
Large Sample:
Goldberger Chapters 9, 11.4-11.5, 13.1-13.2, 24, 25.5
Greene Chapters 5.2
Rose, N. (1987) “ Labor rent Sharing and Regulation,” Journal of Political
Economy 95 (6), 1146-1178.
Generalized Least Squares
Goldberger Chapters 27, 28
Greene Chapters 10.1-10.4, 11, 12
Panel Data
Greene Chapter 13
Card, D. and A. Krueger (1994) “Minimum Wages and Employment: A Case
Study of the Fast Food Industry in New Jersey and Pennsylvania,” American
Economic Review 84 (4), 772-793.
Schaller,. H. (1990) “ A Re-examination of the Q Theory of Investment Using
U.S. Firm Data,” Journal of Applied Econometrics 5 (4), 309-325.
Instrumental Variables
Greene Chapters 5.4, 5.5, 15.5
Holland, P.W. (1986), “Statistics and Causal Inference,” Journal of the American
Statistical Association 81 (396), 945-970.
Pischke, J.S. (1995) “Measurement Error and Earnings Dynamics: Some
Estimates from the PSID Validation Study,” Journal of Business and Economic
Statistics 13 (3), 305-314.
Levitt, S.D. (1997) “Using Electoral Cycles in Police Hiring to Estimate the
Effect of Police on Crime,” American Economic review 87 (3), 270-290.
GMM
Greene Chapters 10.4, 18
Hansen, L.P. and K. J. Singleton (1982) “Generalized Instrumental Variables
Estimation of Nonlinear Rational Expectations Models”, Econometrica, Vol. 50,
No. 5, pp. 1269-1286.
Limited Dependent Variables
Greene Chapters 21.1-21.7, 22.1-22.4
Bliss C. I. (1934) “The Method of Probits”, Science, Vol. 79, No 2037, pp. 38-39.
Hausman J., A. Lo, and A. MacKinlay (1992) “An Ordered Probit Analysis of
Transactions Stock Prices,” Journal of Financial Economics 31 (3), 319-379.
Tobin, J. (1958) “Estimation of Relationships for Limited Dependent Variables,”
Econometrica 26, 24-36.