Economics 342, Spring 2002
Econometrics II: Tauchen and Eraker
http://www.econ.duke.edu/~get/browse/courses/342/spr01/342s01.htm
George Tauchen and Bjorn Eraker
TA: Varoujan Khatchatrian
Outline from Previous Years
Spring 2000: http://www.econ.duke.edu/~get/courses/342/spr00/342s00.htm
Spring 2001: http://www.econ.duke.edu/~get/courses/342/spr00/342s01.htm
Prerequisites:
This course is the second course in econometrics
for Ph.D. students at Duke. It is open only to Ph.D. students in Economics
at Duke, except with special permission of the instructor. The prerequisite
is Economics 341.
Grades:
The final grade is based on a midterm examination (20%), an empirical project
(25%), a final examination (40%), and problem sets (15%). In addition,
students are expected to attend a reasonable number of the seminars of
faculty job applicants and the Triangle Econometrics Seminar.
Project:
The empirical project should be based on a published study. Your task
is to collect similar data used to that used in the published study and
either confirm or refute the findings of the published study. There are
many fine data sources on the web; under no circumstances are you to send
e-mail to the author(s) asking for the data. The empirical project must
use some of the tools developed over the semester, and, in particular,
it must utilize more sophisticated tools than OLS. The project will be
due the last day of class.
NEWS: Course news items will be posted here.
ASSIGNMENTS: Assignments in .pdf formal will
be posted here.
EXAMS: Previous exams in .pdf formal will be posted
here.
Texts:
*Required [Greene] Greene, William (2000),
Econometric Analysis, 4th Edition, Prentice Hall.
[Hayashi] Hayashi, Fumio (2000) Econometrics, Princeton
University Press.
[Newey and McFadden] Newey, Whitney, and Daniel McFadden (1994)
Chapter 36 of the Handbook of Econometrics, Volume 4, North Holland.
[Wooldridge] Wooldridge, Jeffrey, (1994) Chapter 45 of the Handbook
of Econometrics, Volume 4, North Holland.
The main text is Greene. The others are alternative treatments
of varying levels of difficulty.
Software:
Data:
There are many excellent sources of data on the
web. Some good starting points are:
http://finance.yahoo.com,
http://chart.yahoo.com/d:
Excellent sources for historical financial data.
http://nber.org: National
Bureau of Economic Research. Links to many useful economics web sites along
with useful historical statistics.
http://www.econ-datalinks.org:
Web site of the Business and Economic Statistics Section of the ASA. It
contains links to many useful data sources for economics and business.
COURSE OUTLINE
Review of Probability and Asymptotic Analysis
(Students are expected to do this review on their
own.)
Basic Tool kit:
Greene 3.1-3.9, 4.1-4.9
Other Treatments: Hayashi Chapters 1 and 2; Newey and
McFadden Sections 2.1-2.4 and 3.1-3.2.
I TAUCHEN'S PART
I-1 Pooling Data
Panel data models: Greene 14.1-14.2
Fixed effects and random effects models:
Greene 14.3-14.4
Covariance estimation and dynamics:
Greene 14.5-14.8
Other Treatments: Hayashi Chapter 5
I-2 Systems of Equations
Seemingly Unrelated Systems (SUR): Greene
15.1-15.4
Nonlinear Systems, GLS, and GMM:
Greene 15.7
Other Treatments: Hayashi Chapters 4 and 5.
I-3 Simultaneous Equations
Identification and related issues: Greene
16.1-16.3
LIML, two stage and threats least squares:
Greene 16.4-16.9
Other Treatments: Hayashi Chapters 4 and 5.
I-4 Discrete Dependent Variables
Binary Models: Greene 19.1-19.4
Multinomial and Count Models:
Greene 19.7-19.9
Other Treatments: Hayashi Section 7.3
I-5 Limited Dependent Variable Models
Censoring and truncation: Greene 20.1-20.3
Other Treatments: Hayashi Section 8.3
II ERAKER'S PART
II-1 Generalized Method of Moments (GMM)
Specification and Estimation:
Greene 11.1-11.6
Other Treatments: Hayashi Chapters 3 and 4
II-2 Aspects of Likelihood-Based Inference and Bayesian Methods
Maximum Likelihood:
Greene 4.5;
Hayashi Chapter 7
II-3 Additional Topics as Time Permits