Applied Econometrics II

(Statistique et économétrie appliquées II)

Marius Brülhart, 2004-2005, 6 credits


The aim of this course is to give students hands-on experience in the application of intermediate-level and advanced econometric techniques, as a preparation for empirical postgraduate work or for applied economic research in a professional environment, building on the skills acquired in the course “Statistiques et économétrie appliquée I”.


JUMP TO:   General info, Course Content, Project, Data, Links


Supplemental exam: Tuesday, September 13, 8-10 a.m., CEI .

A sample exam paper can be accessed here.


General Information

· Language: teaching in English; projects may also be written in French or German

· Time and Venue: Wednesday 3.15-5 p.m., CEI

· Contact lecturer: Marius.Brulhart@unil.ch

· Contact assistant: Federica Sbergami, office 623, ph.: 692 3318.

                                office hours: Wednesday, 1-3 p.m.

· Assessment:  - projects to be written up and presented in the second semester (50%)

                         - examination in summer 2005 (50%) (click here for a sample exam paper)

· Literature:    - Baltagi, B., Econometric Analysis of Panel Data, Wiley, 2nd ed., 2001.

    (comprehensive coverage of panel techniques)

- Berndt, E., The Practice of Econometrics, Addison Wesley, 1991.

    (application-based text; source of some of the exercises used in this course)

                        - Greene, W., Econometric Analysis, 4th ed., Prentice Hall, 2000.

                            (comprehensive, advanced text; very useful as "reference manual")

- Gujarati, D., Basic Econometrics, 3rd ed., McGraw-Hill, 1995.

    (introduction-level textbook)

- Hayashi, F., Econometrics, Princeton, 2000.

    (rigorous advanced textbook)

- Johnston, J. and DiNardo, J., Econometric Methods, 4th ed., McGraw-Hill, 1997.

    (good intermediate-level textbook)

- Maddala, G.S., Introduction to Econometrics, 3rd ed., Wiley, 2001.

    (introduction/intermediate-level textbook, comprehensive and clear)

- Thomas, L., Modern Econometrics, Addison Wesley, 1997.

    (introduction/intermediate-level textbook, very clear)

- Kennedy, P., A Guide to Econometrics, 4th ed., Blackwell, 1998.

    (comprehensive introduction to econometrics with a minimum of algebra)

- Stock, J. and Watson, M., Introduction to Econometrics, Pearson Eduction, 2003.

    (introductory application-oriented textbook)

- Wooldridge, J., Econometric Analysis of Cross Section and Panel Data, MIT Press, 2002.

    (advanced textbook)

 


Course Content

PowerPoint presentations can be downloaded by clicking on section headings (password protected).

0. Preliminaries

1. Introduction to Regression

  • Single-equation linear econometric models
  • OLS
  • Method of Moments
  • Maximum Likelihood

2. Principles of Estimation and Inference

  • Sampling properties of estimators
  • Hypothesis testing: LR, LM and Wald tests
  • Multiple linear regression
  • Hypothesis testing in the classical regression model

3. Violation of OLS Assumptions and Model Specification

  • Omitted variables
  • Non-spherical disturbances
  • GLS

4. Simultaneous Equation Models

  • Identification and ILS
  • 2SLS
  • 3SLS
  • Hausman specification test and instrumental variables

5. Panel Data Models

  • Fixed effects vs. random effects
  • Hausman specification test and fixed effects
  • Dynamic panel data models
  • Heteroskedasticity and correlation across panels
  • Autocorrelation within panels
  • Seemingly unrelated regressions
  • Attrition and unbalanced panels

6. Limited Dependent Variable Models

  • Discrete choice, censoring and truncation
  • Dichotomous dependent variables: linear probability, logit and probit
  • Polychotomous dependent variables (I): multinomial and conditional logit
  • Polychotomous dependent variables (II): ordered logit/probit
  • Count data (see also the short course taught by Prof. Trivedi)
  • Censored data: Tobit and Heckman

7. Time Series Models

  • Unit roots
  • Bivariate cointegration
  • Multivariate cointegration
  • Vector autoregression

+ Data manipulation

+ Stata software

+ Practical applications


Project

Deadline for choice of topics: Wednesday, 8 December 2004.

Presentation timetable: click here

Length of paper:  2,000-3,000 words (excl. tables)

Submission of paper: at the latest 48 hours before the presentation

Length of presentation:  ≥ 15 mins

Criteria for marking:   - Choice of interesting and appropriate econometric techniques

                                      - Understanding of chosen econometric techniques and of their limitations

                                      - Originality of chosen subject

                                      - Originality of data used

                                      - Quality of written and oral presentation

 

 

A selection of  interesting project papers by students of the 2002/3 and 2004/5 classes: 

Ø      Tea Danelutti: "Une étude sur la consommation de bière, de vin et de spiritueux en Suisse"

Ø      Catia Felisberto:  "Modelling Emigration from Portugal to Switzerland and a Wage Equation for Emigrants"

Ø      Sylvain Frochaux: "An Econometric Analysis of Japanese Consumption"

Ø      Nicole Mathys: "A Simple Test for the Pollution Haven Hypothesis"

Ø      Ana Cristina Molina: "Analyse de la théorie de la parité du pouvoir d'achat dans le cas de la Suisse"

Ø      Catherine Pfeifer: "Treatment Effects in Adult Education"


Data (for HEC students)

  • Students have direct access to Datastream, Compustat and Reuters (comprehensive country-level macro data and firm-level financial data) at the CEDIF (ground floor of BFSH1, next to the BCV).
  • For statistical resources on Switzerland, users logging in through the UNIL network have access to STATWEB, the data depository of the Swiss Federal Statistical Office (username: U7505, password: schweiz).
  • For large sets of census micro data on individiual persons or households (mainly on U.S., but some international), see the Integrated Public Use Microdata Series, University of Michigan (free internet resource).

 

Some of the files used in lectures can be downloaded here:

·        sampling_ols.do; sampling_lad.do

·        Nerlove data

·        Houthakker data

·        Nelson-Peck data

·        Klein data

·        GMM data (Stata)

·        Stata GMM ado file ("ivgmm0")

·        ivgmm0.ado

·        Stata explanatory note to ivgmm0.ado

·        Stata GMM do file ("gmm_prog")

·        GMM data (Eviews)

·        GMM Eviews program

·        Grunfeld data

·        New Grunfeld data

·        Hensher-Greene travel mode choice data

·        Rupp data

·        Fair data

·        Petrol data

·        Lütkepohl data

·        Mroz data (for exam)

 


Links

§         For an example of the power of clever instruments, read Steven Levitt's paper "Using Electoral Cycles in Police Hiring to Estimate the Effect of Police on Crime"

 

* If you run Stata on the HEC intranet and want to install ado files, you will first need to type the following three commands in Stata:

     sysdir set PLUS h:\stata\ado\plus

     sysdir set PERSONAL h:\stata\ado\personal

     sysdir set OLDPLACE h:\stata\ado