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-
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
· Contact lecturer: Marius.Brulhart@unil.ch
· Contact assistant: Federica Sbergami, office 623, ph.: 692
3318.
office hours: Wednesday,
· 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)
PowerPoint presentations
can be downloaded by clicking on section headings (password protected).
- 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
- Unit roots
- Bivariate cointegration
- Multivariate cointegration
- Vector autoregression
+ Data manipulation
+ Stata software
+ Practical applications
Deadline for choice of topics:
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
- For large sets of census micro data on
individiual persons or households (mainly on
Some of the
files used in lectures can be downloaded here:
·
sampling_ols.do; sampling_lad.do
·
Stata GMM ado file ("ivgmm0")
· ivgmm0.ado
·
Stata explanatory note to ivgmm0.ado
·
Stata GMM do file ("gmm_prog")
·
Hensher-Greene travel mode choice data
· Mroz data (for exam)
- Kurt Schmidheiny's Quick Guide to Stata 8
- Stata
Corporation*
- Stata add-on procedures written by
researchers* (based at
- More Stata resources* (based at UCLA)
- Econometric resources on
the internet
- WebEc
internet resources in economics (incl. links to datasets)
§
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