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”.
Supplemental exam: Tuesday,
September 13, 8-
A sample exam paper can be accessed here.
· Language: teaching in English; projects may also be written in French or German
· Time and Venue: Wednesday , CEI
· 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.
- 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.
PowerPoint presentations can be downloaded by clicking on section headings (password protected).
+ 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 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)
Some of the files used in lectures can be downloaded here:
· Mroz data (for exam)
§ 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