Economics 342, Spring 2003
Econometrics II: Tauchen and Eraker

Outlines 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
Spring 2002: http://www.econ.duke.edu/~get/courses/342/spr00/342s02.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 candidates and workshops.

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 .ps and/or .pdf format will be posted here.

EXAMS: Previous exams in .ps and/or .pdf format will be posted here.

Texts:

*Required [Greene] Greene, William (2003), Econometric Analysis, 5th 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:

The department has a full-fledged suite of software available for your use. See http://www.econ.duke.edu/~compteam

Data:

There are many excellent sources of data on the web. Some good starting points are:

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.

http://finance.yahoo.com, http://chart.yahoo.com/d: Excellent sources for historical financial data.

COURSE OUTLINE

Review of Probability and Asymptotic Analysis

(Students are expected to do this review on their own.)

Basic Tool kit: Greene Appendices A, B, C, and D

Other Treatments: Hayashi Chapters 1 and 2; Newey and McFadden Sections 2.1-2.4 and 3.1-3.2.

Overview of Maximum Likelihood: Greene Chapter 17

I TAUCHEN'S PART

I-1 Pooling Data

Panel data models: Greene 13.1-13.2

Fixed effects and random effects models: Greene 13.3-13.4
Covariance estimation and dynamics: selected topics from Greene 13.7-13.9

Other Treatments: Hayashi Chapter 5

I-2 Systems of Equations

Seemingly Unrelated Systems (SUR): Greene 14.1-14.2

Nonlinear Systems, GLS, and GMM: Greene 14.4

Other Treatments: Hayashi Chapters 4 and 5.

I-3 Simultaneous Equations

Identification and related issues: Greene 15.1-15.3

LIML, two stage and threats least squares: Greene 15.4-15.8

Other Treatments: Hayashi Chapters 4 and 5.

I-4 Discrete Dependent Variables

Binary Models: Greene 21.1-21.4

Multinomial and Count Models: Greene 21.7-21.9

Other Treatments: Hayashi Section 7.3

I-5 Limited Dependent Variable Models

Censoring and truncation: Greene 22.1-22.5

Other Treatments: Hayashi Section 8.3

II ERAKER'S PART

II-1 Generalized Method of Moments (GMM)

Specification and Estimation: Greene 18.1-18.6

Other Treatments: Hayashi Chapters 3 and 4

II-2 Aspects of Likelihood-Based Inference and Bayesian Methods

Bayesian and Classical Methods: Greene 16.1-16.2
Maximum Likelihood: Greene Chapter 17; Hayashi Chapter 7

Economics 342, Spring 2003 Econometrics II: Tauchen and Eraker