Instructor:
Professor Colin Cameron
SSH Building 1124 530-564-0630
accameron@ucdavis.edu
Meeting:
Mon/Wed 10.00 – 11.50 a.m. Hunt Hall 110 **** NOTE ROOM CHANGE
Course Goals: This course continues on from 240D and presents
more advanced methods. Applications will use Stata.
Pre-requisites: The listed pre-requisite is Econ / ARE
240D.
The essential pre-requisite is Econ / ARE
240D.
Course Outline:
This is similar to Winter 2010.
I may make some minor changes but definitely include panel and spatial.
| Class 1-9 | 9 classes | Panel
data: fixed effects, random effects, correlated effects, instrumental variables, dynamic (Arellano-Bond), nonlinear, long |
CT 2005: 21.6-21.7, 22.1-22.5;
23.4. CT 2009: 8.1-8.9, 9.1-9.4; 18.2-18.3. |
| Class 10 | 1 class | Midterm exam | |
| Class 11+ | 1+ class | Monte Carlo
simulation: Random number generation, Monte Carlo study, MSL |
CT 2005: 12.8. CT 2009: 4.1-4.6; 12.6. |
| Class 12-14 | 3- classes |
Spatial
correlation
and
social
contagion Spatial error and spatial lags |
Mainly readings. |
| Class 15 | 1 class | Quantile
regression Conditional and unconditional |
CT 2005: 4.6. CT 2009: 7.1-7.5. |
| Class 16-18 | 3 classes | Bayesian
regression: Probit using Random Walk Metropolis-Hastings |
CT 2005: 13.1-13.6; 13.8. CT 2009: 4.4.6. |
| Class 19 |
1 class | Multiple
imputation Time permitting |
CT 2005: 13.7; 27.1-27.9. |
Required Material:
Cameron, A.C. and P.K. Trivedi (2005), Microeconometrics:
Methods
and
Applications, Cambridge University Press.
Plus selected papers to be listed later.
Recommended Material:
The following advanced text will also be used
Wooldridge, J.M. (2010), Econometric Analysis of Cross Section
an Panel Data, Second edtition, MIT Press.
The following will help on Stata and for panel data and Monte Carlo
simulation.
Cameron, A.C. and P.K. Trivedi (2009, 2010), Microeconometrics
using
Stata, First edition or revised first edition, Stata Press.
Other Material:
Assignments, data, etc will be posted at the course website at
Smartsite under Resources.
The following books are useful microeconometrics-related texts that
are good to have in a
microeconometrics library.
I have listed them in the sequence
close
to what I would consider buying them in. You should already have
Greene.
Greene, W.G. (2006), Econometric Analysis, 6th edition,
Prentice-Hall.
Wooldridge, J.M. (2010), Econometric Analysis of Cross Section
an Panel Data, Second edtition, MIT Press.
Maddala, G.S. (1983), Limited-Dependent and Qualitative
Variables in Economics, Cambridge University Press.
Angrist, J.D. and J.-S. Pischke (2008), Mostly
Harmless Econometrics: An Empiricist's Companion, Princeton
University Press.
Amemiya, T. (1985), Advanced Econometrics, Harvard
University Press.
Lee, M.J. (2009), Micro-econometrics:
Method
of
Moments
and
Limited
Dependent
Variables, Springer.
Davidson, R. and J.G. MacKinnon (2004), Econometric Theory and
Methods, Oxford University Press.
Greene (which you should have from 240A,B) is useful for more
elementary treatment of topics.
Wooldridge is at similar level to Cameron and
Trivedi with more on linear models, less on nonlinear models,
and more econometric rigor.
Maddala is the standard reference for
introductory
treatment of probit, logit and probit models and is cheap in paperback.
Angrist and Pischke emphasizes linear models and the natural experiment
approach.
Amemiya even now has an
excellent advanced treatment of limited dependent and discrete choice
models.
Lee has many advanced methods and is especially good for nonparametric
and semiparametric methods.
Davidson and MacKinnon is for a similar audience to Greene but with
more emphasis on econometric theory.
The preceding books emphasize cross-section data, though Cameron &
Trivedi and
Wooldridge do provide considerable coverage of panel data.
Good econometrics books on panel data are:
Baltagi, B.H (2008), Econometrics Analysis of Panel Data, 4th
edition, Wiley.
Hsiao, C. (2003), Analysis of Panel Data, 2nd edition,
Cambridge University Press.
Lee, M.J. (2002), Panel Data Econometrics: Methods of Moments and
Limited Dependent Variables, Academic Press.
Arellano M. (2003), Panel Data Econometrics, Oxford University
Press.
Computer Materials:
Stata: Assignments will use STATA. STATA is available on
both Econ
and ARE computers.
Course Grading:
Assignments 20% Due Wednesdays April 6, 20; May 18; June 1.
Midterm 30% Wednesday
April 27
Final 50% Thursday
June
9
3.30-5.30pm
Comprehensive.
Assignments must be handed in on time, so solutions can be discussed
in class and distributed in a timely manner.
No credit for late assignments. All must be done.
Academic integrity is required. What is academic integrity? See the UCD
Student Judicial Affairs website http://sja.ucdavis.edu/
As an exception to their rules, I permit some collaboration with other
students in doing assignments, but the work handed in must be
your own. Each person must create their own Stata output and write up
their own answers. And you are to write on your assignment the name
of the person(s) you worked with.
Exams will be closed book. The final exam is comprehensive.