Advanced Econometrics
Professor: Jose
Canals-Cerda
Address:
Department
of Economics
University of
Colorado
at Boulder
Campus Box 256
Boulder, Colorado 80309-0256
Phone: 303-492-7869
Fax: 303-492-8960
E-mail: jose.canals-cerda@colorado.edu
Office: ECON 103.
Office Hours:
Tuesday/Thursday 11:00-12:15.
Class Time: Tuesday/Thursday 12:30-1:45.
Classroom: Econ 5.
(The information in this syllabus is subject to change).
Course Objectives.
The course deals with econometric methods designed
for
the analysis of cross-section, qualitative, and panel data. The course
will
attempt to address the needs of both applied economists and theoretical
econometricians.
How to contact me.
Office Hours or by appointment.
Grading.
The grade for this class is based on:
Projects and quizzes: 30%
Midterm 1: 10%
Midterm 2: 20%
Final Exam: 40%
Students with Disabilities.
This University abides by Section 504 of the
Rehabilitation
Act of 1973 which stipulates that no student shall be denied the
benefits
of an education "solely by reason of a handicap." Disabilities
covered
by law include but are not limited to learning disabilities and
hearing, sight
or mobility impairments. If you have specific physical, psychiatric, or
learning
disabilities and require accommodations, please let me know early in
the
semester so that your learning needs may be appropriately met.
You
will need to provide documentation of your disability to the Disability
Services
Office in Willard 322 (phone 303-492-8671).
Additional Information.
Please send me a brief email message containing your
name
and with the subject "ECON8838 Student". Be aware that most of
the course
announcements will be done using e-mail. Therefore, it is important
that
you send this email to me as soon as possible.
Texts and Other Materials.
There is no single book appropriate for this class.
The
course will be based for the most part on readings from professional
journals
and working papers. I do not require students to buy any material.
However,
there are two recommended books:
Amemiya, Takeshi : "Advanced Econometrics." Harvard
University Press.
Davidson, R. and J.G. MacKinnon: "Estimation and
Inference in Econometrics." Oxford University Press.
William Green: "Econometric Analysis".
Jeffrey M. Wooldridge: "Econometric Analysis of Cross Section and Panel
Data"
Paul A. Ruud: "An Introduction to Classical Econometric Theory"
Handbooks of Econometrics.
These are general books that cover a large range of
subjects.
In addition, the following books are more specialized and provide
useful supplementary
reading:
Baltagi, Badi (1995): "Econometric Analysis of Panel
Data"
Wiley ed.
Engle, Robert and Daniel McFadden, eds. (1994):
"Handbook
of Econometrics, Volume 4". North-Holland.
Godfrey, L. G. (1988): "Misspecification Tests in
Econometrics:
The Lagrange Principle and Other Approaches" Cambridge University Press.
Hardle, W. (1990): "Applied Nonparametric
Regression." Cambridge
University Press.
Hsiao, C. (1986): "Analysis of Panel Data" Cambridge
University
Press.
Lancaster, T. (1990): "The Econometric Analysis of
Transition
Data." Cambridge University Press.
Maddala, G.S. (1983): "Limited Dependent and
Qualitative
Variables in Econometrics." Cambridge University Press.
Manski, C.F. (1988): "Analog Estimation Methods in
Econometrics."
Chapman and Hall
Manski, Charles (1995): "Identification Problems in
the
Social Sciences." Harvard University Press.
Silverman, B.W. (1986): "Density Estimation for
Statistics
and Data Analysis" New York, Chapman and Hall.
Course Outline.
[This material is subject to change]
What follows represent a tentative list of subjects
to be
covered in class. Obviously, I do not expect to review in class each
one of
the papers referenced in this list. In class we will review just a few
of
these papers, and other papers not included in this list if necessary.
You will be required to read only these papers that will be
covered in class. The remaining papers will be useful if you are
planning
on writting a paper in an specific topic. The papers to be reviewed in
class
will be announced with enough time in advance.
1. Mathematical fundamentals.
Fundamental concepts in Topology, Measure Theory,
Laws of
Large Numbers and Central Limit Theorems.
- Amemiya, Takeshi (1985): "Advanced
Econometrics."
Harvard University Press. Chaptere 3.
- Davidson, R. and J.G. MacKinnon (1993):
"Estimation
and Inference in Econometrics." Oxford University Press. Chapter 4.
2. Estimation and Hypothesis Testing in econometrics.
- Amemiya, Takeshi (1985): "Advanced Econometrics."
Harvard
University Press. Chapter 4.
- Davidson, R. and J.G. MacKinnon (1993):
"Estimation
and Inference in Econometrics." Oxford University Press. Chapter 5,
8,17.
- Godfrey, L. G. (1988): "Misspecification Tests in
Econometrics:
The Lagrange Principle and Other Approaches" Cambridge University Press.
- Newey, W.K and D. McFadden (1994): "Large Sample
Estimation
and Hypothesis Testing." In D. McFadden and R. Engle (eds.). Handbook
of Econometrics
vol 4, Elsevier, Amsterdam.
- Manski, C. R. (1994): "Analog Estimation of
Econometric
Models." in D. McFadden and R. Engle (eds.). Handbook of Econometrics
vol
4, Elsevier, Amsterdam.
- Hansen, L.P. (1982): "Large Sample Properties of
Generalized
Method of Moments Estimators." Economtrica 50, 1029-1054.
- Manski, C.F. (1983): "Closest Empirical
Distribution
Estimation." Econometrica 51, 305-319.
- Thomas J. Rothenberg (1971): "Identification in
Parametric
Models. Econometrica, Vol. 39, No. 3. pp. 577-591.
- Roger Bowden (1973): "The Theory of Parametric
Identification."
Econometrica, Vol. 41, No. 6. pp. 1069-1074.
- Adrian Pagan, Frank Vella (1989): "Diagnostic
Tests
for Models Based on Individual Data: A Survey." Journal of Applied
Econometrics,
Vol. 4, "Supplement: Special Issue on Topics in Applied Econometrics".
pp.
S29-S59.
- Gourieroux, C. Monfort, A. and A. Trognon (1984):
"Pseudo
Maximum Likelihood Methods: Theory." Econometrica 52, 681-700.
- James J. Heckman (1984): "The X^2 Goodness of Fit
Statistic
for Models with Parameters Estimated from Microdata (in Notes and
Comments)."
Econometrica, Vol. 52, No. 6. pp. 1543-1548.
- Donald W. K. Andrews (1988): "Chi-Square
Diagnostic
Tests for Econometric Models: Theory." Econometrica, Vol. 56, No. 6.
pp.
1419-1453.
- J. A. Hausman (1978): "Specification Tests in
Econometrics."
Econometrica, No. 6., pp. 1251-1271.
- Alberto Holly (1982): "A Remark on
Hausman's
Specification Test." Econometrica, Vol. 50, No. 3. (May,), pp. 749-760.
- Whitney K. Newey (1985): "Maximum Likelihood
Specification
Testing and Conditional Moment Tests." Econometrica, Vol. 53, No. 5.
(Sep.,),
pp. 1047-1070.
- Whitney K. Newey (1985): "Generalized Method of
Moments
Specification Testing." Journal of Econometrics, Vol. 29, 229-256.
- Engle, R. (1984): "Wald, Likelihood Ratio and
Lagrange
Multiplier Tests in Econometrics." Handbook of Econometrics Vol. 2,
775-826.
3. Econometric analysis of transition data.
- Lancaster, T. (1990): "The Econometric Analysis
of
Transition Data." Cambridge University Press.
- James J. Heckman (1991): "Identifying the Hand of
Past:
Distinguishing State Dependence from Heterogeneity." The American
Economic
Review, Vol. 81, No. 2, Papers and Proceedings of the Hundred and Third
Annual
Meeting of the American Economic Association., pp. 75-79.
- James J. Heckman, James R. Walker (1990): "The
Relationship
Between Wages and Income and the Timing and Spacing of Births: Evidence
from
Swedish Longitudinal Data." Econometrica, Vol. 58, No. 6., pp.
1411-1441.
- J. Heckman, B. Singer (1984): "A Method for
Minimizing
the Impact of Distributional Assumptions in Econometric Models for
Duration
Data." Econometrica, Vol. 52, No. 2. pp. 271-320.
- Elbers, C. and G. Ridder (1982). ``True and
Spurious
Duration Dependence: The Identifiability of the Proportional Hazard
Model.''
Review of Economic Studies: 49. 403-410.
- Heckman, J.and B. Honore (1989). ``The
Identifiability
of the Competing Risks Model.'' Biometrika. 76(2): 325-330.
- Lancaster, T. (1979). ``Econometric Methods for
the
Duration of Unemployment.'' Econometrica. 47(4): 939-956.
- Han, A. and J. A. Hausman (1990). ''Flexible
Parametric
Estimation of Duration and competing Risk Models.'' Journal of Applied
Econometrics.
5: 1-28.
- Kennan J. F. (1985). ''The Duration of Contract
Strikes
in U.S. Manufacturing.'' Journal of Econometrics. 28: 5-28.
- McCall, B. (1996). ''Unemployment Insurance
Rules,
Joblessness, and Part-Time Work.'' Econometrica. 64(3): 647-682.
- Meyer, B. D. (1990). ''Unemployment Insurance and
Unemployment
Spells.'' Econometrica. 58(4): 757-782.
- Moffit, R. (1985). ''Unemployment Insurance and
the
Distribution of Unemployment Spells.'' Journal of Econometrics. 28(1):
85-101.
- Sueyoshi, G. (1992). ''Semi-parametric
Proportional
Hazards Estimation of Competing Risks Models with Time-Varying
Regressors.''
Journal of Econometrics. 51: 25-58.
- Kiefer, Nicholas (1988): "Economic Duration Data
and
Hazard Functions." June Journal of Economic Literature v26 n2
646-79.
- Flinn, C.J. and J.J. Heckman (1982): "Models for
the
Analysis of Labor Force Dynamics." In R. Bassman and W. Rhodes (eds.).
Advances
in Econometrics. Vol.1, 35-95.
- Lillard, L. A. (1993): "Simultaneous Equations
for
Hazards: Marriage Duration and Fertility Timing." Journal of
Econometrics
v56 n1-2 189-217.
4. Econometric analysis of count data.
- Hausman, J., B.H. Hall and Z. Griliches (1984):
"Econometric
Models for Count Data with an Application to the Patents R&D
Relationship."
Econometrica, 52, 909-938.
- Gurmu, S. (1997): "Semiparametric Estimation of
Hurdle
Regression Models with an Application to Medicaid Utilization." Journal
of
Applied Econometrics.
- Gurmu, S., S. Stern and P. Rilstone (1998):
"Semiparametric
Estimation of Count Regression Models." Forthcoming: Journal of
Econometrics.
- Gurmu, S. and P. K. Trivedi (1997): "Recent
Developments
in Event Count Models: A Survey." Department of Economics Discussion
Paper
#261, University of Virginia.
- Cameron, C. and P.K. Trivedi (1986): "Econometric
Models
Based on Count Data: Comparisons and Applications of Some Estimators
and Tests",
Journal of Applied Econometrics. Vol. 1, pp. 29-54.
5. Discrete Choice Models.
- Amemiya, Takeshi (1985): "Advanced Econometrics."
Harvard
University Press. Chapters 9,10.
- Davidson, R. and J.G. MacKinnon (1993):
"Estimation
and Inference in Econometrics." Oxford University Press. Chapter 15.
- Maddala, G.S. (1983): "Limited Dependent and
Qualitative
Variables in Econometrics." Cambridge University Press.
- Manski, C. (1988). ``Identification of Binary
Response
Models.'' Journal of the American Statistical Association.
83(3):729-738.
- Guido W. Imbens (1992): "An Efficient
Method
of Moments Estimator for Discrete Choice Models With Choice-Based
Sampling."
Econometrica, 60, No. 5., pp. 1187-1214.
- Cosslett Stephen R. (1983):
"Distribution-Free
Maximum Likelihood Estimator of the Binary Choice Model." Econometrica,
Vol.
51, No. 3. (May, 1983), pp. 765-782.
- A. Ronald Gallant, Douglas W. Nychka (1987):
"Semi-Nonparametric
Maximum Likelihood Estimation." Econometrica, Vol. 55, No. 2., 363-390.
- Matzkin, Rosa L. (1993): "Nonparametric
Identification
and Estimation of Polychotomous Choice Models." Journal of Econometrics
v58
n1-2 137-68.
- Matzkin, Rosa L. (1992): "Nonparametric and
Distribution-Free
Estimation of the Binary Threshold Crossing and the Binary Choice
Models."
Econometrica v60 n2 239-70.
- Manski, Charles F. (1985): "Semiparametric
Analysis
of Discrete Response: Asymptotic Properties of the Maximum Score
Estimator."
Journal of Econometrics v27 n3 313-33.
- Manski, Charles F. (1975): " Maximum Score
Estimation
of the Stochastic Utility Model of Choice." Journal of Econometrics v3
n3
205-28.
- Steven Berry (1994): ``Estimating Discrete Choice
Models
of Product Differentiation.'' RAND Journal of
Economics,
25, 242-262.
- Horowitz, J.L. (1992): "A Smoothed Maximum Score
Estimator
for the Binary Response Model." Econometrica, Vol. 60, No. 3, 505-531.
- Golberg, P. K. (1995): "Product Differentiation
and
Oligopoly in International Markets: The Case of the U.S. Automobile
Industry."
Econometrica. Vol. 63, No.4, 891-953.
6. The Selection Problem.
- Amemiya, Takeshi (1985): "Advanced Econometrics."
Harvard
University Press. Chapters 9,10.
- Davidson, R. and J.G. MacKinnon (1993):
"Estimation
and Inference in Econometrics." Oxford University Press. Chapter 15.
- Heckman J.J. (1974): "Shadow Prices, Market
Wages,
and Labor Supply." Econometrica, Vol. 46, No. 4. pp. 931-959.
- James J.J. Heckman (1978): "Dummy Endogenous
Variables
in a Simultaneous Equation System." Econometrica, Vol. 46, No. 4. pp.
931-959.
- James Heckman (1990): "Varieties of Selection
Bias
(in Selectivity Bias: New Developments)." The American Economic Review,
Vol.
80, No. 2, Papers and Proceedings of the Hundred and Second Annual
Meeting
of the American Economic Association. pp. 313-318.
- James J. Heckman, Guilherme Sedlacek (1985):
"Heterogeneity,
Aggregation, and Market Wage Functions: An Empirical Model of
Self-Selection
in the Labor Market." The Journal of Political Economy, Vol. 93, No. 6.
(Dec.,
1985), pp. 1077-1125.
- Heckman, J. (1997): "Instrumental Variables: A
Study
of Implicit Behavioral Assumptions Used in Making Program Evaluations."
Journal
of Human Resources. v32, n3, 442-462.
- Heckman, J. (1979): ''Sample Selection Bias as a
Specification
Error.'' Econometrica. 47(1): 153-161.
- Ham, John C. and Robert J. LaLonde (1996): "The
Effect
of Sample Selection and Initial Conditions in Duration Models: Evidence
from
Experimental Data on Training." Econometrica v64 n1 175-205.
- Heckman, J. Hidehiko Ichimura, Jeffrey Smith and
Petra
Todd (1996): "Characterizing Selection Bias Using Experimental Data."
Forthcoming:
Econometrica.
- Manski, Charles F. (1996): "Learning about
Treatment
Effects from Experiments with Random Assignment of Treatments." Journal
of
Human Resources v31 n4 709-33.
- Manski, Charles F. (1997): "The Mixing Problem in
Programme
Evaluation." Review of Economic Studies. V.64, n4, 537-53.
- Manski, Charles (1995): "Identification Problems
in
the Social Sciences." Harvard University Press.
- Manski, Charles F. (1989): "Anatomy of the
Selection
Problem." Journal of Human Resources v24 n3 343-60.
- Vella, F (1998): "Estimating Models with Sample
Selection
Bias." Journal of Human Resources v31 n4 709-33.
- Mroz, T. (1987): "The Sensitivity of an Empirical
Model
of Married Women's Hours of Work to Economic and Statistical
Assumptions."
Econometrica 55(4):765-99.
- Whitney K. Newey, James L. Powell, James R.
Walker
(1990): "Semiparametric Estimation of Selection Models: Some
Empirical
Results ." The American Economic Review, Vol. 80, No. 2, Papers and
Proceedings
of the Hundred and Second Annual Meeting of the American Economic
Association.
pp. 324-328.
7. Semiparametric and Nonparametric techniques in
econometrics.
- Silverman, B.W. (1986): "Density Estimation for
Statistics
and Data Analysis" New York, Chapman and Hall.
- Hardle, W. (1990): "Applied Nonparametric
Regression."
Cambridge University Press.
- Roehrig, C. S. (1988): "Conditions for
Identification
in Nonparametric and Parametric Models." Econometrica, 56, 433-447.
- Kyriazidou, Ekaterini (1997): "Estimation of A
Panel
Data Sample Selection Model." Econometrica, 1997: Vol. 65, No 6, p.
1335-1364.
- Whitney K. Newey (1990): "Semiparametric
Efficiency
Bounds." Journal of Applied Econometrics, Vol. 5, No. 2. pp.
99-135.
- Donald W. K. Andrews (1991): "Asymptotic
Normality
of Series Estimators for Nonparametric and Semiparametric Regression
Models."
Econometrica, Vol. 59, No. 2., pp. 307-345.
- A. Ronald Gallant, Douglas W. Nychka (1987):
"Semi-Nonparametric
Maximum Likelihood Estimation." Econometrica, Vol. 55, No. 2., 363-390.
- Horowitz, J. (1996): "Semiparametric Estimation
of
a Regression Model with an Unknown Transformation of the Dependent
Variable."
Econometrica, 64, 103-107.
- Rilstone, Paul, Peter Bearse and Jose Canals,
1996,
``Semiparametric maximum likelihood estimation of duration models with
unobserved
heterogeneity'' Working Paper.
- Coppejans M. (1997): "Estimation of the Binary
Response
Model with Dependent Observations." W.P Duke.
- Stern, S. (1996): "Semiparametric Estimates of
the
Supply and Demand Effects of Disability on Labor Force Participation,"
Journal
of Econometrics, March/April 1996.
- Klein, R. W. and R. H. Spady (1993): "An
Efficient
Semiparametric Estimator for Binary Response Models." Econometrica v61
n2
387-421.
- Ichimura, Hidehiko and T. S. Thompson (1998)
"Maximum
Likelihood Estimation of a Binary Choice Model with Random Coefficients
of
Unknown Distribution." Journal of Econometrics.
- Ichimura, Hidehiko (1993): "Semiparametric Least
Squares
(SLS) and Weighted SLS Estimation of Single-Index Models."
Journal of
Econometrics v58 n1-2 71-120.
- [+ Other previously cited papers].
8. Panel Data.
- Hsiao, C. (1986): "Analysis of Panel Data"
Cambridge
University Press.
- Baltagi, Badi (1995): "Econometric Analysis of
Panel
Data" Wiley ed.
- Jerry A. Hausman, William E. Taylor (Nov., 1981):
"Panel
Data and Unobservable Individual Effects." Econometrica, Vol. 49, No.
6. pp.
1377-1398
- Takeshi Amemiya, Thomas E. MaCurdy (1986):
"Instrumental-Variable
Estimation of an Error-Components Model." Econometrica, Vol. 54, No.
4., pp.
869-880.
- Anderson, T.W. and C. Hsiao (1982): "Formulation
and
Estimation of Dynamic Models Using Panel Data." Journal of
Econometrics,
47-82.
- Breusch, T.S (1987): " Maximum Likelihood
Estimation
of Random Effects Models." Journal of Econometrics, 36-3 383-389.
- Manski, C.F. (1987): "Semiparametric Analysis of
Random
Effects Linear Models from Binary Panel Data." Econometrica 55, 357-362.
- Arellano, Manuel and Stephen Bond (1991): "Some
Tests
of Specification for Panel Data: MonteCarlo Evidence and an Application
to
Employment Equations." Review of Economics Studies, 58, 1991, pp.
277-297.
9. Structural Models: Simulation and Estimation.
- Rust, J. (1994): "Structural Estimation of Markov
Decision
Processes." In R. Engle and D. Mcfadden (eds.). Handbook of
Econometrics.
Vol. 4, 3082-3139. North Holland.
- Taber, C. R. (1995). ``Semiparametric
Identification
and Heterogeneity in Dynamic Programming Discrete Choice Models.''
Manuscript.
Northwestern University.
- Pakes, A. (1986). ''Patents as Options: Some
Estimates
of the Value of Holding European Patent Stocks.'' Econometrica. 54(4):
755-784.
- Stern S. (1992): "A Method for Smoothing
Simulated
Moments of Discrete Probabilities in Multinomial Probit Models."
Econometrica,
Vol. 60, n 4, 943-952.
- Berry, S. T. (1992): "Estimation of a Model of
Entry
in the Airline Industry." Econometrica, Vol. 60, n 4, 889-917
- Stern, S. (1997): "Simulation-Based Estimation,"
Journal
of Economic Literature, December.
- Keane, M. P. and Wolpin, K. I (1997): "The Career
Decisions
of Young Men." Journal of Political Economy v105 n3 473-522.
- Eckstein, Z. and Wolpin, K. I. (1989): "The
Specification
and Estimation of Dynamic Stochastic Discrete Choice Models: A Survey."
Fall
1989 Journal of Human Resources v24 n4 562-98.
- Eckstein, Z. and Wolpin, K. I. (1989): Dynamic
Labour
Force Participation of Married Women and Endogenous Work Experience."
Review
of Economic Studies v56 n3 375-90.