ECON 870
Fall, 2009
Homework - 1
Due on Sep 11, 2009
Saraswata Chaudhuri
Fernando Chague
Reading: Chapters 1 and 2 of Econometrics by Fumio Hayashi.
Analytical Exercises:
Chapter 1: Problem 4 (pg. 72-74), Problem 6 (pg. 75), Problem 7 (pg. 75-76)
Chapte
Econ 870: Advanced Econometrics
Fall 2013
TA: Kaiji Motegi
Recitation #12: Parallel Computing in Matlab
November 15, 2013
This memo explains how to set up a parallel computing environment in Matlab. The following
procedure may slightly differ depending on
Econ 870 Recitation 3:
Answer Keys to Review Quiz
Kaiji Motegi
September 6, 2013
A
Review of some asymptotic results
(A1) We have that:
c I(X > c) X,
(1)
where I(X > c) is the indicator function which equals 1 if X > c and 0 otherwise. Taking the
expectat
Econ 870 Recitation:
Review of Matrix Algebra (Continued)
Kaiji Motegi
September 13, 2013
1
Motivation
In Recitation 2 we conrmed that matrix algebra is a required technique for econometrics, and
covered the following three cases:
1. derivative of a scala
Econ 870
Problem 2, Homework 2
Kaiji Motegi
Due on October 14, 2013
1
Motivation
This extra problem is based on L. P. Hansen and K. J. Singleton (1982), Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica,
ECON 870 Fall, 2009
Welcome Quiz August 25, 2009
Saraswata Chaudhuri Fernando Chague
[Total Points = 3+3+3+3+3+5 = 20] Consider i = 1, . . . , n observations (yi , xi ) from the model y = x + u. 1. List the Gauss-Markov assumptions under which the estimat
ECON 870 Fall, 2009
Solution of the Welcome Quiz August 25, 2009
Saraswata Chaudhuri Fernando Chague
(1) In this particular linear model with a single regressor, the sucient assumptions to make OLS a BLUE are: (i) Strict exogeneity of x, i.e. E [ui |x1 ,
Econ 870 - Advanced Econometrics - Fall 2009 Prof. Saraswata Chaudhuri T.A. Fernando Chague Recitation #1 Monte Carlo [Hayashi page 81] Monte Carlo analysis1 simulates a large number of samples from the model to study the nite-sample distribution of estim
ECON 870
Fall, 2009
Homework - 5
Due on Dec 03, 2009
Saraswata Chaudhuri
Fernando Chague
Reading:
1. Lecture Notes on Weak Instruments
2. Gregory, A. W. and M. R. Veall (1985): Formulating Wald Tests of Nonlinear Restrictions,
Econometrica, 53, 14651468.
ECON 870
Fall, 2009
Homework - 4
Due on Nov 16, 2009
Saraswata Chaudhuri
Fernando Chague
Reading:
Clarida, Gali and Gertler.: MONETARY POLICY RULES AND MACROECONOMIC STABILITY: EVIDENCE AND SOME THEORY, Quarterly Journal of Economics, Vol. 115, No.
1 (200
Econ 870 Recitation 2:
Review of Matrix Algebra
Kaiji Motegi
August 30, 2013
1
Motivation
Econometrics often requires matrix calculus when you optimize an objective function (e.g. minimizing the sum of squared residuals, maximizing log-likelihood, etc.).