Instrumental Variables Regression
(SW Ch. 10)
Three important threats to internal validity are:
omitted variable bias from a variable that is correlated with X but is unobserved, so cannot be included
- GiveWin 2.02 session started at 16:54:43 on Wednesday 17 October 2001 -nic3.in7 loaded from C:\Winword\Econometrics\PcGive exercises\nic3.in7 Algebra code for nic3.in7: DLG = diff(LG,1); DLWTI = dif
File: C:\Winword\Econmet\Ref2.DOC SOME THEORETICAL WORK ON THE CONSUMPTION FUNCTION Davidson, Hendry, Srba and Yeo [DHSY] (EJ 1978) consider the steady state theory:
C = KY
(1)
Taking logs of (1) and
File: C:\WINWORD\MSCBE\Ref1.DOC
UNIVERSITY OF STRATHCLYDE
QM&FT LECTURE NOTES
ESTIMATION AND STATISTICAL INFERENCE
VARIETY OF DIFFERENT ASSUMPTIONS
UNDER
A
Aims
In these notes, we examine the properti
File: C:\WINWORD\ECONMET\Reading.DOC
UNIVERSITY OF STRATHCLYDE
APPLIED ECONOMETRICS LECTURE NOTES
APPLIED ECONOMETRICS READING LIST
General references and recommended reading.
(A) Useful articles or b
Regression with Panel Data
(SW Ch. 8)
A panel dataset contains observations on multiple entities (individuals), where each entity is observed at two or more points in
time.
Examples:
Data on 420 Calif
EQ( 5) Modelling DLCE by OLS (using nic4.in7)
The present sample is: 1970 (1) to 1990 (4) less 8 forecasts
The forecast period is: 1989 (1) to 1990 (4)
Variable
DLY
Constant
DDLY_1
DLNW_1
LY_1
LNW_1
L
File: C:\WINWORD\ECONMET\Lecture4.DOC
UNIVERSITY OF STRATHCLYDE
ECONOMETRICS LECTURE NOTES
STOCHASTIC REGRESSORS, INSTRUMENTAL VARIABLES AND
WEAK EXOGENEITY
1. INTRODUCTION
In certain circumstances, t
File: C:\WINWORD\ECONMET\Lecture2 full version.DOC UNIVERSITY OF STRATHCLYDE APPLIED ECONOMETRICS LECTURE NOTES MODEL MIS-SPECIFICATION AND MIS-SPECIFICATION TESTING Aims The estimates derived from li
File: Lecture2.DOC
MODEL MIS-SPECIFICATION AND MIS-SPECIFICATION
TESTING
We have four main objectives.
(1) To examine what is meant by the misspecification of an
econometric model.
(2) To identify the
Lecture1 presentation small ECONOMETRIC MODELLING: THE 'GENERAL TO SPECIFIC' PROCEDURE. (A) Some "facts of life": Economic theory does not tell us much about form & content of empirical model Dynamics
Lecture1 presentation ECONOMETRIC MODELLING: THE 'GENERAL TO SPECIFIC' PROCEDURE. (A) Some "facts of life": Economic theory does not tell us much about form & content of empirical model Dynamics matte
File: C:\WINWORD\ECONMET\Lecture1.DOC
UNIVERSITY OF STRATHCLYDE
APPLIED ECONOMETRICS LECTURE NOTES
ECONOMETRIC MODELLING: THE HENDRY APPROACH, AND THE 'GENERAL TO
SPECIFIC' PROCEDURE.
(A) SETTING THE
Applied Econometrics Lab 3 The aim of this exercise is to replicate the results of Stock and Watson, Chapter 8. This exercise uses the Panel Data set: fatality.xls The data are for the "lower 48" U.S.
File: WINWORD\ECONMET\PcGive exercises\LAB3.DOC
APPLIED ECONOMETRICS: COMPUTER SESSION 3
INSTRUMENTAL VARIABLES ESTIMATION
1. For this exercise, you will need to load your latest saved version of the
File: WINWORD\ECONMET\PcGive exercises\Lab2.doc
APPLIED ECONOMETRICS: COMPUTER SESSION 2
To complete this exercise, you will need the GiveWin file saved from the previous exercise (that should have
th
IV Estimation
Instrumental Variables
Yt = 1 + 2 X2,t +.+ k Xk,t + u t t = 1,.,T
Y = X + u
Y = X + u
-1 ^ OLS = (XX ) XY
-1 / / ^ OLS = (X X ) X (X + u ) -1 / -1 / / / ^ OLS = (X X ) X X + (X X ) X u )
File: C:\WINWORD\ECONMET\HYPTEST.DOC HYPOTHESIS TESTING IN THE GENERAL LINEAR MODEL The general linear model can be represented in various ways:
Yi = 1 + X2,i 2 +.+ Xk,i k + ui i = 1,., n
or in terms
File: Hints on lab exercise 1 OBTAINING A PARSIMONIOUS MODEL: GENERAL-TO-SPECIFIC SEARCHING Load and save updated GiveWin file (perhaps saved under name NIC2, which includes all data transformations).
Applied Econometrics (Answer to Reparameteristion.doc) Mini exercise Q1: Demonstrate that each of the following is a reparameterisation of the other, and identify the relationships between the and par
31 456 Applied Econometrics
Assessment Exercise 1 2005/2006
This assessment exercise is based on the computer laboratory exercises 1, 2 and 3.
That is, it covers dynamic regression model estimation te
31 456 Applied Econometrics Second Assessment Exercise 2004/2005 The assessment exercise covers the material discussed in the entire course, but focuses particularly on the topics that deal with unit