Econ 672: Econometrics II (Part 1 of 2). Spring 2017
Syllabus
Professor
Prof. Oleksandr (Alex) Zhylyevskyy; email: [email protected]; o ce phone: (515) 294-6311.
O ce hours: Monday and Wednesday, 34pm in Heady 460D. In addition to these regular o ce hours,
Econ 672: Part 1. Spring 2014
Midterm 2
Name: _
Signature: _
Instructions. This closed-book midterm is worth 100 points. You should solve as many problems
as you can. Please follow these instructions as closely as possible:
(1) write legibly and cross out
Econ 672: Part 1
Qualitative Variable Models
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Basic concepts
Linear probability model
Latent regression
Logit model
Probit model
Marginal eects
Classication of random variables
Censoring
Tobit model
Econ 672: Part 1
Simulation Methods
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Simulation in econometrics
Pseudo-random numbers
Sampling from a univariate distribution
Sampling from a multivariate distribution
Monte Carlo integration
Monte
Econ 672: Part 1
Simultaneous Equations
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
A simple two-equation model:
Structural and reduced-form equations
Endogeneity and identication problems
Exclusion and covariance restrictions
ILS and 2SLS
W
Econ 672: Part 1
Wald, LR, and LM Tests
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Testing framework and setup
Unrestricted vs. restricted estimation
Wald test
Likelihood ratio (LR) test
Lagrange multiplier (LM) test
Comparison of tests
Eco
Econ 672: Part 1
Homework 5
Homework for Topic 5: Simultaneous Equations
This homework is worth 85 points in total. The TA will set the due date, determine an
acceptable submission format, specify the late submission and grading policies, etc.
1. (25 poin
Econ 672: Part 1:
Generalized Method of Moments
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Estimation frameworks in econometrics
Method of moments (MOM)
Intuition and example
General setting
Limitations
Generalized method of moments (GMM)
I
Econ 672: Part 1
Homework 4
Homework for Topic 4: Wald, LR, and LM Tests
This homework is worth 50 points in total. The TA will set the due date, determine an
acceptable submission format, specify the late submission and grading policies, etc.
1. (30 poin
Econ 672: Part 1
Homework 3
Homework for Topic 3: GMM
This homework is worth 120 points in total. The TA will set the due date, determine an
acceptable submission format, specify the late submission and grading policies, etc.
1. (15 points) Let fXi gn be
Econ 672: Part 1
Maximum Likelihood Estimation
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Basic concepts
Likelihood function
Maximum likelihood estimator
Unconditional vs. conditional likelihood
Invariance
Consistency of MLE
Asymptotic norm
Econ 672: Part 1
2SLS Estimator
Prof. Oleksandr Zhylyevskyy
Iowa State University
Importance of Statistical Inference
Statistical inference:
Learn about a population given what is observed in a sample
Illustration:
Suppose Walmart hired you to make a reco
Econ 672: Part 1
Materials for Lab Session #2
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Stationarity
Ergodic stationarity
Martingale
Martingale dierence sequence
Econ 672
Lab #2
2
Stationarity: Denition
In general, properties of estimators
Econ 672: Part 1
Homework 2
Homework for Topic 2: MLE
This homework is worth 65 points in total. The TA will set the due date, determine an
acceptable submission format, specify the late submission and grading policies, etc.
1. (10 points) This problem is
Econ 672: Part 1
Topics for Independent Review
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Sequences of numbers, functions, and random variables
Modes of convergence for random variable sequences
Continuity theorems
Properties of probability
Econ 672: Part 1
Materials for Lab Session #1
Prof. Oleksandr Zhylyevskyy
Iowa State University
Outline
Delta method
Application of law of large numbers and central limit theorem
Characteristic function and its properties
Gamma distribution and its specia
Econ 672: Part 1
Homework 1
Homework for Topic 1: 2SLS
This homework is worth 100 points in total. The TA will set the due date, determine an
acceptable submission format, specify the late submission and grading policies, etc.
1. (10 points) To solve this
Econ 672: Part 1. Spring 2015
Midterm 2
Name: _
Signature: _
Instructions. This closed-book midterm is worth 100 points. You should solve as many
problems as you can. Please follow these instructions as closely as possible:
(1) write legibly and cross out