Empirical Methods in Economics
2014 Fall
Dr. LI Bing
[email protected]
Lecture 02
The Simple
Regression Model
Definition of the simple linear regression model
"Explains variable
in terms of variable "
Inter
Assignment 4 (answers)
V.Zinde-Walsh
1. Suppose that xt ; yt ; zt are I(1) series.
(a) Show that if they are independent, then yt + zt is I(1). Can any linear
combination of independent I(1) series be
Economics 662.
Econometrics
Final examination
Brief answers to the problems in part B.
April 28, 2015
Examiner: V.Zinde-Walsh
Associate examiner: S. Chaudhuri
The marks for each question are given in
Econometrics
Assignment 4 (due April 8, 2015)
V.Zinde-Walsh
1. Suppose that xt ; yt ; zt are I(1) series.
(a) Show that if they are independent, then yt + zt is I(1). Can any linear
combination of ind
Econometrics
Assignment 3 (due March 23, 2015)
V.Zinde-Walsh
1. Problem 4.17 from Davidson and MacKinnon "Econometric Theory and
methods", 2004, Oxford U.Press, p.175. (somewhat adjusted).
Suppose tha
Econometrics
Assignment 1 (partial answers)
V.Zinde-Walsh
1. Some practice questions for ARMA models. You will discover a few
things for yourselves: Yule-Walker equations, equivalence of invertible an
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 6. Specication issues and tests of model
specication.
I. An overview of specication issues in a one-equation
model.
Model y = f (X; ) + ":
1. Erro
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 3. Maximum likelihood estimation.
Principle of maximum likelihood.
Let fx1 ; :; xg be a random sample from a distribution with density f (x; ):
Th
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 5.Introduction to bootstrap.
1. Some concepts.
A model.
Consider an econometric model: it is a set consisting of cfw_parameters, deterministic fun
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 1. Review of regression model, estimation, inference. Exact and asymptotic results.
1. Review and future topics.
Classical linear regression model
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 4. Classical asymptotic tests of parameter restrictions.
4.1. Intro. Parameter restrictions.
c( ) = 0:
EXAMPLES I.
I.1. Zero restrictions in a lin
Econometrics
Assignment 3 answers.
V.Zinde-Walsh
1. Problem 4.17 from Davidson and MacKinnon "Econometric Theory and
methods", 2004, Oxford U.Press, p.175. (somewhat adjusted).
Suppose that the asympt
April 17, 2012
Econometrics 662
Final examination
143x11mi11e1: V. Zi11cle\V 1lsh
Associate ex11111i11e1: .l.\.Cx11lhraitl'1
PLEASE \VthlIE CLEARLY IN PEN, NOT PENCIL.
DICTIONARJES, CALCULATORS NOT AL
Examiner: V.Zinde-\Nalsl1
Associate examiner: J .W. Galbraith
PLEASE WRITE CLEARLY IN PEN, NOT PENCIL.
DfCTIONARIES, CALCULATORS NOT ALLOWED.
'llie marks for each question are given; total for the exa
Empirical Methods in Economics
2014 Fall
Dr. LI Bing
[email protected]
Lecture 03
Outline for Today
What is Endogeneity Problem?
When do we have Endogeneity Problem?
The most popular method instrumental
var
Empirical Methods in Economics
2014 Fall
Dr. LI Bing
[email protected]
Lecture 04
Outline for Today
Difference in differences - DID
Propensity score matching - PSM
Endogeneity Problem
What is Endogeneity Pr
Empirical Methods in Economics
2014 Fall
Dr. LI Bing
[email protected]
Lecture 01
Introduction
What is a PhD?
What is not a PhD?
Three stories
Why PhD?
A Graph
You tell me
Why Research?
Philadelphia Story
O
For the question from part a) to part e)
set obs 100
Stata Code:
*gengrate 100 observations
gen e = invnormal(uniform()
gen z = (3)^(1/2)*invnormal(uniform()
gen v=0.5*e+0.5*z
* generate black, female
Exercise 2.3
a) rj=dj-df. We chose to regress r1 r4 r7 and r10. The results are as follows:
gen r1= d1-rf
gen r4= d4-rf
gen r7=d7-rf
gen r10=d10-rf
regress r1 rmrf
est store m1
regress r4 rmrf
est sto
HW8 Solution
ECON662D1
November 14, 2015
When
8.5
y = X0 + u,
1
plim Q(0 , y)
n
n
the probability limit of
n1 Q(, y)
is
1
plim u> PW u
n
n
1
1 >
1 >
1 >
plim W W
plim W u . (1)
=
plim u W
n n
n n
n n
aPart-time FULLtime, position age
sample size is too small?
E) female dummy+ male dummy=1
f) assumption
IF TEST R1^2 R0^2 R0^2
j) because Education level is donated only from 1 to 5.
It may be bet
HW7 Solution
ECON662D1
November 4, 2015
7.9
The question asks to show that > is equal to
1
.
.
0
0
1 + 2
.
.
0
0
0
.
.
0
0
0
0
.
.
1+
2
0
0
.
.
.
1
(1)
The rst row of times the rst column of >
Econometrics 662
Winter lectures
V. Zinde-Walsh
Topic 2. Dependence, time series data and
processes. Stationary ARMA models.
0:
Independence.
x?y means that the joint distribution F (x; y) = F (x) F (
Econometrics 662
Assignment 3
Due March 21,2014
V.Zinde-Walsh
1. Problem 4.17 from Davidson and MacKinnon "Econometric Theory and
methods", 2004, Oxford U.Press, p.175. (somewhat adjusted).
Suppose th
Econometrics
Assignment 2
Due Feb. 22,2016
V.Zinde-Walsh
1. (a) For the model
yt =
+
0
1 X1t
+
2 X2t
+ ut
with ut ; t = 1; :n independent and distributed as N (0; 2 (X1t + X2t )2 ) write
the loglikeli
HW1 Solution
ECON662D1
September 14, 2015
1.2 Under the Cauchy distribution,
E(x) =
It is easy to see that
xdx
(1 + x2 )
(1)
d
2x
ln(1 + x2 ) =
.
dx
1 + x2
Therefore, the indenite integral in (1) is
1
HW6 Solution
ECON662D1
October 20, 2015
6.4
The SSR function is
SSR() = (y x()> (y x().
Dierentiating this with respect to , we obtain the rst-order conditions
(1)
2X > ()y + 2X > ()x() = 0,
where, as
HW2 Solution
ECON662D1
September 22, 2015
2.2 Since |x| is just a scalar, the norm of x/|x| can be computed as
|x|2
1
x> x =
= 1.
2
|x|
|x|2
The square root of 1 is 1, and so the rst result is proved.