TOPICS IN ECONOMETRICS: CROSS-SECTION ANALYSIS
(Econ/ARE 240D)  Syllabus
 Department of Economics
University of California - Davis
Fall 2009

Instructor:
Professor Colin Cameron
SSH Building 1124   (530) 564-0630
accameron@ucdavis.edu

Meeting:
Tues Thurs 2.10 – 4.00 p.m. Wickson 1020

Office Hours:
Wednesday afternoon  2.00 - 3.30 p.m.
Thursday morning       9.00 a.m. – 10.20 a.m.

Teaching Assistant:
Ju-Hyun Pyun  jpyun@ucdavis.edu   SSH 0115
Office Hours: Wednesday 10.00 a.m. - noon  Thursday 11.00 a.m. - noon.

Course Goals: (1) To be able to perform estimation and testing in non-linear cross-section regression models, (2) to be sufficiently comfortable with asymptotic theory for nonlinear models to be able to read econometrics articles in journals such as Econometrica and Journal of Econometrics, (3) to be able to implement cross-section methods as needed for Ph.D. thesis.

Pre-requisites: The listed pre-requisite is Econ / Ag Econ 240B.
The essential pre-requisite is a good understanding of the linear regression model with matrix algebra.

Course Outline:
 
Class 1 0.5 class Introduction: Linear Models
    CT: 4.4-4.5.  Gr: 3.2, 5.2.  W: 4.2. 
Class 2 1.5 classes Introduction: Review of Asymptotic Theory
    CT: Appx.A.  Am: 3.   Gr: AppxD.  W: 3.1-3.4
Classes 3-4
 2 classes Estimation: Extremum and M-estimators
    CT: 5.2-5.5  Am: 4.1.   Gr: 16.5.  W: 12.1-12.3
 Class 5 1 class Estimation: Iterative Methods for Computation
    CT: 10.2-10.3.  Am: 4.4.   Gr: AppxE  W: 12.7.
Class 6-7
 1 class Estimation: ML and NLS
    CT: 5.6-5.8  Am: 4.3  Gr: 9.2, 21.1-4  W: 12.4, 13.1-5
Class 8, 10-12 4 classes Models: Logit and probit (binary and multinomial outcomes)

  CT: 14.1-14.4, 15.1-15.5, 15.9.  Am: 9.1-9.3.
Gr: 21.1-21.8.  Mad: 2-3.  W: 15.1-15.6, 15.9-15.10.
Class 9 1 class Midterm Exam.
 
Class 13-14  2 classes Models: Tobit


CT: 16.1-16.6.  Am: 10.1-10.7.   
Gr: 22.1-22.4.  Mad: 6.1-6.6, 8.1-8.5.  W: 16.1-16.6
Class 15 1 class Estimation: GMM
    CT: 6.1-6.5.  Gr 18.1-18.3.  W: 14.1-14.2
Class 16 1 class Testing, bootstrap methods
    CT: 7.1-7.4, 8.2-8.3. Gr: 17.5, AppxE.4. 
W: 12.6, 13.6.
Class 17-19 3 classes Panel data
    CT: 21.1-21.8.  Am: 6.4, 6.6-6.8.
Gr: 13.1-13.4.  Wooldridge 10.1-10.7.

CT=Cameron&Trivedi, Am=Amemiya, DM=Davidson&MacKinnon, Gr=Greene, Mad=Maddala,
W = Wooldridge.
 

Required Material:

Cameron, A.C. and P.K. Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press.

Much of the class will follow this book. The book is at times more detailed than what will be covered in this class.

Recommended Material:

These are more than you can buy but are good to have in a microeconometrics library.  I have not ordered these for the bookstore, but still recommend their purchase - in the sequence close to what I would consider buying them in. You should already have Greene. These books can be ordered on-line.

Greene, W.G. (2007), Econometric Analysis, 6th edition, Prentice-Hall.

Wooldridge, J.M. (2002), Econometric Analysis of Cross Section an Panel Data, MIT Press.

Maddala, G.S. (1983), Limited-Dependent and Qualitative Variables in Economics, Cambridge University Press.

Amemiya, T. (1985), Advanced Econometrics, Harvard University Press.

Davidson, R. and J.G. MacKinnon (2004), Econometric Theory and Methods, Oxford University Press.

Cameron, A.C. and P.K. Trivedi (1998), Regression Analysis of Count Data.

Cameron, A.C. and P.K. Trivedi (2009), Microeconometrics using Stata, Stata Press.

Greene (which you should have from 240A,B) is useful for more elementary treatment of topics.
Wooldridge is a recent book that is at similar level to Cameron and Trivedi with more on linear models and not as much on nonlinear models and related topics. It is also more formal econometrically.
Maddala is the standard reference for introductory treatment of probit, logit and probit models and is cheap in paperback.
Amemiya was the standard book before D&M (1993) and even now has an excellent advanced treatment of limited dependent and discrete choice models.
D&M is an updated and somewhat less advanced version of Davidson, R. and J.G. MacKinnon (1993), Estimation and Inference in Econometrics, Oxford University Press. It emphasises econometric theory.
Cameron and Trivedi (1998) focuses on count data models, but includes many general results and approaches for nonlinear regression, especially in chapters 3 and 5, and is cheap in paperback.
Cameron and Trivedi (2008) focuses on use of Stata and covers most microeconoemtrics models. It will hopefully be out in October 2008.

These recommended books emphasize cross-section data. For panel data, which we have little time for in this course, Cameron & Trivedi and Wooldridge provide considerable coverage. In addition econometrics panel data books are:
Baltagi, B.H (2001), Econometrics Analysis of Panel Data, 2nd edition, Wiley.
Hsiao, C. (2003), Analysis of Panel Data, 2nd edition, Cambridge University Press.
Lee, M.J. (2002), Panel Data Econometrics: Methods of Moments and Limited Dependent Variables, Academic Press.
Arellano M. (2003), Panel Data Econometrics, Oxford University Press.

Additional Materials:

Selected papers can generally be downloaded from the web, mostly using JStor.

Computer Materials:

Stata: Assignments will use STATA. STATA is available on both Econ and ARE computers.  
More complicated models require use of a matrix programming language. We will use the new MATA inrtroduced in Stata 9, rather than GAUSS or MATLAB. 

Some course material is at cameron.econ.ucdavis.edu/e240d/e240d.html and some is at smartsite.ucdavis.edu
Some further computer information will be available at my personal home page: cameron.econ.ucdavis.edu

A very good way to learn techniques covered and not covered in this class is to use a standard cross-section package such as STATA or LIMDEP or TSP on your own. These and many other programs are available on the Ag Econ, Econ and SSDS computers.

Considerable information about these and other related programs and the latest techniques can also be found from their websites:
STATA is www.stata.com
LIMDEP is www.limdep.com  (and includes extracts from the limdep manual)
GAUSS is www.aptech.com
TSP is www.tspintl.com

Course Grading:

Assignments 15%
Best 5 out of 6. Last assignment is compulsory. Each worth 3%.
Due Thursdays Oct 1, 8, 15, Nov 5, 19, Dec 3.

Midterm 35%
Thursday Oct 22  2.10 – 4.00 p.m.

Final 50%
Tuesday December 8   1.00 – 3.00 p.m. Comprehensive.

Assignments must be handed in on time, so solutions can be discussed in class and distributed in a timely manner.
No credit for late assignments. Lowest assignment score is dropped.
Academic integrity is required. What is academic integrity? See the UCD Student Judicial Affairs website http://sja.ucdavis.edu/integ.htm.
As an exception to their rules, I permit some collaboration with other students in doing assignments, but the work handed in must be your own. Each person must create their own Stata output and write up their own answers. And you are to write on your assignment the name of the person(s) you worked with.
Exams will be closed book. The final exam is comprehensive.