Professor Colin Cameron
SSH Building 1124 (530) 564-0630
Tues Thurs 10.00 – 11.50 a.m. Wickson 1038
Tuesday afternoon 3.00 - 5.00 p.m.
Thursday morning 9.00 a.m. – 9.50 a.m.
Lucas Herrenbrueck Herrenbrueck@ucdavis.edu
Office Hours: Wednesday 9.30 - 11.30 a.m.
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
The essential pre-requisite is a good understanding of the linear regression model with matrix algebra.
|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|
||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.|
||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 8-9, 11-12||4 classes||Models: Logit and probit (binary and multinomial outcomes)|
|CT: 14.1-14.4, 15.1-15.5, 15.9.
Gr: 21.1-21.8. Mad: 2-3. W: 15.1-15.6, 15.9-15.10.
|Class 10||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
|Class 16||1 class||Testing, bootstrap methods|
|CT: 7.1-7.4, 8.2-8.3. Gr: 17.5,
W: 12.6, 13.6.
|Class 17-20||4 classes||Panel data|
|CT: 21.1-21.8. Am: 6.4,
Gr: 13.1-13.4. Wooldridge 10.1-10.7.
CT=Cameron&Trivedi, Am=Amemiya, DM=Davidson&MacKinnon,
W = Wooldridge.
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.
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
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. (2010), Econometric Analysis of Cross
an Panel Data, 2nd edition, 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
Cameron, A.C. and P.K. Trivedi (2009, revised ed. 2010), Microeconometrics using Stata, Stata Press.
Greene (which you should have from 240A,B) is useful for more
elementary treatment of topics.
Wooldridge 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.
The second edition is a significant expansion on the first edition, especially Nonlinear Models and Related Topics.
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 (2009, 2010) focuses on use of Stata and covers most microeconoemtrics models.
These recommended books emphasize cross-section data. For panel
which we have little time for in this course, Cameron &
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. (2010), Microeconometrics: Methods of Moments and Limited Dependent Variables, 2nd edition, Springer.
Arellano M. (2003), Panel Data Econometrics, Oxford University Press.
Selected papers can generally be downloaded from the web, mostly using JStor.
Stata: Assignments will use STATA. STATA is available on
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.
Most course material is at smartsite.ucdavis.edu (some is
Some further computer information will be available at my personal home page: cameron.econ.ucdavis.edu
Best 5 out of 6. Last assignment is compulsory. Each worth 3%.
Due Thursdays Jan 19, 26; Feb 2, 23; March 8, 15.
Thursday Feb 9 in class
Saturday March 24 3.30 – 5.30 p.m. Comprehensive.