Instructor:
Professor Colin Cameron
SSH Building 1124 752-8396
accameron@ucdavis.edu
Meeting:
Tues/Thurs 9.00 – 10.20 a.m. Wellman 127
Course Goals: This course continues on from 240D and presents
more advanced methods. Applications will make extensive use of Stata.
Pre-requisites: The listed pre-requisite is Econ / Ag Econ
240D.
The essential pre-requisite is Ag Econ
240D.
Course Outline: REVISED MAY
20
2 weeks M-estimation and GMM Estimation
2 weeks Panel data - short, dynamic, nonlinear
1
week Simulated ML and MM Estiamtion
1 week Monte Carlo simulation
2 weeks Bayesian Analysis
1 week Bootstrap methods
1 week Semiparametric methods
| Class 1-4 | 4 classes | M-estimation and GMM Estimation |
CT: 5.1-5.5, 10.2-10.3, 6.1-6.5 |
| Class 5-9; 11-12 |
6 classes | Panel data: short, dynamic |
CT: 21.2, 22.1-22.6 |
| Class 10 | 1 class | Midterm exam |
|
| Class 13-15 | 3 classes |
Monte carlo simulation |
CT: 7.6-7.7, 12.8 |
| Class 16 | 1 class | Simulated ML estimation | CT: 12.1-12.6 |
| Class 17 |
1 class | Bootstrap methods |
CT: 11.1-11.4 |
| Class 18 | 1 class | Semiparametric methods |
CT: 9.1-9.7 |
| Class 19-20 | 2 classes | Bayesian Analysis | CT: 13.1-13.8. |
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. (2006), Econometric Analysis, 6th edition, Prentice-Hall.
Wooldridge, J.M. (2008), Econometric Analysis of Cross Section
an Panel Data, Second edtition, 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.
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. 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.
These recommended books emphasize cross-section data. For panel data,
Cameron & Trivedi and
Wooldridge provide considerable coverage. In addition
econometrics panel data books are:
Baltagi, B.H (2005), Econometrics Analysis of Panel Data, 3rd
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 introduced in Stata 9, rather than GAUSS or
MATLAB.
Some further computer information will be available at my personal
home page
cameron.econ.ucdavis.edu
Course Grading:
Assignments 20% Due Thursdays April 10, 17, 24; May 15, 22; June 5.
Midterm 30% Thurs May 1
Final 50% Wed June 11 10.30am-12.30pm 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.