Advanced Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2007-2008

Lent 2008, Module III

Administrative

• Office Hours
• Sign-up to Course Emailing List
• Administrative News

Course Materials

• Intro

  • Reading List, Module III

• Handouts

  • Chapter 1.1: An Overview of Linear Regression
  • Chapter 1.2:The Classic 5 Regression Assumptions and Their Violation
  • Chapter 1.3: Instrumental Variables Estimation
  • Chapter 1.4: M-Class Estimation: GMM etc.
  • Chapter 2: Limited Dependent Variable Models
  • Chapter 3: Panel Data Models

• Optional Material and Illustrative Data

  • Appendix A: Simulation-Based Inference
  • Appendix B: Econometric Analysis of Stationary and Non-Stationary Time-Series
  • Appendix C: Non-linear Optimization
  • Spurious vs. Cointegrated Regressions: Stata Data File
  • Spurious vs. Cointegrated Regressions: Definitions of Generated Variables and Regression Results

• Problem Sets

  • Problem Set 1 --- Complications in Regression and IVE
  • Problem Set 2 --- LDV Models
  • Problem Set 3 --- Linear Panel Data Models
  • Not Required this year: Problem Set 4 --- Numerical Optimization

• Answers to Problem Sets

  • Answers to Problem Set 1: please see Marcia's material.
  • Answers to Problem Set 2
  • Answers to Problem Set 3

• Exams

  2007-2008
  Mock Exam 2008	Answers to Mock Exam 2008
  Midterm Exam 2007	Answers to Midterm Exam 2007
  2006-2007
  Final Exam 2007	Answers to Final Exam 2007
  Mock Exam 2007	Answers to Mock Exam 2007
  Midterm Exam 2006	Answers to Midterm Exam 2006
  2005-2006
  Final Exam 2006	Answers to Final Exam 2006
  Mock Exam 2006	Answers to Mock Exam 2006
  Midterm Exam 2005	Answers to Midterm Exam 2005
  2004-2005
  Final Exam 2005	Answers to Final Exam 2005
  Mock Exam 2005	Answers to Mock Exam 2005
  Week 9 Midterm/X-mas Test, Dec 2004	Answers to Week 9 Midterm/X-mas Test, Dec 2004
  Week 5 Quiz, Nov 2004	Answers to Week 5 Quiz, Nov 2004
  2003-2004
  Final Exam 2004	Answers to Final Exam 2004
  Mock Final Exam 2004	Answers to Mock Final Exam 2004
  Sample Final Exam 2004

• Graphical and Monte-Carlo Illustrations

  • Misspecification in Linear Regression
  • LLN and CLT Experiments

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