Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2016-2017

Lent 2017, Module III

IMPORTANT NOTICE:

ACCESS TO THE MATERIAL ON THIS PAGE IS ALLOWED ONLY FROM:

THE MOODLE/EC443 PAGE AND BY OTHER AUTHORIZED USERS!

Administrative

• Office Hours

Course Materials

• Intro

  • Reading List, Module III

• Handouts

  • Chapter 1: REVIEW of Regression Estimation

  • [REVIEW] Chapter 1.1: An Overview of Linear Regression
  • [REVIEW] Chapter 1.2: The Classic 5 Regression Assumptions and Their Violation
  • [REVIEW] Chapter 1.3: Instrumental Variables Estimation
  • [REVIEW] Chapter 1.4: M-Class Estimation: GMM etc.

  • Chapter 2

    • Stationary and Nonstationary Time-Series

    • Illustrative Data

      • Spurious vs. Cointegrated Regressions: Stata Data File
      • Spurious vs. Cointegrated Regressions: Definitions of Generated Variables and Regression Results

  • Chapter 3

    • Limited Dependent Variable Models

  • Chapter 4

    • Panel Data Models

  • Chapter 5

    • Simulation-Based Inference

• Problem Sets

  • Problem Set 1 --- Stationarity
  • Problem Set 1b --- Non-Stationarity and Cointegration
  • Problem Set 2 --- LDV Models
  • Problem Set 3 --- Linear and Nonlinear Panel Data Models

• Answers to Problem Sets

  These will be uploaded weekly

  • [REVIEW] Answers to Problem Set 1 --- Stationarity
  • Answers to Problem Set 1b --- Non-stationarity
  • Answers to Problem Set 2
  • Answers to Problem Set 3

• Exams

  2015-2016
  Final Exam 2016	Answers to Final Exam 2016
  2014-2015
  Final Exam 2015	Answers to Final Exam 2015
  2013-2014
  Final Exam 2014	Answers to Final Exam 2014
  2012-2013
  Final Exam 2013	Answers to Final Exam 2013
  Mock Final Exam, April 2013	Answers to Mock Final Exam, April 2013 MISSING!!!
  Midterm Exam, December 2012 MISSING!!!	Answers to Midterm Exam, December 2012 MISSING!!!

• Graphical and Monte-Carlo Illustrations

  • Misspecification in Linear Regression
  • LLN and CLT Experiments

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