Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2015-2016

Lent 2016, 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

  • [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
  • Chapter 2.26B: Inference with Infinite Moments --- the Bimodal-t Paper (Fiorio, Hajivassiliou, and Phillips (2010)
  • Extracts from Hamilton's book on Nonstationary Time-Series
  • Chapter 3: Limited Dependent Variable Models
  • Chapter 4: Panel Data Models
  • Chapter 5: Simulation-Based Inference

• Illustrative Data

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

• 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

• Optional Material

  • Theoretical:

    • Appendix A: Non-linear Numerical Optimization

  • Computational Exercises:

• Exams

  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!!!
  2011-2012
  Final Exam 2012	Answers to Final Exam 2012
  Mock Final Exam, April 2012	Answers to Mock Final Exam, April 2012 MISSING!!!
  Midterm Exam, December 2010	Answers to Midterm Exam, December 2010
  2010-2011
  Final Exam 2011	Answers to Final Exam 2011
  Mock Final Exam, April 2011	Answers to Mock Final Exam, April 2011
  Midterm Exam, December 2010	Answers to Midterm Exam, December 2010
  2009-2010
  Final Exam 2010	Answers to Final Exam 2010
  Mock Final Exam, April 2010	Answers to Mock Final Exam, April 2010
  Midterm Exam, December 2009	Answers to Midterm Exam, December 2009
  2008-2009
  Final Exam 2009	Answers to Final Exam 2009
  Mock Final Exam, April 2009	Answers to Mock Final Exam, April 2009
  Midterm Exam, December 2008	Answers to Midterm Exam, December 2008
  2007-2008
  Final Exam 2008	Answers to Final Exam 2008
  Mock Exam 2008	Answers to Mock Exam 2008
  Midterm Exam, December 2007	Answers to Midterm Exam, December 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
  2003-2004
  Final Exam 2004	Answers to Final Exam 2004
  Mock Final Exam 2004	Answers to Mock Final Exam 2004

• Graphical and Monte-Carlo Illustrations

  • Misspecification in Linear Regression
  • LLN and CLT Experiments

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