Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2018-2019

Lent 2019, 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: Canonical Form of Sampling Error Vectors.

  • 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

• Past Exams

  2017-2018
  Final Exam 2018	Answers to Final Exam 2018
  2016-2017
  Final Exam 2017	Answers to Final Exam 2017
  2015-2016
  Final Exam 2016	Answers to Final Exam 2016
  2014-2015
  Final Exam 2015	Answers to Final Exam 2015

• Graphical and Monte-Carlo Illustrations

  • Misspecification in Linear Regression
  • LLN and CLT Experiments

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