Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2019-2020

Lent 2020, Module III

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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: An Overview of Regression Analysis
    • Five Classic Regression Assumptions
    • Summary of Estimation Results Under Eleven Alternative Data-Generating Mechanisms
    • The Classic 5 Regression Assumptions and Their Violation
    • Instrumental Variables Estimation
    • Canonical Form of Sampling Error Vectors
    • Appendix 1: Asymptotic Limits and Large Sample Approximations
    • Appendix 2: Complications with Infinite Moments
    • Appendix 3: The Dangers of Atheoretic Approaches to Regression Analysis

  • 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 automatically in the correct week

    • [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

    2018-2019
    Final Exam 2019	Answers to Final Exam 2019
    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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