Econometrics for MRes (Ec443)

Vassilis Hajivassiliou, LSE 2021-2022

Lent 2022, 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

Zoom Links

Visualizer Shared-Screen Notes

• Scanned: SharedScreen Lecture Notes

• Outlines of Lectures

  • Week 1
  • Week 2
  • Week 3
  • Week 4
  • Week 5
  • Week 6
  • Week 7
  • Week 8
  • Week 9
  • Week 10

Course Materials

• Intro

  • Reading List, Module III

• Handouts --- Supplementary Technical Notes

  • Chapter 1: REVIEW of Regression Estimation

  • [REVIEW] Chapter 1: An Overview of Econometric Inference
    • 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
    • Appendix 4: A Comparative Analysis of Alternative Inference Approaches

  • 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 --- Overview of Econometric Methodology
  • Problem Set 2 --- Stationarity
  • Problem Set 3 --- Non-Stationarity and Cointegration
  • Problem Set 4 --- LDV Models
  • Problem Set 5 --- Linear and Nonlinear Panel Data Models
  • Problem Set 6 --- Simulation-Based Inference

• Answers to Problem Sets

  These will be uploaded automatically in the correct week

  • Answers to Problem Set 1 --- Overview of Econometric Methodology
  • Answers to Problem Set 2 --- Stationarity
  • Answers to Problem Set 3 --- Non-Stationarity and Cointegration
  • Answers to Problem Set 4 --- LDV Models
  • Answers to Problem Set 5 --- Linear and Nonlinear Panel Data Models
  • Answers to Problem Set 6 --- Simulation-Based Inference

• Past Exams

  2020-2021 --- 24-hour online format
  Final Exam 2021	Answers to Final Exam 2021
  2019-2020 --- 24-hour online format
  Final Exam 2020	Answers to Final Exam 2020
  2018-2019 --- in-person format
  Final Exam 2019	Answers to Final Exam 2019

• Graphical and Monte-Carlo Illustrations

  • Misspecification in Linear Regression
  • LLN and CLT Experiments

Copyright © London School of Economics & Political Science 1996-2022