Economics 510
J ORIS P INKSE
1. Office hours and locations
Nail Kashaev
Joris Pinkse
Wednesday 4–6 (o.h.) Friday 4–5 (o.h.)
Monday 10–12 (rec)
407 Kern (o.h.)
616 Kern
403 Kern (rec)
nvk5099@psu.edu
joris@psu.edu
2. Outline
Economics 510 covers the main estimation methods used in econometrics predominantly with cross–
sectional (or more precisely: independent and identically distributed) data. We start with a discussion
of the general theory of extremum estimators. All
estimators discussed in this course, including least
squares estimators, maximum likelihood estimators
and generalized method of moment estimators, are extremum estimators. So by establishing the properties
of extremum estimators we establish the properties
of all estimators used in this course.
We then proceed with an in–depth discussion of
regression models and least squares estimation, followed by generalized method of moments estimators,
including multiple equation versions used in panel
data models. Subsequently, maximum likelihood estimation including applications such as discrete choice
and censored/truncated regression estimators, will
be covered. If time permits, we will have a brief look
at dependence as one would encounter with time
series or spatial data.
The level of mathematical rigor used in this course
will be similar to that in Economics 501, of which
this course is a natural continuation. Students who
are not used to the level of mathematics used have
alternatives in AEREC 511 and Economics 465.
Nevertheless, this is not a course in mathematics.
The objective is that you will master principles instead of learning tricks so that you will be able to
come up with your own solutions if you encounter a
situation somewhat different from ones for which a
ready–made solution exists.
To help you understand the material, to prepare
you for future empirical work, and to facilitate the
transition into the second year empirical methods
course, the assignments will include (empirical) exercises. Such exercises involve the use of a computer
package of the student’s choice (e.g. Matlab, Julia,
Python, C, Fortan), but programs containing canned
routines (e.g. Stata) are not allowed. The T.A. is
familiar with Matlab and Julia.
Joris Pinkse, http://joris.econ.psu.edu
3. Course registration
Course registration is via elion only; I do not deal
with registration issues.
4. Course materials
I will provide you with a full set of lectures notes
written specifically in preparation for this course. A
supplementary text is Jeff Wooldridge’s ‘Econometric analysis of cross section and panel data,’ which
covers some of the material covered in the lecture
notes and some material not covered in the lecture
notes; there is no close correspondence between
what is covered in class and what is in Wooldridge.
There will be weekly assignments and recitation sessions and you may be asked to read empirical papers.
Everything discussed in class and any recitation sessions is also a core part of the course material.
The exams will be mostly theoretical, but the assignments will contain a mixture of theoretical and
empirical exercises.
5. Evaluation
The final exam, the two midterms, and the assignments are each worth one third of the overall course
grade. You cannot pass this course without satisfactory performance on the assignments.
Assignments will be posted on Angel
(http://www.angel.psu.edu) and are due on
the date and time stated on the assignment. All
assignments must be submitted via Angel. Late
assignments are not accepted.
The midterms will be held in class on February
27 and April 8.
6. Collaboration
You are encouraged to interact with other students and to learn from each other. However, all
work should be written up individually and independently by each student. Any copying constitutes a violation of the university’s academic integrity policy and will be dealt with accordingly;
see below.
7. Attendance
You are expected to attend all lectures and recitations.
8. Class cancellations
Should any classes be canceled due to the weather or
other unforeseen circumstances, then a suitable time
to make up the class will be announced via Angel.
1
Date: Spring 2014
Contact: joris@psu.edu
Economics 510
J ORIS P INKSE
9. Course website
All materials will be posted on Angel. Please check
Angel regularly since assignments and such may appear without advance warning.
10. Penn State Academic Integrity Policy (Office
of the Dean’s website)
“Penn State defines academic integrity as the pursuit
of scholarly activity in an open, honest and responsible manner. All students should act with personal
integrity, respect other students’ dignity, rights and
property, and help create and maintain an environment in which all can succeed through the fruits of
their efforts (Faculty Senate Policy 49-20).”
“Dishonesty of any kind will not be tolerated in
this course. Dishonesty includes, but is not limited
to, cheating, plagiarizing, fabricating information or
citations, facilitating acts of academic dishonesty by
others, having unauthorized possession of examinations, submitting work of another person or work
previously used without informing the instructor, or
tampering with the academic work of other students.
Students who are found to be dishonest will receive
academic sanctions and will be reported to the University’s Judicial Affairs office for possible further
disciplinary sanction.”
11. Disability access statement (office of the
dean’s website)
“The Pennsylvania State University encourages qualified people with disabilities to participate in its programs and activities and is committed to the policy
that all people shall have equal access to programs,
facilities, and admissions without regard to personal
characteristics not related to ability, performance,
or qualifications as determined by University policy
or by state or federal authorities. If you anticipate
needing any type of accommodation in this course
or have questions about physical access, please tell
the instructor as soon as possible.”
12. Department policy on missed evaluative
events
“During the course many possible situations may arise
that would result in your inability to attend class, attend exams, or perform at a minimally acceptable
level during an examination. Illness or injury, family
emergencies, certain University-approved curricular
and extra–curricular activities, and religious holidays can be legitimate reasons to miss class or to be
excused from a scheduled examination.”
“In the case of your own illness or injury, a note
Joris Pinkse, http://joris.econ.psu.edu
from a physician, physician’s assistant, or a nurse–
practitioner is required. Be advised that University
Health Services cannot provide such verification unless they have provided treatment. Further, the note
must be provided to the instructor within one week
of the missed course event (in cases of extended illness or incapacity, the note must be provided within
a week of the end of your illness or incapacity, and it
should specify the period of your inability to attend
the course).”
“With regard to family emergencies, you must
provide verifiable documentation of the emergency.
Given the vast array of family emergencies the instructor will provide precise guidance as to what constitutes adequate documentation. Unless the emergency is critical you should notify the instructor in
advance of your absence from the scheduled course
event. In cases of critical emergencies, you must notify the instructor within one week of your absence.”
“For University–approved curricular and extra–
curricular activities, verifiable documentation is also
required. The student should obtain from the unit or
department sponsoring the activity a letter (or class
absence form) indicating the anticipated absence(s).
The letter must be presented to the instructor at least
one week prior to the first absence.”
“In the case of religious holidays, the student
should notify the instructor by the third week of
the course of any potential conflicts.”
“If a student misses a class during which an evaluative event (e.g., a quiz or an exam) takes place,
and the student has a valid excuse, it is the policy
of the Economics Department that the missed event
may be made up in one of two ways that are to be
decided by the instructor:
1. the student will take a make-up version for the
missed evaluative event; or
2. the student will be excused from the missed event,
and the weight of that event in the overall course
grade will be reassigned to either the course final exam or to a subset of subsequent evaluative
events in the course.”
2
Date: Spring 2014
Contact: joris@psu.edu