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