GRIPS/FASID
Joint Graduate Program
Takashi Yamano/Kei Kajisa
Advanced Econometrics
Fall 2005
Takashi Yamano (yamanota@grips.ac.jp)
Room 1212, 6439-6036 or ext 6229
Web site: http://www3.grips.ac.jp/~yamanota
Office Hour: Tue & Thur 15:00-16:00 and by appointment
Instructor:
Kei Kajisa (kajisa@grips.ac.jp)
Room 1209, 6439-6034 or ext 6226
Class Web site: http://www3.grips.ac.jp/~kajisa
Office Hour: Tue & Thur 15:00-16:00 and by appointment
Required Text:
Jeffrey M. Wooldridge, Introductory Econometrics: A Modern
Approach, South-Western College Publishing
William H. Greene, Econometric Analysis 6th edition, Prentice Hall
Recommended Textbooks:
Jeffrey M. Wooldridge, Econometric Analysis of Cross and Panel
Data, The MIT Press
Jack Johnston and John DiNardo, Econometric Methods, 4th
edition, McGrow-Hill
Course Objectives: This course provides a broad introduction of econometric theory
and hands-on experience in econometric analyses designed to help Ph.D. students
acquire the skills necessary to carry out their own empirical analyses. Through
weekly homework, students will learn how to conduct econometric analyses with
STATA. Whenever possible, this course introduces published empirical studies
in the field of development economics to students.
Credit:
Class time:
Room:
Grading:
6 credits
Wednesday: 10:30-12:00 & 13:15-14:45
Friday: 10:30-12:00
Lecture Room E
Weekly Homework (up to Second Exam)
First Exam
Second Exam
Weekly Homework (after Second Exam)
Third Exam
15 %
20 %
30 % (65%)
5%
30 % (35%)
Course Outline and Schedule:
Takashi Yamano
Kei Kajisa
Class 1 - 27
Class 28 - 40
Week 1 (10/12, 14): Introduction of Least Squared Methods
Class 1
Empirical Research and Sampling (W ch.19)
Class 2
Two-Variable Regression Model (W ch.2)
Class 3
Multiple Variable Regression Model (W ch.3)
Sharon L. Lohr (1999) Sampling: Design and Analysis, Duxbury Press,
Chapter 1.
Strauss, J., and D. Thomas (1996) “Measurement and Mismeasurement of
Social Indicators,” American Economic Review, 86 (2): 30-34.
Week 2 (10/19, 21): OLS Theory
Class 4
OLS Inference (G ch.4)
Class 5
OLS Asymptotic Theory (G ch.5)
Class 6
OLS Estimation in STATA (W ch.3)
Week 3 (10/26, 28): 2SLS (IV) Estimation
Class 7
2SLS Estimation (G ch.5.4-)
Class 8
Problems with 2SLS estimation (Wooldridge Panel Data, ch.5.2.6)
Class 9
Further issues (W ch.9)
Angrist, J.D., and A.B. Krueger (2001) “Instrumental Variables and the
Search for Identification: From Supply and Demand to Natural
Experiments,” Journal of Economic Perspectives 15(4): 69-85.
Staiger, D., and J.H. Stock (1997) “Instrumental Variables Regression
with Weak Instruments,” Econometrica 65(3): 557-586.
Week 4 (11/2, 4): Heteroskedasticity and GLS
Class 10
Heteroskedasticity (G ch.10)
Class 11
GLS and FGLS (G ch.10.5-)
Class 12
First Exam (11/5)
Week 5 (11/9, 11): Panel Data Analysis
Class 13
Panel Data and Policy Evaluation (W ch.13; G ch.13)
Class 14
Fixed and Random Effect Models (W ch.14; G ch.13)
Class 15
Attrition in Panel Data Analysis (Wooldridge Panel Data, ch.17.7.3)
Pitt, Mark M., Mark R. Rosenzweig, and Donna M. Gibbons (1993) “The
determinants and consequences of the placement of government
programs in Indonesia,” The World Bank Economic Review, 80:
1139-56.
Thomas, D., E. Frankenberg, and J.P. Smith. 2001. “Lost but Not
Forgotten: Attrition and Follow-up in the Indonesian Family Life
Survey,” Journal of Human Resources, vol. 36 (3): 556-592.
Week 6 (11/16, 18): Propensity Score Matching - Is this any better?
Class 16
Propensity Score Matching: Cross Section (W Panel Data, ch.18.3.2)
Class 17
Propensity Score Matching: Panel Data (W Panel Data, ch.18.3.2)
Class 18
Propensity Score Matching: Estimation (W Panel Data, ch.18.3.2)
Smith, J., and P.E. Todd (2005) "Does matching overcome Lalonde’s
critique of non-experimental estimators?" Journal of Econometrics,
vol.125:305-353.
Week 7 (11/23-Holiday, 25): Experiment
Class 19
Natural Experiments (Handouts)
Class 20
Randomized Experiments (Handouts)
Class 21
Examples of randomized experiments (Handouts)
Grossman, Jean Baldwin (1994) "Evaluating Social Policies: Principles
and US. Experience," The World Bank Research Observer
9(2):159-80.
Schultz, T.P. 2004. “School Subsidies for the Poor: Evaluating the
Mexican Progresa Poverty Program,” Journal of Development
Economics, vol. 74: 199-250.
Week 8 (11/30, 12/2): Systems of Equations
Class 22
Systems of Equations (G ch.14)
Class 23
GMM Estimations (Wooldridge Panel Data ch.8)
Class 24
Systems of Equations: Review (Wooldridge Panel Data ch.8)
Week 9 (12/7, 9): Applied Research Reviews
Class 25
Students Presentations 1
Class 26
Students Presentations 2
Class 27
Second Exam
Week 10 (12/14, 16)
Class 28
Maximum Likelihood Estimation (G 17.1-17.5)
Class 29
Dummy and Qualitative Dependent Variables (W 17.1; G 21.1-21.4)
Class 30
Dummy and Qualitative Dependent Variables (W 17.1; G 21.1-21.4;
G21.7)
Week 11 (12/21)
Class 31
Dummy and Qualitative Dependent Variables (W 17.1; G 21.1-4, 7)
Class 32
Censored and Truncated Dependent Variables (W17.2, 17.4; G 22.1-22.3)
Class 33
Censored and Truncated Dependent Variables (W17.5; G 22.1-22.4)
Week 12 (1/4, 6)
Class 34
Introduction to Time Series Analysis (W 10)
Class 35
Introduction to Time Series Analysis (W 11)
Class 36
Introduction to Time Series Analysis (W 12)
Week 13 (1/11, 13)
Class 37
Advanced Time Series Analysis (W18; G 18.3-18.4)
Class 38
Advanced Time Series Analysis (W18; G 18.3-18.4)
Class 39
Exercises with STATA
Week 14 (1/18)
Class 40
Third Exam