Welcome to our course web site for RECO 715 "Econometrics II".

Administrative Stuff

• How to log on to the CABNR network and access your student folder
• Folder structure within your student folder
   
• Syllabus
   
• Textbook web-site

Matrix Algebra Tutorial

• Tutorial notes (Word format)
• Matlab scripts
  • ma_mod1
  • ma_mod2
  • ma_mod3
  • ma_mod4
  • ma_mod5
     

Matlab Info:

• Link to the library server (to access Matlab)
• My Web site with Matlab Tutorial and useful links

Background Sources for Mathematical Statistics and Distribution Theory

• An undergraduate Math Stats text such as Larsen & Marx's "An Introduction to Mathematical Statistics" (4th edition, 2006)
• A basic reference book on Statistical Distributions, such as Evans, Hastings, Peacock's "Statistical Distributions"(3rd edition, 2000)

Lecture Material

Binary Choice Models

• Lecture Notes
• Matlab Material
  • probit_data (script to simulate data for the Probit model)
  • logit_data (script to simulate data for the Probit model)
  • probit (main estimation script for the Probit model)
  • logit (main estimation script for the Logit model)
  • probit_mle (function: MLE algorithm for the Probit)
  • logit_mle (function: MLE algorithm for the Logit)
  • probit_L (function: Log-LHF for the Probit model)
  • logit_L (function: Log-LHF for the Logit model)
     
  • normal_vs_logistic (function: plots densities for the normal and logistic variates)
  • klausdiagnostics_classical (function: simple utility function to extract statistics of interest) from an empirical distribution)
  • epanech_klaus (utility function to nonparametrically plot empirical distributions using the Epanechnikov kernel)
     
  • probit_affair (probit model using Fair's (1978) extramarital affairs data)
  • logit_affair (logit model using Fair's (1978) extramarital affairs data)
  • probit_affair_postest (postestimation script for Fair's example)
  • Fair_data (data set in Excel format)

Ordered Probit Model

• Lecture Notes
• Matlab Material
  • OP_data (data simulation script)
  • OP (main estimation script)
  • OP_mle (function: MLE algorithm for the OP)
  • OP_L (function: logLH for the OP)
     
  • OP_paddlers (OP model using Tahoe non-motorized boating data)
  • OP_paddlers_postest (post-estimation script for Tahoe example)
  • paddlers (data set in Excel format)
     
  • cholcov (utility function to avoid errors due to Matlab's overly stringent symmetry check for matrices - place in your "functions" folder)

Unordered Choice Models

• Lecture Notes
• Matlab Material
  • MNL_data (data simulation for the Multinomial Logit model)
  • MNL (main estimation script)
  • MNL_mle (MLE algorithm)
  • MNL_L (logLH for the MNL)
  • MNL_restricted (restricted model with one option dropped; includes H/McF test for IIA)
  • MNL_interceptonly (intercept-only model; includes computation of Pseudo-R2)
  • extreme_value_density (script illustrating the EV-type1 density)
     
  • MNP_data (data simulation for the Multinomial Probit model)
  • MNP (main estimation script)
  • MNP_mle (MLE algorithm)
  • MNP_L (logLH for the MNP)
     
  • MNL_ski (MNL for ski resort example)
  • MNL_ski_postest (post-estimation script for ski resort example)
  • ski (data set in Excel0

Truncated and Censored Regression Models

• Lecture Notes
• Matlab Material
  • tobit_data (data simulation for the Tobit model)
  • tobit (main estimation script)
  • tobit_mle (MLE algorithm)
  • tobit_L (logLH for the Tobit)
     
  • tobit_adoption (Tobit script for the horse adoption example)
  • tobit_adoption_postest (post-estimation script for the horse adoption example)
  • adoption (data set in Excel)
     
  • tobit_adoption_naive (generic regression model with adoption data)
  • tobit_adoption_naive_postest (post-estimation script for the naive adoption model)
  • normal_mle (MLE algorithm for the generic linear regression model)
  • normal_L (logLH for the linear regression model)

Selection and Treatment Models

• Lecture Notes
• Matlab Material
  • select_data (data simulation for the selection model)
  • select (main estimation script)
  • select_mle (MLE algorithm)
  • select_L (logLH for the selection model)
     
  • select_labor (selection model for labor example)
  • select_labor_postest (post-estimation script for labor example)
     
  • treat_data (data simulation for the treatment model)
  • treat (main estimation script)
  • treat_mle (MLE algorithm)
  • treat_L (logLH for the treatment model)
     
  • var_vec (utility function - see lecture notes)
  • vec_var (utility function - see lecture notes)
  • vec_chol (utility function - see lecture notes)
  • chol_vec (utility function - see lecture notes)
  • Delhess2 (utility function - see lecture notes)
     

Count Data Models

• Lecture Notes
• Matlab Material
  • Poisson_distribution (random draws and plots for the Poisson)
  • Poisson_data (data simulation for the Poisson model)
  • Poisson(main estimation script)
  • Poisson_mle (MLE algorithm)
  • Poisson_L (logLH for the Poisson model)
     
  • Poisson_fishing (main script for fishing example)
  • Poisson_fishing_postest (post-estimation script for fishing example)
     
  • fishing data (Excel)
     

Method of Moments / Generalized Methods of Moments

• Lecture Notes
• Technical Material
  • MoM (Matlab script with MoM example)
  • Mom.nb (Mathematica notebook for solving moment equations - open with Mathematica)
    
     

Dynamic regression Models

• Lecture Notes part 1 (basics of dynamic modeling, distributed lag models)
• Lecture Notes part 2 (Vector autoregressions, Granger causality, Impulse response functions)
• Auxiliary Notes: Eigenvalues and Eigenvectors
• Technical Material
  • partial_adjustment_gasoline (Matlab script for partial adjustment model using gasoline data)
  • gasoline data (Excel)
  • rational_lag (Matlab script for rational lag model using consumption data)
  • consumption data (Excel)
  • VAR (Matlab script for VAR model with Granger causality test, stability check, and impulse response functions)
  • Municipal expenditures data (Dahlberg & Johansson, 2000)

Univariate Time Series Models

• Lecture Notes part 1 (ARMA processes, ACF, PACF, residual tests)
• Lecture Notes part 2 (Nonstationary data, unit roots, Dickey-Fuller test)
• Technical Material
  • AR1 (Matlab script for simulated AR1 data)
  • AR2 (Matlab script for simulated AR2 data)
  • deflator (Matlab script illustrating nonstationary series and differencing)
  • random_walk (Matlab script illustrating spurious regression with random walk series)
  • DF (Matlab script illustrating basic Dickey-Fuller tests, using "consumption" data from previous section)
     
  • Table F21_2 (data for deflator example)

Problem Sets

• PS 1
   
• PS 2
  • travel data (Excel)
  • Matlab solution part a
  • Matlab solution part b
  • Matlab solution part c
  • Matlab solution part d
     
• PS 3
   
• PS4

Final Exam w. solutions

Additional Background Material