Applied Econometrics for Masters Students

MSc course at the Faculty of Economics at the University of Ljubljana, June 2006.
Taught by Dr. Martin Wagner (Institute for Advanced Studies, Vienna) and Dr. Kurt Schmidheiny (Tufts University, Medford).

Resources (files are password protected):

Exercises for first part of course:

• Exercise Sheet
• Asparagus workfile 4
• Spanish farms workfile

Software Guides:

• A Quick Guide to EViews 4
• A Quick Guide to Stata 8 for Windows

Unit 1: Review of basic econometric concepts (Martin Wagner)

• Slides OLS/GLS
• Some Matrix Algebra
• Testing in the classical linear regression model
• Robust inference

Unit 2: Panel Data (Martin Wagner)

• Martin Wagner, Jaroslava Hlouskova (2005), CEEC growth projections: Certainly necessary and necessarily uncertain,The Economics of Transition, 13/2, 341-372.
• Martin Wagner (2005), The Balassa-Samuelson Effect in East & West: Differences and Similarities, Review of Economics 56, 230 – 248.
• Data file for growth projections: CEPR.wf1
• Data file for wage equation: wagepan.wf1
• Data file for Environmental Kuznets curves: co2gdp95.wf1

Unit 3: VAR (Martin Wagner)

• Slides for Estimation of VARs
• Additional slides on time series VAR modelling
• Some classical papers:
• Sims (1980), Macroeconomics and Reality, Econometrica 48, 1 - 48.
• Blanchard (1989), A Traditional Interpretation of Macroeconomics Fluctuations, AER 79, 1146-1164.
• Blanchard and Quah (1989), The Dynamic Effects of Aggregate Demand and Supply Disturbances, AER 79, 655-673.
• Workfile with US macrodata: usdata.wf1
• Paper for our example discussion on monetary policy:
• Boivin and Giannoni (2002), Assessing changes in the monetary transmission mechanism: A VAR approach, Federal Researve Bank of New York Policy Review, 97 - 109.
• Comment by Watson
• Workfile for this example: giann_boivin.wf1
• Additional example:
• Osbat and Wagner (2006), Sectoral Exchange Rate Pass-Through in the Euro Area

Unit 4: Instrumental Variables (Kurt Schmidheiny)

• Handout: IV
• Instrumental Variables are hot, hot, hot
• Economist 1/8/2004
• Levitt (1997), Using Electoral Cycles in Police Hiring to Estimate the Effect of Police on Crime, American Economic Review, 87/3, 270-290.
• Additional introductory readings:
• Angrist and Krueger (2001), Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments, Journal of Economics Perspectives, 15/4, 69-85.
• Hausman (2001), Mismeasured Variables in Econometric analysis: Problem form the Right and from the Left, Journal of Economics Perspectives, Journal of Economics Perspectives, 15/4, 57-67.
• Application 1:
• Problemset
• Data: klein.wf1

Unit 5: Discrete Choice Models (Kurt Schmidheiny)

• Slides on Maximum Likelihood
• Handout: Binary Response
• Handout: Multinomial Choice
• Train(2003), Discrete Choice Methods with Simulation, Cambridge University Press. Chapter 1, chapter 2 and chapter 3.
• Additional readings:
• Mike Gerfin (1996), Parametric and Semi-Parametric Estimation of the Binary Response Model, J. Appl. Econ. 11, 321-339
• Application 2:
• Problemset
• Data: gerfin_jae_1996.wf1
• Excel sheet for calculations: application02.xls
• Hands on:
• Application 3
• Data for application 3: fullauto.wf1
• Excel sheet for calculations: application03.xls

Unit 6: Selection and Censoring (Kurt Schmidheiny)

• Handout: Limited Dependent Variable Models
• Additional introductory readings:
• Chay and Powell (2001), Semiparametric Censored Regression Models, Journal of Economics Perspectives, 15/4, 29-42
• Advanced readings:
• Francis Vella (1998), Estimating Models with Sample Selection Bias: A Survey, Journal of Human Resources, 33, 127-169.
• Application 4:
• Problemset
• Data: fair_pt.wf1
• Excel sheet for calculations: application04.xls
• Article by Fair (1978), A Theory of Extramarital Affairs, JPE, 86/1, 45-61
Application 4 (alternative):
• Problemset
• Data: bezigrad.wf1
• Application 5
• Problemset
• Data: sevs.wf1
• EViews Program: application05.prg