## Statistics and Econometrics

Universitat Pompeu Fabra and Barcelona GSE, Fall 2010

MSc Economics and MSc Finance

*Kurt Schmidheiny* and *Vasco Carvalho*

### Recent Updates:

- Problem Set 9: Questions

### General Information:

### Causal Effects and the Logic of Randomized Experiments:

- Slides Causal Effects and Experiments: 4up, 1up
- Problem Set 0: 2up, 1up. Due Oct 1.
- The Economist, Aug 13 2009, Eonomics focus: Cause and defect
- Angus Deaton (2009), Instruments of Development: Randomisation in the tropics, and the search for the elusive keys to economic development, NBER Working Paper No. 14690.
- James Heckman and Sergio Urzua (2009), Comparing IV with Structural Models: What Simple IV Can and Cannot Identify, NBER Working Paper No. 14706.
- Guido Imbens (2009), Better LATE Than Nothing: Some Comments on Deaton (2009) and Heckman and Urzua (2009), NBER Working Paper No. 14896.
- Joshua Angrist and Jorn-Steffen Pischke (2010), The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics, Journal of Economic Perspectives 24(2).
- Edward Leamer (1983), Let's take the con out of econometrics, American Economic Review 73(1).
- Writing Group for the Women's Health Initiative Investigators (2002), Risks and Benefits of Estrogen Plus Progestin in Healthy Postmenopausal Women: Principal Results From the Women's Health Initiative Randomized Controlled Trial, Journal of the American Medical Association, 288:321-333.
- The Wyeth ghostwriting case: New York Times, Aug 4, 2009, PLoS
- Jeremy D. Finn and Charles M. Achilles (1990), Answers and Questions About Class Size: A Statewide Experiment, American Educational Research Journal, 27, 557-577.
- Alan B. Krueger (1999), Experimental Estimates of Education Production Functions, The Quarterly Journal of Economics.

### Linear Regression:

- Handout Linear Regression: 2up, 1up
- Handout Heteroscedasticity in the Linear Model: 2up, 1up
- Handout The Bootstrap: 2up, 1up
- Handout Matrix Algebra: 2up, 1up
- Slides Asymptotic Theory: 4up, 1up
- Slides The Geometry of OLS: 4up, 1up
- Handout Monte Carlo Simulations: 2up, 1up, Stata do file withMonte Carlo simulations
- Problem Set 1: 2up, 1up, Data. Due Oct 5, 3:10pm.
- Problem Set 2: 2up, 1up, data. Due Oct 13, 9:10am.
- Problem Set 3: 2up, 1up, data. Due Oct 19, 3:10pm.
- Problem Set 4: 2up, 1up, data. Due Oct 26, 3:10pm.

### Instrumental Variables:

- Handout Instrumental Variables: 2up, 1up
- Slides Simultaneous Equation Models: 4up, 1up
- Instrumental Variables are hot: Economist 1/8/2004
- Instrumental Variables are not obvious to everyone: New York Times, Economix Blog, May 22, 2009
- Problem Set 5: Questions, data question 1

### Panel Data:

- Handout Panel Data: 2up, 1up
- Handout Clustering in the Linear Model: 2up, 1up
- Slides Robust Standard Errors in Panel Data: 4up, 1up
- Problem Set 6: Questions, data question 1