Předmět Advanced Econometrics (JEM005)

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Materiál	Typ	Datum	Počet stažení

Sylabus

1. Linear Regression
Revision using matrix algebra, finite sample properties, large-sample properties
 Reading: G(3-5: 26-143), W (4: 49-76)
2-3. (2.1.) Introduction to Estimation Frameworks in econometrics
 Parametric estimation and inference (likelihood-based methods), semiparametric estimation (GMM, empirical likelihood), properties of estimators
 Reading: G(12: 432-454)
(2.2.) Quantile Regressions
 Quantile regressions, Quantiles and conditional quantilesReading: G(7.3: 202-207) and CT(4.6.)
(2.3.) Maximum Likelihood estimators
 Basic likelihood concepts, score functions, principle of ML and its properties, Quasi and pseudo-MLE Reading: G(14: 509-548), W(13: 385-397), or alternatively CT(5: 116-163), MHH(1,2: 1:82 and 9:313-346 for QMLE)
4. Generalized Method of Moments
 The method of moments, GMM, properties, testing hypothesis in the GMM framework Reading: G(13.1.-13.5.: 455-480), W(14: 421-448)
 or alternatively CT(6: 166-219), MHH(10:361:396)

5. Simulation-based estimation and inference
 computer-intensive, simulation-based methods, bootstrap, maximum simulated likelihood estimation, moment-based simulation estimation
 Reading: G(15: 603-634) or alternatively CT (11-13: 357-416, selection) or MHH(12: 447-477)6. Endogeneity and Instrumental variables
IV estimation, Multiple Instruments (2SLS), asymptotic theory and robust inference, measurement errors and omitted variables, 
 Reading: G(8.1.-8.4. 8.7.: 219-251), W (5: 83-107) + Endogeneity in Systems of Equations (G 10.6.-10.7: 314-355?) if time allows
7. MIDTERM
8. Generalized Least Squares, non - i.i.d. errors 
 Generalized regression models and heteroscedasticity (efficient estimation via (F)GLS), Seemingly unrelated regressions
 Reading: G(9.1.-9.3.: 257-266), G(10.1-10.3: 290 - 304), W(7: 143-167)
9. Models for Panel Data I (static panel data methods) advantages of panel data; basics of linear panel models; pooled, random effects
 and fixed effect models; SUR versus Panel Data Models; target parameters and estimation by GLS; applications. Reading: G(11: 343-382), W (10: 247-288) 
 or additional CT(21:697-739)10. Models for Panel Data II (Dynamic linear paneldata models)
Extensions of basic models; types of exogeneity; endogenous regressors; dynamic models; Discrete Choice Panel data methods, GMM methods for Panel models; 
 Reading: G(11: 382-426), G(13.6.5.: pp493) GMM in panel data, W (11: 299-328) or additional CT(22: 743-778)
11. Discrete Choice models 
 Review of linear probability models for binary Discrete choice models, advantages, Logit and Probit models, specification issues
 Reading: W (15.2.-15.7.: 451-480), G(17.1. - 17.3.: 681-714)
 or additiona CT (14: selected)
12. Extended Discrete Choice models
 Multinomial logit and conditional logit models, Pooled discrete choice models
 Reading: W (15.8.-15.10. : 480-509), G(17.4. - 17.5.: 716-752) + 18.1.-18.5.: 769:829 (only selection IF TIME ALLOWS)
 additiona CT (14, 23: selected)

Literatura

For the topics covered during the semester, we will use chapters mainly from the two textbooks:
 (G) Greene, W.H. Econometric Analysis, 7th edition, Prentice Hall, 2012
 please note that older versions of the text are fine too, just be aware of different chapters numbering (W) Wooldridge, J. Econometric Analysis of Cross-Section and Panel Data, Boston: MIT Press, 2010, 2nd edition In addition, following textbook can be used (CT) Cameron, C. and Trivedi, P.K. Microeconomertics: Methods and Applications, Cambridge University Press, New York, May 2005 Other good references:Maddala, Limited-dependent and Qualitative Variables in Econometrics, Cambridge, 1982. Davidson and MacKinnon: Econometric Theory and Methods, Oxford, 2003. Hayashi, F., Econometrics, Princeton: Princeton Univ. Press, 2000. Gourieroux and Monfort: Statistics and Econometric Models: Vol 1 and 2 (Cambridge University Press), 1995(MHH) Martin, Hurn and Harris: Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University Press, 2013Hansen, Bruce E.: Econometrics (online draft of graduate textbook), University of Wisconsin (last revision: January 2013)
The Davidson and MacKinnon text is a good up-to-date text. Maddala’s text, and the Wooldridge text are excellent for limited dependent and qualitative variables. Hayashi (2002) is much more involved with time series econometrics. Gourieroux and Monfort (1995) is an excellent complementary book for students interested in more technical text (at PhD level). Verbeek is less technical and undergraduate level. A new and rather broad text is Martin, Hurn and Harris (2013).

Požadavky

Assignments: 0 - 15%Midterm Exam: 0 - 20% Final Exam: 0 - 50% (to pass the Final, one needs to have at least 60% of correct answers)Empirical Paper: 15%

Garant

PhDr. Jozef Baruník, Ph.D.

Vyučující

PhDr. Jozef Baruník, Ph.D.