# ECN 726 Econometrics II

 Homework Sets Exercises Class Notes Computer Instructions Data Syllabus

### Exercise Problems

 Set 1 Set 2

### Class Notes

 Set 1 Basic Panel Data Models (Posted on 08/18/06) Set 2 Instrumental Variables Estimation (Posted on 08/18/06) Set 3 Seemingly Unrelated Regression Models (Posted 09/12/06) Set 4 Simultaneous Equations Models (Posted 09/20/06) Set 5 GMM (Posted 10/13/06) Set 6 MLE (Posed 10/26/06) Set 7 Factor models (NA) Set 8 Qualitative and Limited Dependent Variables Models (Posted 10/26/06)

### Computer Instructions

 Eviews Instruction (NA) LIMDEP Instruction (NA) Posted on 08/18/06 Posted on 08/18/06 Gauss Tutorial: Basic Panel Posted on 08/18/06 Gauss Tutorial: IV Posted on 08/18/06 Gauss Tutorial: GMM Posted on 10/13/06 Gauss Tutorial: MLE Posted on 10/13/06

### Data

 exer.txt (For OLS exercises) mwpsid82.db (Married Women, PSID, 1982: ASCII) mwemp.db (Married Employed Women, PSID, 1982: ASCII) mwemp.wf1 (Employed Married Women: Eviews) biv.db (Artificial data for bivariate probit exercises: ASCII) ord_data.db (Artificial data for ordered probit exercises: ASCII) panel_1.txt (Generated Panel Data: ASCII) panel.db (Generated Panel Data: ASCII) cr.db (Panel Data: 1976-1982) pan1.db (Generated Panel Data, N=500, T=5: ASCII) pandy1.wf1 (Generate Dynamic Panel Data: EVIEWS) pandy1.db (Artificial data for Dynamic panel data exercise: ASCII) dynam.db (Artificial data for Dynamic panel data excercise: ASCII) sur.db (generated date for SUR exercises: ASCII) sem.db (generated date for SEM exercises: ASCII) tobit.db (Accounting Panel Data, N=103, T=4: ASCII) 2003_quarterly_macro.wf1 (Macro Data: EVIEWS) econmac.txt (US quarterly macro data up to 2003:2)

### LIMDEP Programs

 mw_read.lim (Reading mwpsid82.db) mw_prob1.lim (Probit) mw_prob2.lim (Wald and LR tests) mw_tob.lim (Tobit) mw_log.lim (Logit) mw_trun.lim (Truncation) mw_heck1.lim (Selection) mw_lee.lim (Mover/Stayer)

### GAUSS Programs

OLS related Programs

 ols.prg (OLS) automonte.prg (Monte Carlo Experiments for a model with autocorrelation) hetmonte.prg (Monte Carlo Experiments for a model with heteroskedasticity)

Panel Data Programs

 pan_gls.prg (within and GLS est. of panel data) pan_gls2.prg (within and GLS with HET and AUTO) pan_ht.prg (for the HT model) pan_mgiv.prg (for the HT model with HET and AUTO) mgiv.col (supplementary program for panel data programs) dynam.prg (for a simple dynamic panel model) dynamic1.prg (for a Monte Carlo simulations on a dynamic panel model) dynamic2.prg (for a Monte Carlo simulations on a dynamic panel model)

GMM Programs

 nlls.prg (Gauss NLLS program) gmm_nw_t.prg (Gauss Two-Step GMM program) gmm_nw_i.prg (Gauss Iterative GMM program)

MLE Programs

 probit.prg tobit.prg trunc.prg heckman1.prg

### Syllabus

 Class Syllabus Updated on 08/18/06