ECN 726
Econometrics II

Homework Sets Exercises Class Notes
Computer Instructions Data Syllabus

Homework Assignments

Set 1 (Due 09/12/2006) Set 2 (Due 10/03/2006) Set 3(Due 11/07/2006) Set 4(NA)

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)
Gauss Reference Posted on 08/18/06
Gauss Tutorial: Basics 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 and Programs


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)

tsls.txt (Data for 2SLS exercise: 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)

gmm_1.prg (Gauss GMM program for a single equation)


     MLE Programs




Class Syllabus   Updated on 08/18/06