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)

Exercise Problems

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

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)

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

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

Syllabus

Updated on 08/18/06