Econometrics II

Econometrics (Graduate Level)

• Tuesdays, 13:00-14:30
• Room 31 (文法経講義棟)
• Prerequisite: Special Lectures in Economics (Statistical Analysis) and Econometrics I
• Lecture slides will be available below.
• References
  • W.H. Greene (2012): Econometric Analysis, seventh edition, Pearson
  • J.D. Hamilton (1994): Time Series Analysis, Princeton University Press
• Evaluation: Final (60%) and assignments (40%)
• Office hour: Appointment by email.

TA Session by Mr. Mikami and Mr. Hatakenaka

• Thursdays, 14:40-16:10 (starting on October 12)
• Room 509
• Each session will give a review of topics covered in class with some applications.
• TA notes will be available below.

Evaluation

• Final exam (60%) and assignments (40%)

Lecture Slides

1. 2017/10/03 Introduction / MLE I (Greene 14.1-14.4)
2. 2017/10/10 MLE II / Qualitative Dependent Variable I (Greene 14.4, 17.1-17.3)
3. 2017/10/17 Qualitative Dependent Variable II (Greene 17.3, 18.1-18.3)
   • Application: Probit Estimation using Stata -- csv data / dta data / Stata do file
4. 2017/10/24 Qualitative Dependent Variable III (Greene 19.1-19.3)
   • Application: Tobit Regression -- Stata do file
5. 2017/10/31 Qualitative Dependent Variable IV / Panel Data I (Greene 18.4, 11.1-11.2)
   • Application: Zero-Inflated Poisson Count Model -- Stata do file
   • Assignment 1 -- Due: 2:30 p.m. November 21
6. 2017/11/07 Panel Data II (Greene 11.3-11.5)
7. 2017/11/14 Panel Data III / GMM I (Greene 11.5-11.6, 13.4)
   • Application: Quality of Life (QoL) and Smoking Behavior -- csv data / dta data / stata do file
8. 2017/11/21 GMM II (Greene 13.4)
9. 2017/11/28 GMM III (Greene 13.4-13.5) / Time-Series Analysis I (Hamilton 3.1-3.2)
10. 2017/12/05 Time-Series Analysis II (Hamilton 3.4)
    • Assignment 1 (corrected) -- question numbers corrected
    • Solutions to Assignment 1
11. 2017/12/12 Time-Series Analysis III (Hamilton 3.3-3.4)
    • Assignment 2 -- No submission required (for self-evaluation purpose only)
12. 2017/12/19 No Class
13. 2018/01/09 Time-Series Analysis IV (Hamilton 3.5)
    • Application: ARMA Model -- csv data / dta data / stata do file
    • Assignment 2 (corrected) -- question numbers corrected
    • Solutions to Assignment 2
14. 2018/01/16 Time-Series Analysis V (Hamilton 4.1-4.3) / Summary
    • Practice Questions
15. 2018/01/23 Q&A at Office 336 (経済本館3F)

TA Notes

1. 2017/10/12 MLE / Discrete Choice Model
2. 2017/10/19 Discrete Choice Model
3. 2017/10/26 Nested Logit Model / Truncated Regression Model / Tobit Model
4. 2017/11/09 Count Data Model / Panel Data
5. 2017/11/16 Panel Data / GMM
6. 2017/11/30 Robust Standard Error / MM / IV / 2SLS
7. 2017/12/07 Time Series Analysis
8. 2017/12/14 AR Model
9. 2018/01/11 MA Model / ARMA Model
10. 2018/01/18 Prediction
11. 2018/01/25 Q&A

Final Exam

• January 30, 2018, Tuesday, 13:00-14:30
• Room 31 (文法経講義棟)
• Closed book
• 60-70% out of 100% are from two assignments
  • Assignment 1 / Solutions to Assignment 1 -- (5) corrected (2017/01/23)
  • Assignment 2 / Solutions to Assignment 2 -- (7) corrected (2017/01/23)
• 30-40% are new questions.
  • Practice Questions -- model expression corrected (2017/01/23)

Results of Final Exam

• Summary Statistics (24 observations) -- modified on 2017/02/02

• Histogram -- modified on 2017/02/02