This is the website of the Econometrics Tutorial for Barcelona GSE Master Program in Macroeconomic Policy and Financial Markets.
Class 1. October 2.
Matlab. Matrix Algebra Review. Time Series objects.
Class 2. October 9.
OLS Estimation in Matlab and Gretl.
M-files: OLS estimation of the PSID sample (class2_psid.m)
Class 3. October 14
Outliers. Monte-Carlo simulations for the sample mean
M-files: Outliers, high leverage observations (class2_outliers.m)
Monte-Carlo simulation for the sample mean(class3_mc_mean.m)
Class 4. October 16
Monte-Carlo simulation for the OLS estimates (class4_mc_ols.m)
Conditional/unconditional unbiasedness of OLS (class4_mc_cond.m)
Bias and efficiency of linear estimators (class4_mc_bias.m)
Class 5. October 23
Inference in OLS.
Data from PSID
T-statistics, p-value, F-test (class5_inference.m)
Collinearity (class5_collinearity.m)
M-files from Belsley, DA, Kuh, E, Welsch, RE (1980). Regression diagnostics: Identifying influential data and sources of collinearity.
Class 6. October 30
Assymptotics in OLS
Consistency of OLS estimator (class6_consistency.m)
Asymptotic normality of OLS estimator (class6_asympt.m)
Large-sample inference for OLS estimator (class6_largesample.m)
Value function iteration
Determenistic neoclassical growth model (class6_ngm.m)
Class 7. November 6
Value function iteration
Stochastic neoclassical growth model (class7_ngm_stoch.m)
Optimization in Matlab (Class7.rar)
Class8. November 11
We finish optimization.
Maximum Likelihood Estimation
CLRM under normality: MLE_normal.m, ExampleNormal.m
Logit example: MLE_logit.m, ExampleLogit.m
Class 9. November 20
Stochastic Neoclassical growth model with labor supply (class9_ngm_stoch_lab.m, solvelab.m)
Generalised Method of Moments. (GMM)
Class 10. November 27
Generalised Method of Moments
Hall's Example
Data (hall.m)
Code (HallGMM.m)