Econometrics Tutorial Barcelona GSE fall 2013

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)

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

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)