ECON 5360 ADVANCED ECONOMETRIC THEORY II
Class Materials
Lecture Notes
Syllabus
Heteroscedasticity
Pretest
Serial Correlation
Gauss Data
Panel Data
Systems of Equations
GMM
Qualitative-Dependent Variables
Gauss Codes
Problem Sets and Solutions
Example 1. Heteroscedasticity & White's Estimator
Problem Set #1
Example 2. Testing for Heteroscedasticity
Problem Set #2
Example 3. Efficient Estimation with Heteroscedasticity
Problem Set #3
Example 4. Monte Carlo Heteroscedasticity Experiment
Problem Set #4
Example 5. Plotting the Consumption Function Residuals
Problem Set #5
Example 6. Efficient Estimation with Serial Correlation
Problem Set #6
Example 7. Monte Carlo Serial Correlation Experiment
Problem Set #7
Example 8. Panel Data Estimation
Problem Set #8
Example 9. SUR Estimation
Example 10. Simultaneous Equation Estimation (OLS vs. 2SLS)
Example 11. Monte Carlo Simulation (OLS vs. 2SLS)
Example 12. Testing Hall's Random Walk Hypothesis using GMM
Presentations
Exams
Practice Final Exam #1 -- Solutions
Group #1: Notes; Code; Data
Practice Final Exam #2 -- Solutions
Group #2: Notes; Code
Practice Final Exam #3 -- Solutions
Group #3: Notes #1; Notes #2; Code; Data
Final Exam
Group #4: Notes
Group #5: Notes; Code #1; Code #2; Data
Group #6: Notes; Code