Applied Statistics and Econometrics II (Grad, NYU)

APPLIED STATISTICS and ECONOMETRICS II

Econ-GA 1102.001, NYU

Spring 2018

Syllabus

Lecture Notes
- Programming with R
- Large Sample Theory
- Instrumental Variables
- Generalized Method of Moments
- Maximum Likelihood Estimation
- Univariate Time Series Models
- Multivariate Time Series Models: Part I
- Multivariate Time Series Models: Part II
- Models with Limited Dependent Variables
- Panel Data Models

Problem Sets
Problem Set 1    Solutions
Problem Set 2    Solutions
Problem Set 3    Solutions
Problem Set 4    Solutions
Problem Set 5    Solutions
Problem Set 6    Solutions
Problem Set 7    Solutions
Problem Set 8    Solutions

Empirical Exercises
Empirical Set 1
Empirical Set 2
Empirical Set 3
Empirical Set 4
Empirical Set 5

Exams
Midterm 1             Solutions
Midterm 2            Solutions
Final                       Solutions

Replication Projects
GMM Estimation of Nonlinear Rational Expectations Models (Richard, Tianyuan, Donhjoo)
- Hansen, L. P. (1982), Large Sample Properties of Generalized Method of Moments Estimators, Econometrica, 50, 1029-1054.

- Hansen, L. P., and Singleton, K. (1982), Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models, Econometrica, 50, 1269-1286.

- Parker, J.A. and Preston, B. (2005) Precautionary saving and consumption fluctuations, American Economic Review, 95, 1119-1143.

Unit Root and Macroeconomic Time Series (Shane, Shukrit)
- Nelson, C. R. and Plosser, C. I. (1982), Trends and Random Walks in Macro-economic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10, 139-162.

- Phillips, P. C. B., and Perron, P. (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346.

- Im, K. S., Pesaran, M. H., and Shin, Y. (2003), ”Testing for unit roots in heterogeneous panels.” Journal of Econometrics 115, 53-74.

Economic Development and Institutions (Brady, Erika, Jaelynn)
- Acemoglu, D., Johnson, S. and Robinson, J. A. (2001), The Colonial Origins of Comparative Development: An Empirical Investigation, American Economic Review, 91, 1369-1401.

- Albuoy, D. Y. (2012), “The Colonial Origins of Comparative Development: An Empirical Investigation: Comment.” American Economic Review, 102, 3059-3076.

- Acemoglu, D., Johnson, S. and Robinson, J. A. (2012), The Colonial Origins of Comparative Development: An Empirical Investigation: Reply, American Economic Review, 102,3077-3110.

The Purchasing Power Parity Puzzle (Fernando, Devashish, Daniela)
- Taylor, A. M. (1988), An empirical examination of long-run purchasing power parity using cointegration techniques, Applied Economics, 20(10), 1369-1381.

- Taylor, A. M., and Taylor, M. P. (2004), The Purchasing Power Parity Debate, Journal of Economic Perspectives, 18, 135-158.

- Rogoff, K. (1996), The Purchasing Power Parity Puzzle, Journal of Economic Literature, 34, 647-668.

Returns to Schooling (Charissa)
- Card, D. (1995), Using Geographical Variation in College Proximity to Estimate the Return to Schooling. In: L. N. Christofides, E. K. Grant and R. Swidinsky, eds, Aspects of Labour Market Behaviour: Essays in Honour of John Vanderkamp, University of Toronto Press, Toronto, Canada, 201-222.

- Card, D. (1999), The Causal Effect of Education on Earnings. In: O. Ashenfelter and D. Card, eds, Handbook of Labor Economics, Volume III, Part A, North-Holland, Elsevier, Amsterdam, The Netherlands, 1801-1863.