APPLIED STATISTICS and ECONOMETRICS II
Econ-GA 1102.001, NYU
Spring 2018
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.
– Wu, J., and Wu, S. (2001). “Is Purchasing Power Parity Overvalued?”, Journal of Money, Credit and Banking, 33(3), 804-812.
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.