Introduction

1

1. Introduction

1.1. Econometric Methodology

1.2. The Structure of Economic Data

1.3. Dependent Variables and Econometric Models

1.4. Types of Explanatory Variables

2. Linear Regression Analysis with Cross-Sectional Data

2.1. Model Specification

2.2. Estimation: Ordinary Least Squares

Introduction to Stata

2

Introduction to Stata

Illustration 1 (questions 1-6)

Linear Regression Analysis with Cross-Sectional Data

3

2.2. Estimation: Ordinary Least Squares (cont.)

2.3. Partial Effects

Practical Exercises

4

Illustration 1 (cont.)

Inference and Model Evaluation

5

2.4. Inference

2.5. Model Evaluation

Illustration 1 (questions 7-9)

Practical Exercises

6

Illustration 2

Practical Exercises

7

Illustration 3

Practical Exercises

8

Illustration 3 (cont.)

Econometric Models with Endogenous Explanatory Variables

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3. Econometric Models with Endogenous Explanatory Variables

3.1. Endogeneity

3.1.1. Definition and Consequences

3.1.2. Motivation: Omitted Variables, Measurement Errors, Simultaneous Equations

3.1.3. Solutions: Instrumental Variables, Panel Data

3.2. Instrumental Variable Estimation

3.2.1. Two-stage Least Squares (2SLS)

3.2.2. Generalized Method of Moments (GMM)

3.3. Specification Tests

3.3.1. Test for the Exogeneity of an Explanatory Variable

3.3.2. Test for the Exogeneity of the Instrumental Variables

3.3.3. Tests for Correlation between Instrumental Variables and Explanatory Variables

Practical Exercises

10

Illustration 4

Panel Data Models

11

4. Static and Dynamic Panel Data Models

4.1. Panel Data

4.2. Alternative Estimators

4.3. Inference and Model Evaluation

Practical Exercises

12

Illustration 5

Practical Exercises

13

Illustration 6

Dynamic Panel Data Models

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4.4. Dynamic Panel Data Models

To be defined

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To be defined

Nonlinear Regression Models

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5. Nonlinear Regression Models

Models for Binary Choices

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5.2. Limited Dependent Variable Models

5.2.1. Models for Binary Choices

Practical Exercises

18

Illustration 8

Models for Ordered Choices

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5.2.2. Models for Ordered Choices

Illustration 9

Models for Multinomial Choices

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5.2.3. Models for Multinomial Choices