Web Site for
Advanced Econometrics II (undergraduate) &
Econometircs II (graduate) of 2014SY

Providing information of the class through this WEB pgae.
Students who take this class are expected to browse reguraly.

Course Plan (at 1/23)

The day represented bold letter shows finished contents, and the day represented normal letter shows planned contents.

# dates contents of the class corresponding pages
in the textbook		 other assignment
1 October 1 Attention for the students
1. Review of Linear Regression
1.1 Methods of Moments Estimation		 Greene(2012)
pp.496-503.		 [TA session]

HandOut#01
(PDF file)		 #01 (PDF file)

Answer of #01
(PDF file) (10/15)
2 October 8 1.2 FWL theorem and Its Application Greene(2012)
pp.71-76, 79-86.		 [Other references]

HandOut#02
(PDF file)		 #02 (PDF file)

Answer of #02
(PDF file) (10/22)
3 October 15 2. Simulation Based Tests: Bootstrap tests Greene(2012)
pp.651-655.		 [Other refefences]
[Computer Softwares]

HandOut#03
(PDF file)

Supplementary#03
(PDF file)		 #03 (PDF file)

Answer of #03
(PDF file) (11/6)
4 October 22 3. Model Specification Techniques Greene(2012)
pp.174-183.		 [Other references]

HandOut#04 (rev.)
(PDF file)		 #04 (PDF file)

Answer of #04
(PDF file) (11/6)
5 October 29 4. Non-linear Least Squares
4.1 Non-linear Regression Models
4.2 The Method of Moments and Its Properties
4.3 Non-linear Least Squares		 Greene(2012)
pp.221-242		 HandOut#05
(PDF file)		 #05 (PDF file)

Answer of #05
(PDF file)(11/21)
6 November 5 4.4 Methods of Computing NLS Estimator
4.5 The Gauss-Newton Regression		 Greene(2012)
pp.240-242,
1133-1146.		 [Other references]

HnadOut#06
(PDF file)		 #06 (PDF file)

Answer of #06
(PDF file)(11/21)

Scilab Log of #06
(PDF file)(11/21)
7 November 12 5. The Generalized Method of Moments
5.1 The GMM Estimation of Linear Regression Models
5.2 The GMM Criterion Function and That Based Tests
5.3 The GMM Estimation for Non-linear Models		 Greene(2012)
pp.522-546.		 [Other references]

HandOut#07
(PDF file)		 not assigned
8 November 19 5.3 The GMM Estimation for Non-linear Models (cont'd)
5.4 An Illustraive Example		 Greene(2012)
pp.522-546.		 HandOut#08
(PDF file)
9 November 26 Short Summary & Mid-Term Exam Answer of Mid-Trem Exam
(PDF file)
10 December 3 6. Analysis of Panel Data
6.1 Models for Panel Data
6.2 Estimation of Finxed Effects Models
6.3 Estimation of Random Effects Models
6.4 GLS Estimation of Random Effects Models		 Greene(2012)
pp.383-416		 HandOut#10
(PDF file)		 #10 (PDF file)

Answer of #10
(PDF file)
11 December 10 6.5 Warning for Estimation of Random Effects Models
6.6 Extension 1: Nonlinear Models with Panel Data
6.7 Extension 2: Dynamic Panel Data		 Greene(2012)
pp.419-425,
440-455.		 [Other references]

HandOut#11
(PDF file)		 not assigned
12 December 17 7. Qualitative Response Models
7.1 Binary Response Models
7.2 Estimation of Binary Response Models
7.3 Usage Notes for Bianary Response Models		 Greene(2012)
pp.723-755.		 HandOut#12
(PDF file)		 #12(PDF file)

Answer of #12
(PDF file)
13 January 7 7.4 Minimum Chi-square Estimator
7.5 Models for Three or More Responses		 Greene(2012)
pp.800-810,
824-831		 [Other references]

HandOut#13(rev.)
(PDF file)		 #13(PDF file)

Answer of #13
(PDF file)(1/23)
14 January 14 7.6 Models for Count Data
8. Analysis of Duration
8.1 Survivor Functions and Hazard Functions
8.2 Candidate Distributions for Survivor Functions
8.3 Maximum Likelihood Estimation
8.4 Proportional Hazard Models		 Greene(2012)
pp.843-850,
901-912.		 HandOut#14
(PDF file)		 not assigned
15 January 21 Summary
[Note: Room Change #605 of Graduate Bldg.]
16 January 28 Final Exam

Supplementary notes, etc.

#01 October 1, 2014

[TA session]
　　The TA session (by Mr. S. Yonekura) will be held at 16:20-17:50, every Monday.
　　(#605 seminar room at Graduate School Building)
　　The first TA session will be held at October 6.

#02 October 8, 2014

[Other references]
　　For detailed explanation on issues which handled in Today's class,
　　reading pp.42-75 of
　　　　Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.
　　is highly recommended.

#03 October 15, 2014

[Other references]
　　For further studies of Today's topic, following references are helpful.
　　　　(1) 4.6 and 4.7 of　Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P
　　　　(2) Johnson, R. W., (2001), "An Introduction to the Bootstrap," Teaching Statistics, 23(2), pp.49-54.
　　　　(3) Efron, B., (2003), "Second Thought on the Bootstrap," Statistical Science, 18(2), pp.135-140.

[Computer Softwares]
　　MATLAB is available in our computer room. (Please remind that the maxium number of concurrent users is 10.)
　　Scilab is a open souce software. To install it to your own PC, please visit
　　　　http://www.scilab.org/

#04 October 22, 2014

[Other references]
　　For further studies of Today's topic, next reference would be helpful.
　　　　pp.651-677 of Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.

#06 November 5, 2014

[Other references]
　　For further studies of Today's topic, next reference would be helpful.
　　　　pp.228-250 of Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.

#07 November 12, 2014

[Other references]
　　For further studies of Today's topic, next refereces would be helpful.
　　　　(1) pp.352-382 of Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.
　　　　(2) pp.9-21 of Mátyás, L. (1999), Generalized Method of Moments Estimation, Cambridge U.P.

#11 December 10, 2014

[Other references]
　　For further studies of Today's topic, next reference would be helpful.
　　　　pp.147-155 of Baltagi, B.H. (2008), Econometric Analysis of Panel Data, Wiley.

#13 January 7, 2015

[Other references]
　　For further studies of Today's topic, next refereces would be helpful.
　　　　(1) pp.466-471 of Davidson, R. and MacKinnon, J.G. (2004), Econometric Theory and Methods, Oxford U.P.
　　　　(2) pp.275-280 of Amemiya, T. (1985), Advanced Econometrics, Harvard U.P.

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