Course Outline for

Econometrics

a short course given at the

NAKE Workshop The Hague, The Netherlands, June 10-14, 2002

Jerry Hausman, MIT

 

Days 1-3: Instrumental Variable Estimation with Weak Instruments

Readings:

  1. Hahn, J. and J. Hausman, "Notes on Bias in Estimators for Simultaneous Equation Models", Economic Letters, 2002.
  2. Hahn, J. and J. Hausman, "A New Specification Test for the Validity of Instrumental Variables," Econometrica, January 2002.
  3. Donald, S.G. and W.K. Newey, "Choosing the Number of Instrumental Variables," Econometrica, 2001.
  4. Kleibergen, F.: "Testing Parameters in GMM without Assuming they are Identified", December 2001, mimeo
  5. Hahn, J., J. Hausman, and G. Kuersteiner: "Higher Order MSE of Jackknife 2SLS", December 2001, mimeo
  6. Hausman, J., "Specification and Estimation of Simultaneous Models" in Z. Griliches and M. Intriligator (eds.), Handbook of Econometrics, Vol. 1, 1983, 391-448
  7. Bekker, P.A., "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica 62 (1994), 657-681.
  8. Staiger, D. and J.H. Stock, "Instrumental Variable Regression with Weak Instruments," Econometrica 65, 557-586.
  9. Rothenberg, T.J., "Asymptotic Properties of Some Estimators in Structural Models," Studies in Econometrics, Time Series, and Multivariate Statistics, Academic Press, 1983.

 

Days 4-5: Panel Data

Readings:

  1. Hausman, J. and W. Taylor: "Panel Data and Unobservable Individual Effects," Econometrica 49, November 1981.
  2. Hahn, J., J. Hausman, and G. Kuersteiner: "Instrumental Variables Estimation for Dynamic Panel Models with Fixed Effects", July 2001, mimeo.
  3. Hausman, J. and G. Leonard, "The Competitive Effects of a New Product Introduction: A Case Study", forthcoming Journal of Industrial Economics, December 2000, mimeo
  4. Abrevaya, and J. Hausman, "Semiparametric Estimation in the Presence of Mismeasured Dependent Variables," Annales D'Economie et de Statistique, 55-56, 1999 (if time permits)
  5. Hausman, J., "Mismeasured Variables in Econometric Analysis: Problems from the Right and Problems from the Left", Journal of Economic Perspectives, 2001 (if time permits)
  6. Griliches, Z. and J. Hausman, "Errors in Variables in Panel Data," Journal of Econometrics, 1986
  7. Wooldridge, J. M., Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001), Chapter 10