Econometric Surgery for MSc Students
EC402, 2012/13

• Suggested readings: see Econometrics for MSc Students

Econometrics for MSc Students
EC402, 2011/12

• Suggested books:
  
  - Cameron and Trivedi, Microeconometrics, Cambridge Press (simple and clear)
  - Favero, Applied Macroeconometrics, Oxford Press (first chapter only, overview of OLS)
  - Brandt an Williams, Multiple time series models, Sage publications (for an introduction to VAR. See also other Sage publications on the series "quantitative applications in the social sciences" for simple introductions on specific topics, like intro to OLS, Panel data and other topics)
  - Kennedy, A Guide to Econometrics, Blackwell Publishing (simple introduction to many topics in Econometrics)
  
   

• Other suggested readings:
  
  Introductory slides on hypothesis testing (from me) here
  Introductory notes on asymptotic theory (found on the web) here
  Easy introductory notes on matlab (found on the web) here
  Solution to problem set 3, Michaelmas term here
  Simple notes on conditional vs. unconditional expectations (from me) here

• Monte Carlo simulations on Matlab
  
  Frisch-Waugh theorem, .m file here (partitioning results on OLS regression)
  Asymptotic results, .m file here (convergence in probability and in distribution, LLN and CLT)
  Distribution of OLS estimators, .m file here
  OLS estimators with an endogenous regressor, .m file here
  Instrumental variable estimation, .m file here
  Panel data, within vs. first difference transformation, .m file here, data here, .do file here
  Dynamic panel inconsistency, .m file here

• Computer exercises

        Problem set 5, question 2, .m file here (effect on OLS estimates if you play with regressors)
        Problem set 6, question 2a, .m file here (linear hypothesis testing, Wald vs. LR principle)
        Problem set 6, question 3, .m file here (dummy variables)
        Problem set 7, question 3, .m file here (omitted variable bias)

        Exercises from the textbook by Wooldridge, data available here

        w10.4, simulated data here , .do file here (Diff-in-Diff estimation)
        w10.10, .do file here (First Difference and Within estimation)
        w10.12, .do file here (Fixed effect vs. Random effect estimation)
        w11.12, .do file here (Instrumental Variable estimation)
        w11.15, .do file here (Instrumental Variable estimation)

Probability and Statistics
EC400, September 2011

• Solutions to quiz 1, question 2 here

• Solutions to question 2, exam paper 2010/11 here

• Introductory slides on Hypothesis Testing here

Macroeconomics for MSc Students
EC413, 2010/11

• Suggested readings:
  
  - Dixit A., Optimization in Economic Theory, Oxford press (Ch 1-4, maximization techniques)
  - Femminis G., A Primer in Dynamic Programming (link, basics on dynamic macro)
  - Barro and Sala-i-Martin, Economic Growth, (Ch. 1-2, Solow and Ramsey models)
  - Bagliano and Bertola, Models of Dynamic Macroeconomics, Oxford press (Ch 1-2, Consumption and Tobin's q)
   

• Handwritten notes on Problem sets (beware of typos): ps1, ps2, ps3, ps4, ps5, ps6, ps7, ps8, ps9

• Notes on Social Planner vs. Decentralized Economy here

• Notes on Real Business Cycle literature: (work in progress)

Microeconomics and Macroeconomics for undergraduates
EC101, 2008/09 and EC102, 2009/10

• (No material posted)

International Monetary Policy, Shanghai Normal University
April 2011 and April 2012

• link to lecture notes

Stata for MSc students
2010/11 and 2011/12

• link to class material

-----------------------  Useful Teaching Material for other Courses  -----------------------
 

• Useful notes on other topics
  
  Simple, well-written notes on the new keynesian model here
  A general discussion of the new keynesian model here and partially here
  Simple, well-written introduction to financial frictions in macro models here
  
  
   

• Introductory slides on Hypothesis Testing here
  
   

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