Econometrics II

Fall 2011







(1) Test 2

(2) Test 3

(3) Test 4


Materials on Matlab Tutorials





Matlab Installation Guide (Using Apache Server).


Materials on Stata Tutorials

1. (webpage)

2. (video)

3. (video, importing data)

4. (video, Logit model)



Lecture Notes and Matlab Examples


Lecture note (Matlab basic) Data X and Y


Lecture note (General)


Matlab Basic (Regression)


Example 2

Example 3

Example 4

Panel Covariance Estimator (function, example)


Monte Carlo Examples

Bias and Variance

Size and Power


Bootstrap Examples

Example 1

Example 2 (Wrong bootstrap)

Example 3 (Nonparametric for serial correlation)

Example 4 (Sieve bootstrap)

Example 5 (Not pivotal case: Dynamic Panel Regression where N>T)


Maximum Likelihood Estimation

Example 1 (program)


Method of Moments and GMM

MoM: Example, Moment function(covariance) Moment function2(correlation) Data

GMM: Moment function


OLD Midterm & Answer


Limited Dependent Variable Examples

Example 1 (logit function in Matlab)

Example 2 (Logit Monte Carlo Studies in Stata)

Example 3 (Panel Logit fixed and common time effects, data, program)


Monte Carlo Simulation in Stata 

Example 1 (Tobit)

Example 2 (Nickell Bias)


Truncated Regression

Powells Balanced Trimmed Estimator (Stata


Old Assignments

Assignment 2

Assignment 3&4

(Answer: Matlab codes. Download and unzipped it, and then run ‘runthisfirst.m’)

Assignment 5&6 

Assignment 7    (Matlab code for Q1)

Assignment 8

 data2,      data3

Assignment 9

Assignment 10

     Article 1,

     Article 2



Covariance Estimation

Donald W.K. Andrews “HAC covariance matrix estimation”


Monte Carlo Simulation

Bertrand, Duflo and Mullainathan 2004 (QJE) “How much should we trust did estimates”



Horowitz (2001, Handbook of EM Vol 5) “The bootstrap”


Difference in Difference

Jeff Woodridge 2007 NBER Lecture “Difference in Differences War Estimation”