## JEB110 - Econometrics II

Kredit: 6 2/2 AnglickyBakalářský - povinnýBakalářský - všeBEF - electiveSemestr - zimní JEB109 - Econometrics I Mgr. Barbara Pertold-Gebická M.A., Ph.D. Mgr. Barbara Pertold-Gebická M.A., Ph.D. Mgr. Václav Hausenblas Mgr. Barbora Malinská Mgr. Ayaz Zeynalov M.A. Due to national holiday on wednesday, October 28, Seminar sessions are moved to: Thursday, October 29 at 12:30 and Friday, October 30 at 8:00. J.M. Wooldridge, Introductory Econometrics, South-Western College Publishing Alternative books: Time series data: "Introductory Econometrics for Finance" by Chris Brooks Cross-sectional and panel data: "Microeconometrics: Methods and Applications" by Cameron and Triveldi The objective of the course is to teach students how to use econometric methods to identify and quantify economic relations, how to deal with the data and interpret the results. Together with Econometrics I, the course will prepare students to carry out independent empirical projects (e.g. for a bachelor thesis) and to take the Advanced Econometrics course. 1. Introductory Lecture: Repetition of basic econometrics (Chapters 1 - 9) 2. Time Series I, II, III (Chapters 10 - 12) Basic Regression analysis with time series data. - Properties of OLS with time series data. - Trends and seasonality. - Stationarity, nonstatinarity and weak dependence. - Serial correlation and heteroskedasticity in time series regressions. 3. Panel Data I, II (Chapters 13 - 14) - Pooling cross sections across time: Simple panel data methods. - Fixed effects estimation - Random Effects Models 4. Instrumental Variables & 2SLS I and II (Chapters 15 - 16) - Instrumental variables estimation. - Two Stage Least Squares (2SLS). - Simultaneous equations models (simultaneity bias in OLS, etc.). 5. Limited Dependent Variable models (Chapter 17) - Binary response models (linear probability, logit, probit). - Corner solution, censored and truncated data models. 6. Carrying out Empirical Project (Chapter 19) Midterm will be held on November 10, 2015. Final Exams will be announced during the exam term starting in January 2016. Assignments: 0 - 21 points Midterm Exam: 0 - 20 points Final Exam: 0 - 45 points (to pass the Final, one needs to have at least 25 points) Empirical Paper: 0 - 14 points Article: abortion and crime Durbin and Watson original paper Empirical Project Assignment Home assignment 1 - RESULTS Home assignment 1 - UPDATED! Home assignment 2 Home Assignment 2 - Results Home assignment 3 RESULTS Home assignment 3 UPDATE (for Stata 12 users) Lecture01 Lecture02 Lecture03 Lecture04 Lecture05 Lecture06 Lecture08 Lecture09 Lecture10 Lecture11 Lecture12 Lecture1_example_TeamProductivity_paper Lecture2_example_dofile Lecture2_example_housingVATdata Lecture4_data Sample Final Exam SampleProject1 SampleProject2 SampleProject3 Session01 with solutions Session02 with solutions Session03 Session04 Session05 Session06 Session08 Session09 Session10 with solutions Session11 with solutions Session12 Syllabus 2015/2016 Wooldrige (1989)