Grading

Your grade in this course will depend on your 5 critiques and 5 replications (see below), your midterm and your final exam. The weights are as follows:

Critiques 10%

Replications 30%

Midterm 20%

Final 40%

You get graded based directly on your replications, and also indirectly through the exams, which will have code- and paper-based questions based directly on the replications that you have undertaken. As you can see, the purpose of this course is to get you to do econometrics, via the replications.

Assignments

This course is based on critiques and replications. A critique is a short (2-page) referee report in which you describe the strengths and shortcomings of a paper, and suggest ways in which to improve the paper. It is a critical review of a paper, and your critiques should focus on empirical strengths, shortcomings and improvements. Critiques should not exceed 2 pages, single-spaced, 12 point, Times New Roman. Bullet points are fine.

A Replication is an exercise in which you attempt to repeat the empirical exercise undertaken by the author of the paper. Typically, you will only replicate a small number of lines in a table of results. A good start is to do the stata tutorials linked below. All requests for Stata help should be preceded by you googling "help stata whatever" and typing "help whatever" in Stata. In Stata, the help menus have examples at the bottom. Good starts here "help use", "help recode", "help keep" and "help regress".

Reading

There are 3 supplementary textbooks for this course:

1. Green, William, Econometric Analysis, Prentice Hall, 5th/6th Edition, 2008.

2. Kennedy, Peter, A Guide to Econometrics, 5th Edition (Paperback).

3. Angrist, Joshua and Jorn-Steffen Pischke, Mostly Harmless Econometrics: An Empiricist's Companion (Paperback).

I will try to let you know where to look for relevant supporting material in these textbooks. In addition, I will post links to other material you may find helpful.

Lecture Notes to Introduce Ordinary Least Squares.

Useful links for learning Stata are UCLA economics Stata Tutorials and UCLA statistics Stata Tutorials.

A nice introduction to quantile regression is in Koenker and Hallock.

Assignment 1a due in-class Monday 16 Jan

Read and critique Pendakur, Krishna and Ravi Pendakur, 1998, "The Colour of Money", Canadian Journal of Economics 31(3), pp 518-548. Don't worry, I don't mind when people point out how I'm wrong. Write a 2-page critical review of the paper, focusing on empirical strengths, shortcomings and improvements. In your report, consider carefully: do the authors really measure 'discrimination'? If not, what do they measure? Is it an interesting magnitude to measure? Which is more interesting, differences that control for job characteristics, or differences that don't?

Assignment 1b due in-class Monday 23 Jan

For this assignment use the 1991 Census Public Use individual-level microdata, and the 2006 Census Public Use individual-level microdata. First, using the 1991 data, replicate Regressions 2.3 and 2.5. Then, use the 2006 data to see if minority/immigrant disparity has changed since 1991. These are passworded zip files, for which you'll be emailed a password. Documentation for the 1991 file is here (in ascii text, readable in MS word or whatever), and for the 2006 file is here.

Here is the Stata code that I used to do the in-class Monte Carlo exercise on Monday 23 Jan.

Assignment 2a due in-class Wednesday 01 Feb

Read and critique Allen, Pendakur and Suen 2005. "NO-FAULT DIVORCE AND THE COMPRESSION OF MARRIAGE AGES", Economic Inquiry 2005. Write a 2-page critical review of the paper, focusing on empirical strengths, shortcomings and improvements. In your report, consider carefully: do the authors really measure marital search intensity? If not, what do they measure? Is it an interesting magnitude to measure? Are you convinced by their empirical claims? How could they do better?

Assignment 2b due in-class Wednesday 8 Feb

Using the data on brides' age at first marriage for US states 1970 to 1995 microdata, replicate the results using just the first no-fault definition for brides in Tables 6-7 and Figure 3. In addition, consider the possibility that the response of the marriage age distribution is not instantaneous, and occurs slowly over time. Estimate a model that corresponds to this structure, and report results corresponding to Tables 6-7 for this model.

These data are given at the state-year level. "nf1" gives the basic no-fault indicator. This replication will use the regress command in Stata, with weights and robust standard errors. "Count" gives the number of observations used to compute each datum in each state-year, and so should be used to weight all regressions (we'll learn about this later). Use hetero-robust standard errors with the ",r" subcommand (we'll learn about this later). Other variables give statistics about the distribution of the age at first marriage, computed at the state-year level. "p_**" gives the ** percentile of age at first marriage. Finally, please note that in Table 7, the regressand (dependent variable) is the log of the interquartile ratio, defined as log(P_75/P_25), and not as described in the text of the paper.

Lecture Notes on Panels.

Lecture Notes on GLS/FGLS.

Assignment 3a: Critique due at the beginning of class Wednesday 29 Feb

Critique: Read and critique Jacks, David S. and Krishna Pendakur, 2010, "Global Trade and the Maritime Transport Revolution", Review of Economics and Statistics. Pay close attention to the ways in which the authors do (and do not) take care of the endogeneity issues that they raise, and also pay attention to how they specify and test their major hypothesis of interest.

Assignment 3b: Replication due at the beginning of class Wednesday 7 March

The data for this paper are available on David Jacks' website. You will need to use ivreg2 and xtivreg2, both of which will be available in the labs. You should use the ,fullnames option on describe to get the full variable names which are, hopefully, self-explanatory.

FYI: 'tot' is 'terms-of-trade'; 'ervol' is 'exchange rate volatility'; 'standard' is a gold-standard classification: 1-gold, 2-silver, 3-bimetallic, 4-neither; 'usder' is 'US dollar exchange rate (in British Pounds)'; 'pusa' is 'price index for US'; 'freight' is the 'freight price index with bandwidth of 20'; 'frt**' are 'freight price index with bandwidth **'; '**_mean' and '**_stddev' are mean and std dev of temperature in ocean quadrants; 'exclude' is an indicator equal to 1 for a country/year combination that should be excluded from regressions due to data-quality issues.

The replication assignment is to replicate all of the upper panel of Table 4 plus whatever elements of the bottom panel you are able. Code to do this part may be based on our code if you wish. Then, replicate the same material improving the IV approach that the authors use. Here, you should think about: can you make a more informative instrument vector?; can you make a more exogenous instrument vector?; can you get a more efficient estimator? In the replication part, please include a paragraph that states whether or not you believe the authors' interpretation of their tests, and why, and how you think your endogeneity correction is better than that in the paper.

Lecture Notes on Endogeneity.

More on Venn Diagrams for Regression, Peter Kennedy, 2002. This paper presents the Ballentine Diagrams discussed in class, relating to Multicollinearity and Endogeneity.

Midterm

The midterm is Monday 5 March, 2 hours, in-class, closed book.

Study Questions for the Midterm. The midterm will be comprised of 3-4 questions from the study questions, and 3-4 other questions. I recommend that you work on the study questions in groups. You should NOT delegate study questions and then report back; rather you should work on them together, so that you can understand them better.

Responses for the midterm.

Assignment 4a: Critique due at the beginning of class Wednesday 21 March

Critique: Read and critique Dunbar, Lewbel and Pendakur, 2011, "Children's Resources in Collective Households: Identification, Estimation and an Application to Child Poverty in Malawi". How do the authors identify Children's resource shares within households? Is their strategy reasonable? Or is it 'fake-feeling'? Do you believe that this approach really reveals something about children's well-being? Why or why not?

Pierre's Notes on Testing.

Assignment 4b: Replication due at the beginning of class Monday 2 April

Use the Malawian expenditure data to estimate a model corresponding to the rightmost columns (SAP&SAT) of Table 2, but WITHOUT any covariates z (not reported in the Table). Since your data are permuted and randomized, and since you are not controlling for demographic covariates z, you will not get the same estimates that we got, but they'll be close. The expenditure shares on clothing are s1_1 for men, s1_2 for women, and s1_3 for children. The household size dummies are c1,c2,c3,c4 for couples with 1,2,3,4 children. The log of household expenditure is x. The demographic covariates z (which you will not use, but may be interested in) are: z2 nonurban North; z3 nonurban Central; z5 min child age; z6 avg child age; z7 proportion girl children; z8h head age; z9h head education; z8s wife age; z9s wife education; z15 log(distance to road+1); z16 log(distance to daily market); z17 dry season dummy; z18 christian household; z19 muslim household.

Seemingly Unrelated Regression.

Consumer Demand Introduction.

Assignment 5: Due at the beginning of class Wednesday 11 April

Read "On the Expenditure-Dependence of Resource Shares". Using the data and codebook, try to establish whether or not the authors are correct in their basic assertion. The data are encrypted, with the encryption key emailed to you. Bringing as of your expertise as you can to bear on whether or not their hypothesis is borne out in the data. Estimate whatever models you wish and test whatever hypotheses you wish. Please do not keep the data on any computer after you are finished with it.

More Study Questions.

My Notes on Testing.

Useful Reading:

You might focus attention on the following Chapters of Greene, Kennedy and Angrist and Pisschke:

Sources for OLS: Greene, 5th Ed, Chapters 1-3; Kennedy, 5th Ed, Chapters 1-3; Angrist-Pischke Ch 1-3.

Sources for GLS, Heteroskedasticity, Panel Methods: Greene, Chapters 10-13: Kennedy, 5th Ed, Chapters 8, 14, 17, Appendix B; Angrist-Pischke Ch5 (for panel s tuff)

Sources for Endogeneity (and also SUR): Green, Chapters 14-15; Kennedy, 5th Ed, Chapters 9, 10; Angrist-Pischke Ch4.

Sources for Testing: Greene, 5th Ed, Chapters 5,6,4; Kennedy, 5th Ed, Chapter 4.

Sources for SUR: Greene, Chapter 14; Kennedy, 5th Ed, Chapter 10.