You get graded based directly on your assignments, and also indirectly through the exams, which will have code- and paper-based questions based directly on the assignments that you have undertaken. As you can see, the purpose of this course is to get you to do structural econometrics, via the assignments.
Ackerberg, Daniel, et al. "Econometric tools for analyzing market outcomes." Handbook of econometrics 6 (2007): 4171-4276. (BLP primer).
Angrist, Joshua D., and Jorg-Steffen Pischke. Mostly harmless econometrics: An empiricist's companion. Princeton university press, 2008, chapter 3. (regression primer)
Blume, Lawrence E., et al. "Identification of social interactions." Available at SSRN 1660002 (2010). (Manski primer)
Donni, Olivier, and P.A. Chiappori, 2013, "Collective Household Models".
Dunbar, Geoffrey R., Arthur Lewbel, and Krishna Pendakur. "Children's resources in collective households: Identification, estimation, and an application to child poverty in Malawi." The American Economic Review 103.1 (2013): 438-471.
Head, Keith, and Thierry Mayer. "The empirics of agglomeration and trade." Handbook of regional and urban economics 4 (2004): 2609-2669.
Lewbel, Arthur and Krishna Pendakur. 2009. "Tricks with Hicks: The EASI Demand System", American Economic Review.
Lewbel, Arthur and Krishna Pendakur. 2015. "Generalised Random Coefficients: Unobserved Preference Heterogeneity in a Semiparametric Demand Model, with an Application to Energy Taxation", unpublished working paper.
Overman, Henry G., Stephen J. Redding, and Anthony J. Venables. "The economic geography of trade production and income: a survey of empirics." (2001). (gravity primer)
Pendakur, Krishna. "Semiparametric estimates and tests of base-independent equivalence scales." Journal of Econometrics 88.1 (1999): 1-40.
Pendakur, Krishna. "Taking prices seriously in the measurement of inequality." Journal of Public Economics 86.1 (2002): 47-69.
Vermeulen, F. (2002). Collective household models: principles and main results. Journal of Economic Surveys, 16(4), 533-564. (Chiappori primer)
Baldwin, R., and D. Taglioni (Gravity for dummies and dummies for gravity Discussion paper, National Bureau of Economic Research.
Head, K., and T. Mayer (2013): Gravity equations: Workhorse, toolkit, and cookbook. Centre for Economic Policy Research. equations,2006)
There are 3 supplementary textbooks for this course:
Kennedy, Peter, A Guide to Econometrics, 5th or 6th Edition (Paperback).
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.
Useful links for learning Stata are at UCLA economics Stata Tutorials .
Benjamin Philips' Tips for Using Stata.
Endogeneity and Correlated Missing Regressors
short lecture Notes on Correlated Missing Regressors.
More on Venn Diagrams for Regression, Peter Kennedy, 2002. This paper presents the Ballentine Diagrams discussed in class, relating to Multicollinearity and Endogeneity.
Read Chapter 3 of Mostly Harmless Econometrics.
Lecture notes on Heterogeneity.
Lecture notes on Collective Household Models.
Everyone: Read Taking Prices Seriously in the Measurement of Inequality for Friday 22 May
PhDs and interested MAs: Read Generalised Random Coefficients for Friday 29 May.
PhDs and interested MAs: Read Tricks with Hicks for Friday 29 May.
Everyone: Read Collective Engel Curves for Friday 5 June.
PhDs and interested MAs : Read Children's Resources in Collective Households for Friday 5 June.
PhDs and interested MAs: Read Vermeulen, and read Donni and Chiappori for Friday 5 June.
Empirical Industrial Organisation
Lecture Notes on Limited Dependent Variables.
Everyone: Read Ackerberg et al (handbook chapter) pages 1-33. PhDs and interested MAs: Read the rest of Ackerberg et al.
Assignment 1 is due in-class Friday 22 May
Use this datafile, and or this zipped one, plus zipped documentation . It contains the complete Surveys of Household Spending from 1997 to 2009. In the data, the labeling conventions are: s* are spending categories 1-13 in nominal dollars
p* are natural logs of prices for goods 1-13, which vary across province and year only, and are all equal to 0 in Ontario in 2002. Note that good 3 is rental shelter, so p3 is the log of the rental price and s3 is the household expenditure on rental shelter. Consequently, lots of households have s3=0, because they t pay rent. z* are 22 demographic controls, with self-explanatory labels.
yearbuip is 6 decades, with 6 being the most recent. typdwelp is categorical, single-detached, condo etc. hhinctot is the total income of the household. hhszd31p is number of people in the household at December 31. numbedrp is number of bedrooms. numbthrp is number of bathrooms. rpagegrp is age of household head minus 40. rpmarp is marital status of respondent. weight is the sample weight. Use aweight=weight to compute poverty statistics, e.g..
Assignment 3 is due in-class Wednesday 10 June