Economics 276

David Guilkey

David Guilkey@UNC.EDU

Spring 2004

REFERENCES

Maddala, Limited Dependent Variable Methods in Econometrics (Second Edition)

Cramer, Econometric Applications of Maximum Likelihood Methods

Matyas and Sevestre, The Econometrics of Panel Data

Maddala, Rao and Vinod, Handbook of Statistics Volume 11: Econometrics

Lancaster, The Econometric Analysis of Transition Data

COURSE OUTLINE

I. Introduction to FORTRAN

II. Review of Maximum Likelihood Methods (Cramer, Ch. 2)

III. Wald, LM and Likelihood Ratio Testing Procedures (Cramer, Ch. 3)

IV. Numerical Optimization (Cramer, Ch. 5)

V. Single Equation Limited Dependent Variables Models (Maddala, Ch. 2)

VI. Longitudinal Data Models

A. Error Components Models (Matyas, M & S, Ch.4)

B. Linear Dynamic Models (Sevestre and Trognon, M&S, Ch. 6)

C. Pseudo Panel Data (Verbeek, M&S, Ch. 14)

D. Logit and Probit Models (Hsiao, M&S, Ch. 11)

VII. Hazard Models (Lancaster, Ch. 1,2,3)

VIII. Multivariate Models

A. Multivariate Probit

1. Full Observability

2. Partial Observability

3. Sample Selectivity Models

A. Simultaneous Equations Models with Limited Dependent Variables

(Blundell and Smith, M&S, Ch. 5)

(Bollen, Guilkey, and Mroz, Xeroxed article)

(Mroz and Guilkey, Xeroxed article)

(Angeles, Guilkey, and Mroz, Xeroxed article)

IX. Selected Topics

The grade in the course will be determined by problem sets (60%) and a final exam (40%).