Applied Econometrics

In general, read as much as possible. That is the rule of the game. Some of the articles below will be used during the lectures/labs and some of them are classics. Our textbook is ”Modern
Econometrics (by Marno Verbeek)” (you can use any additions). Yet, I give references to three other book in different l evels ( introductory, i ntermediate a nd a dvanced). They a re r eally good and helpful in different l evels. You can find th e articles on the course webpage. Go a head and take a look at them. I am sure you will enjoy. Please drop me an email if you have any question.

1 Articles

Lecture 1 - Prologue: The Big Picture

• Textbook: Modern Econometrics (by Marno Verbeek), Chapter 1
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 2 and 3
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 1. (The review of probability and statistics is also good in this book. Take a look!)
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 1-3.
• Alan B. Krueger (2001). ”Symposium on Econometric Tools”, Journal of Economic perspectives,
  4: 3-10.
• Angrist, Joshua D., and J¨orn-Steffen Pischke (2010). ”The Credibility Revolution in Empirical
  Economics: How Better Research Design Is Taking the Con out of Econometrics.”
  Journal of Economic Perspectives, 24(2): 3-30.
• Leamer, Edward. 1983. ”Let’s Take the Con Out of Econometrics.” American Economic
  Review, 73(1): 31–43.
• McAleer, Michael, Adrian R. Pagan, Paul A. Volker. (1985). ”What Will Take the Con Out
  of Econometrics?” American Economic Review, 75(3): 293–307.
• Easterlin, Richard (1995).”Will raising the incomes of all increase the happiness of all?”,
  Journal of Economic Behaviour and Organization, Vol. 27 (1995) 35-47.
• Frey, B., and A. Stutzer (2002). “What Can Economists Learn from Happiness Research?”,
  Journal of Economic Literature, 40(2), 402-435.
• Read also an introductory statistics book for descriptive statistics. You can barrow them
  from the library.

Lecture 2 - Regression I: Basics

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 2
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 2 and 3.
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 4 and 6
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 4.1,
  4.2, 4.3 and 4.4.
• Chizwick, B.R. (1978). The E.ect of Americanization on the Earnings of Foreign-born Men,
  Journal of Political Economy, 86: 897-921
• Hammermesh, D. S., & Parker, A. 2005. ”Beauty in the classroom: instructors pulchritude
  and putative pedagogical productivity”, Economics of Education Review, 24: 369-376.
• Mroz, T.A., (1987). ”The Sensitivity of An Empirical Model of Marrried Women’s Hours of
  Work to Economic and Statistical Assumptions”, Econometrica, 55: 765-799.
• Durden, G. C., L. V. Ellis (1995). The Effects of Attendance on Student Learning in
  Principles of Economics. The American Economic Review 85: 343–346.

Lecture 3 - Regression II: Statistical Properties of Least Squares Estimator

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 2.3 and 2.6
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 5
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 4 and 6.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 4.4
• Griliches, Z., and J. Hausman. ”Errors in Variables in Panel Data.” Journal of Econometrics,
  31 (1986): 98-118.
• Hausman, J. ”Mismeasured Variables in Econometric Analysis: Problems from the Right
  and Problems from the Left.” Journal of Economic Perspectives 54, no. 4 (2001): 57-67

Lecture 4 - Regression III: Inference and Prediction

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 2.4, 2.5, 2.8, 2.9
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 4
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 6 and 7.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 7.
• Cohen, 1988. ”Statistical Power Analysis for the Behavioral Sciences”, Second Edition,
  Lawrange Erlbaum Associates Publishers, London
• McCloskey D. and Ziliak, S.T, (1996). ”Standard Errors of Regressions”, Journal of Economic
  Literature. Vol XXXIV, 97-114.
• Hausman, J. (1978). ”Specification Tests in Econometrics.” Econometrica 46: 1251-1271.
• Rose, N. L. (1987). ”Labor Rent Sharing and Regulation.” Journal of Political Economy 95,
  no. 6 (1987): 146-1178.

Lecture 5 - Regression IV: Model Specification and Heteroscedasticity

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 3.2, 3.3, 4.3, 4.4, 4.6
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 7, 8 and 9
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 7 and 8.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 4.5
  and 4.7 (you may take a look at also Chapter 8)
• Ramsey, J.B. (1969). ”Tests for Specification Errors in Classical Linear Least-squares Regression
  Analysis.” Journal of the Royal Statistical Society, Series B 31:350-371.
• J. Scott Long and Pravin K. Trivedi (1992). ”Some Specification Tests for the Linear
  Regression Model”, Sociological Methods Research, vol. 21 no. 2 161-204.
• Hausman, J. ”Mismeasured Variables in Econometric Analysis: Problems from the Right
  and Problems from the Left.” Journal of Economic Perspectives 54, no. 4 (2001): 57-67.
• White, H. (1980a). ”Using Least Squares to Approximate Unknown Regression Functions”,
  International Economic Review, 21: 149-170.
• White, H. (1980b). ”A Heteroskedasticity - Consistent Covariance Matrix Estimator and a
  Direct Test for Heteroskedasticity.” Econometrica, 48: 817-838.
• Newey, W., and West, K. (1987). ”A Simple, Positive - Definitive Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703-708.

Lecture 6 - Regression V: Endogeneity in Linear Models

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 5.1 to 5.5
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 15.
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 12.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 4.8
  and 4.9.
• Bound, J., D. A. Jaeger, R. M. Baker (1995). Problems with Instrumental Variables Estimation When the Correlation Between the Instruments and the Endogeneous Explanatory
  Variable is Weak. Journal of the American Statistical Association 90, 443–450.
• Acemoglu, D., Johnson S. and Robinson, J.A. (2001). The Colonial Origins of Comparative
  Development: An Empirical Investigation. The American Economic Review 91: 1369-1401
• Miguel, E., S. Satyanath, E. Sergenti (2004). Economic Shocks and Civil Conflict: An
  Instrumental Variables Approach. Journal of Political Economy 112: 725–753.
• Joshua D. Angrist and Alan B. Krueger (2001). ”Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments”, Journal of Economic Perspectives, 15: 69-85. 
• Card, D. (2001). ”Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems.” Econometrica 69: 1127-1160.
• Joshua D. Angrist, Guido W. Imbens, Donald B. Rubin (1996). ”Identification of Causal Effects Using Instrumental Variables”, Journal of the American Statistical Association, 91:444-455.
• Griliches, Z. ”Estimating the Returns to Schooling: Some Econometric Problems.” Econometrica, 45 (1977): 1-22.
• Matthews, R. (2000). ”Storks Deliver Babies (p = 0.008)”. Teaching Statistics, 22: 36-38.

Lecture 7 - Estimation Frameworks: Non-Linear Least Squares and Maximum Likelihood Estimator

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 6.1, 6.2 and 6.3
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 17.
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson): Chapter 11.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 5
• Hausman, Jerry A., Bronwyn Hall, and Zvi Griliches. (1984). ”Econometric Models for Count Data with an Application to the Patents-R&D Relationship.” Econometrica, 52; 909-938.
• Regina T. Riphahn, Achim Wambach and Andreas Million (2003). ”Incentive Effects in the Demand for Health Care: A Bivariate Panel Count Data Estimation”, Journal of Applied
  Econometrics, 18: 387-405
• A. Buse. (1982). The Likelihood Ratio,Wald, and Lagrange Multiplier Tests: An Expository
  Note, American Statistician, 36: 153-157.

Lecture 8 - Introduction to Discrete Choice Models: LPM, Logit and Probit and Ordered Probit Models

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 7.1, 7.2, 7.4.
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 17.
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson):
  Chapter 10.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 14and 15.9
• Horowitz, J.L. and Savin, N. E. (2001). Binary Response Models: Logits, Probits and Semiparametrics. The Journal of Economic Perspectives15: 43-56.
• Mroz, T.A., (1987). ”The Sensitivity of An Empirical Model of Marrried Women’s Hours of
  Work to Economic and Statistical Assumptions”, Econometrica, 55: 765-799.
• Hausman, J., F. Scott-Morton, and J. Abrevaya. (1998). ”Misclassification of a Dependent
  Variable in Qualitative Response Models.” Journal of Econometrics,
• Akay, A. and P. Martinsson (2009). Sundays Are Blue: Aren’t They? The Day-of-the-Week
  Effect on Subjective Well-Being and Socio-Economic Status. IZA Discussion Paper No.4563.
• Stephen Pudney and Michael Shields (2000). ”Gender, race, pay and promotion in the
  British nursing profession: estimation of a generalized ordered probit model”, Journal of
  Applied Econometrics, 15: 367–399.
• Ferrer-i-Carbonell, A. and P. Frijters (2004): ”How important is methodology for the estimates of the determinants of happiness?”, Economic Journal, 114, 641-659.
• Greene, William H. and Hensher, David A. (2008), ”Modeling Ordered Choices: A Primer and Recent Developments” http://ssrn.com/abstract=1213093 or http://dx.doi.org/10.2139/ssrn.1213093.

Lecture 9 - Panel Data Models I: Linear Models

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 10
• Introductory: Introductory Econometrics (by Jeffrey Wooldridge): Chapter 13 and 14.
• Intermediate: Introduction to Econometrics (by James H. Stock and Mar M. Watson): Chapter 11.
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 21 and 22
• Hausman, J., and J. Taylor. (1981). ”Panel Data and Unobservable Individual Effects.”Econometrica, 49: 1377-1398
• Di Tella, R., Haisken-De New, J. and MacCulloch, R. (2010): ”Happiness adaptation to income and to status in an individual panel,” Journal of Economic Behavior and Organization, 76(3), 834-852
• Akay, A., Bargain, O. B., & Zimmermann, K.F. (2012). Relative Concerns of Rural-to-Urban
  Migrants in China, Journal of Economic Behavior & Organization, 81: 421– 441.
• Akay, A., Bargain, O. B., & Zimmermann, K.F. (2013). Home Sweet Home: Effect of Home
  Country MacroEconomic Conditions on Migrant’s Well-Being, IZA DP.

Lecture 10 - Panel Data Models II: Non-Linear Models

• Textbook: Modern Econometrics (by Marno Verbeek): Chapter 10
• Advanced: Microeconometrics (by A. Colin Cameron and Pravin K. Trivedi): Chapter 23
• Akay, A. and P. Martinsson (2009). Sundays Are Blue: Aren’t They? The Day-of-the-Week
  Effect on Subjective Well-Being and Socio-Economic Status. IZA Discussion Paper No.4563.
• Akay, A. (2012), ”Finite-Sample Comparison of Alternative Methods for Estimating Dynamic
  Panel Data Models”, Journal of Applied Econometrics, DOI: 10.1002/jae.1254.
• William H. Greene, (2003). ”The behaviour of the maximum likelihood estimator of limited
  dependent variable models in the presence of fixed effects”, Econometrics Journal, 7: 98–119.

2 Books

• Textbook: Marno Verbeek, A Guide to Modern Econometrics 4th Edition, 2013, Wiley.

Other Good Books to Take a Look

• William H., Greene, Econometric Analysis, 2012, 7th Edition, Prentice Hall.
• Colin Cameron and Pravin Trivedi, Microeconometrics using Stata, Stata Press, 2009.
• Jeffrey M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, 2002, MIT.
• JeffreyM.Wooldridge, Introductory Econometric, A Modern Approach, 2013, South-Western.
• Marno Verbeek, A Guide to Modern Econometrics 4th Edition, 2013, Wiley.
• Russell Davidson and James G. MacKinnon, Econometric Theory and Methods, 2004, Oxford
  University Press.