Lectures PDFs of slides are best viewed in Adobe Acrobat, rather than in your browser. Topic 1 Course Introduction / Review of Linear Regression and Simulation Supplementary material: Students looking to brush up on matrix algebra may want to read through Kevin Quinn's matrix algebra review in pdf format. In conjunction with this lecture I discuss examples that can be found in slides on labor standards in Africa and intimate partner homicide in the US. Lab 1 Introduction to R Supplementary
material: This lab comes with three example scripts. First, there is an R code and data for exploratory data analysis using histograms and boxplots. Next, there is an R code and data for a simple bivariate linear regression. Finally, there is an R code and data for a multiple regression example. Topic 2 Time Series: Stochastic Processes Supplementary material: The univariate time series simulation function for R mentioned in the lecture is available here; this function allows for deterministic trends, stationary and nonstationary ARMA processes, and additive or multiplicative seasonality. Also available is a simpler but less flexible R script showing simulation and diagnostics of stationary processes using built-in functions. Topic 3 Models of Stationary Time Series Supplementary material: Example code and csv data for estimating and interpreting ARMA models in R. Topic 4 Models of Non-stationary Time Series Supplementary material: Example code for estimating and interpreting ARIMA and ECM models in R. You will also need this helper function for plotting counterfactual time series using R base graphics. Topic 5 Basic Concepts for Panel Data Supplementary material: For the curious, the R script used to construct the example plots in the first half of this lecture is here. Topic 6 Panel Data Models with Many Time Periods Supplementary material: Panel ARIMA and fixed effects models in R: example code and csv data for estimating and interpreting panel models with a large number of periods and a small number of cross-sectional units. Topic 7 Panel Data Models with Few Time Periods Supplementary material: Panel GMM models (Arellano-Bond/Blundell-Bond) in R: example code, helper functions, and csv data for estimating and interpreting panel models with a small number of periods and a large number of cross-sectional units. On Nickell bias: a script to plot the asymptotic results of Nickell (1981) as well as a helper file and two Monte Carlo scripts (large N / large β and large N / small β) to produce the finite sample results in the lecture slides. Topic 8 Heteroskedasticity in Panel Data Topic 9 In-Sample Simulation for Panel Data Models Supplementary material: Example code for simulating in-sample unit-by-unit from a panel data model. Uses the cigarette data and helper functions from Topic 7. Advanced Topic 1 Missing Data and Multiple Imputation for Panel Data Advanced Topic 2 Panel Data with Binary Dependent Variables Student Assignments Course Problem Set Problems may be turned in at any time during the course Supplementary material: Data for problems 1, 3, and 4 in comma-separated variable format. Data for problem 4. Data for problem 5. Data for Bonus Problem A. |

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