Econometrics II
This eight-week master's course develops methods for multivariate regression, instrumental variables, generalized method of moments, limited dependent variables, and sample selection. Lecture slides, problem sets, and solutions are available below.
Lecture Slides
01Multivariate RegressionSystems of regression equations and seemingly unrelated regressions.PDF
02AInstrumental Variables, Part IEndogeneity, identification, and the foundations of IV estimation.PDF
02BInstrumental Variables, Part IITwo-stage least squares and further IV methods.PDF
03Generalized Method of MomentsMoment conditions, estimation, and inference.PDF
04Binary Choice ModelsLimited dependent variables, probit, and logit models.PDF
05Multiple Choice ModelsEconometric models for outcomes with multiple alternatives.PDF
06Censoring and SelectionCensored outcomes, truncation, and sample selection.PDF
Recitations and Solutions
Problem sets and their corresponding solutions.