0.

Catch-up and Review

1.

Simultaneous Equations

1.1.

Introduction

Davidson and MacKinnon, 18.1-18.2; Fomby, 19; Greene, 16.1-16.2; Hamilton, 9.1; Johnston and Dinardo, 9.4; Judge Introduction, 14.1-14.5; Judge, 14.1-14.4.

1.2.

Identification

Davidson and MacKinnon, 18.3; Fomby, 20; Greene, 16.3; Hamilton, 9.3; Johnston and Dinardo, 9.5; Judge Introduction, 14.6-14.9; Judge, 14.5.

Hausman, J.A. and W.E. Taylor, ``Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation'', Econometrica 51 (1983).

1.3.

Estimation

Davidson and MacKinnon, 18.4-18.6; Fomby, 21-22; Greene, 16.4-16.6; Hamilton, 9.2, 9.4-9.6; Dinardo and Johnston, 9.6; Judge Introduction, 15.1-15.2; Judge, 15.2.1-15.2.2.

Hausman, J., W.K. Newey and W.E. Taylor, ``Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions'', Econometrica 55 (1987).

Schmidt, P., ``Three-Stage Least Squares with Different Instuments for Different Equations'', Journal of Econometrics 43 (1990).

Wooldridge, J.M., ``Estimating Systems of Equations with Different Instruments for Different Equations'', Journal of Econometrics 74 (1996).

2.

Nonlinear Regression

2.1.

Estimation

Davidson and MacKinnon, 5.1-5.6; Greene, 10.1-10.3; Judge Introduction, 12.1-12.3; Judge, 6.1-6.3.

2.2.

Inference

Davidson and MacKinnon, 5.7-5.8; Greene, 10.4; Judge, 6.5-6.6.

3.

Generalized Method of Moments

Davidson and MacKinnon, 17; Dinardo and Johnston, 10; Greene, 11.5-11.6; Hamilton, 14.

Hansen, L. P., ``Large Sample Properties of Generalized Method of Moments Estimators'', Econometrica 50 (1982).

Hansen, L.P. and K.J. Singleton, ``Generalized Instumental Variables Estimation of Nonlinear Rational Expectations Models'', Econometrica 50 (1982).

Cumby, R.E., J. Huizinga and M. Obstfeld, ``Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations'', Journal of Econometrics 21 (1983).

Hansen, L.P., ``A Method for Calculating Bounds on the Asymptotic Covariance Matrices of Generalized Method of Moments Estimators'', Journal of Econometrics 30 (1985).

Newey, W.K., ``Generalized Methods of Moments Specification Testing'', Journal of Econometrics 29 (1985).

Newey, W.K., ``Maximum Likelihood Specification Testing and Conditional Moment Tests'', Econometrica 53 (1985).

Newey, W.K., and K.D. West, ``Hypothesis Testing with Efficient Method of Moments Estimation'', International Economic Review 28 (1987).

Chamberlain, G., ``Aysmptotic Efficiency in Estimation with Conditional Moment Restrictions'', Journal of Econometrics 34 (1987).

Newey, W.K., and D. McFadden, ``Large Sample Estimation and Hypothesis Testing'', Handbook of Econometrics vol 4 (1994).

Staiger, D., and J.H. Stock, ``Instrumental Variables Regression with Weak Instruments'', Econometrica 38 (1997).

Wang, J., and E. Zivot, ``Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments'', Econometrica 66 (1998).

Andrews, D., ``Consistent Moment Selection Procedures for Generalized Method of Moments Estimation'', Econometrica vol 67 (1999).

4.

Panel Data

4.1.

Error Components Models

Baltagi, 2-3, 5; Davidson and MacKinnon, 9.10; Dinardo and Johnston, 12; Fomby, 15.1-15.3; Greene, 14.1-14.6; Hsiao, 2-3; Judge Introduction, 11.4-11.7; Judge, 13.1-13.4; Mátyás and Sevestre, 2-3.

Griliches, Z., and J.A. Hausman, ``Errors in Variables in Panel Data'', Journal of Econometrics 31 (1986).

Breusch, T.S., G.E. Mizon and P. Schmidt, ``Efficient Estimation Using Panel Data'', Econometrica 57 (1989).

Cornwell, C., P. Schmidt and R.C. Sickles, ``Production Frontiers with Cross-Sectional and Time-Series Variation in Efficiency Levels'', Journal of Econometrics 46 (1990).

Ahn, S.C., and S. Low, ``A Reformulation of the Hausman Test for Regression Models with Pooled Cross-Section-Time-Series Data'', Journal of Econometrics 71 (1996).

4.2.

Multivariate Error Components Models

Baltagi, 6-7; Hsiao, 5.

Chamberlain, G., ``Multivariate Regression Models for Panel Data'', Journal of Econometrics 18 (1982).

Holtz-Eakin, D., W. Newey and H.S. Rosen, ``Estimating Vector Autoregressions with Panel Data'', Econometrica 56 (1988).

Cornwell, C., P. Schmidt and D. Wyhowski, ``Simultaneous Equations and Panel Data'', Journal of Econometrics 51 (1992).

4.3.

Time-Series Regression with Panel Data

Baltagi, 8; Hsiao, 4.

Nickell, S., ``Biases in Dynamic Models with Fixed Effects'', Econometrica 49 (1981).

Holtz-Eakin, D., ``Testing for Individual Effects in Autoregressive Models'', Journal of Econometrics 39 (1988).

Arellano, M., ``Testing for Autocorrelation in Dynamic Random Effects Models'', Review of Economic Studies 57 (1990).

Arellano, M., and S. Bond, ``Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment'', Review of Economic Studies 58 (1991).

Keane, M.P., and D.E. Runkle, ``On the Estimation of Panel-Data Models with Serial Correlation when Instruments Are Not Strictly Exogenous: Reply'', Journal of Business and Economic Statistics 10 (1992).

Ahn, S.C. and P. Schmidt, ``Efficient Estimation of Models for Dynamic Panel Data'', Journal of Econometrics 68 (1995).

Arellano, M., and O. Bover, ``Another Look at the Instrumental Variable Estimation of Error-Components Models'', Journal of Econometrics 68 (1995).

Kiviet, J.F., ``On Bias, Inconsistency, and Efficiency of Various Estimators in Dynamic Panel Data Models'', Journal of Econometrics 68 (1995).

Hahn, J., ``Efficient Estimation of Panel Data Models with Sequential Moment Restrictions'', Journal of Econometrics 79 (1997).

Ahn, S.C. and P. Schmidt, ``Efficient Estimation of Dynamic Panel Data Models: Alternative Assumptions and Simplified Estimation'', Journal of Econometrics 76 (1997).

Blundell, R. and S. Bond, ``Initial Conditions and Moment Restrictions in Dynamic Panel Data Models'', Journal of Econometrics 87 (1998).

Alvarez, J. and M. Arellano, ``The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators'', working paper (1998).

Kao, C., ``Spurious Regression and Residual-Based Tests for Cointegration in Panel Data'', Journal of Econometrics 90 (1999).

4.4.

Limited Dependent Variables Models

Baltagi, 10.4; Hsiao, 7.

Chamberlain, G., ``Analysis of Covariance with Qualitative Data'', Review of Economic Studies 47 (1980).

Honore, B.E., ``Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects'', Econometrica 60 (1992).

Honore, B.E., ``Orthogonality Conditions for Tobit Models with Fixed Effects and Lagged Dependent Variables'', Journal of Econometrics 59 (1993).

Keane, M.P., ``A Computationally Practical Simulation Estimator for Panel Data'', Econometrica 62 (1994).

Hajivassiliou, V.A. and P.A. Ruud, ``Classical Estimation Methods for LDV Models using Simulation'', Handbook of Econometrics vol 4 (1994).

Geweke, J.F., M.P. Keane and D.E. Runkle, ``Statistical Inference in the Multinomial Multiperiod Probit Model'', Journal of Econometrics 80 (1997).

Bertschek, I., and M. Lechner, ``Convenient Estimators for the Panel Probit Model'', Journal of Econometrics 87 (1998).

4.5.

Unbalanced Panels and Selection Bias

Baltagi, 9, 10.5; Hsiao, 8.2-8.3; Mátyás and Sevestre, 18.

Wooldridge, J.M., ``Selection Corrections for Panel Data Models under Conditional Mean Independence Assumptions'', Journal of Econometrics 68 (1995).

Kyriazidou, E., ``Estimation of a Panel Data Sample Selection Model'', Econometrica 65 (1997).

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