Fall 2024/2025
Office hours: MS Teams, by appointment via email.
E-mail: jmuck[at]sgh.waw.pl.
Homework #1 [.pdf]
Exercises [.pdf]
Datasets: AcemogluEtAl2001[.dta] , Anscombe[.dta] , Angrist_Krueger_1992[.dta] , birthweight[.dta] , chilean[.dta] , cig85_95[.dta] (SW), cps[.dta] (POE) , ConsumptionUS[.dta] , COVID2020[.dta] , EAInflation[.dta] , EKC[.dta] , Gravity[.dta] , GermanInflation[.dta] , hicp[.dta] , ice creams (UCLA) [.dta] , InternationalTradePoland[.dta] , USPhillipsCurve[.dta], mroz[.dta] (POE) , njmin3[.dta] (POE) , nkpc[.dta] , patents[.dta] (Woldridge) , SEM[.dta] , star[.dta] (POE) , utown[.dta] (POE), USMacro[.dta], VAR2[.dta] , VAR1[.dta] , VAR_UK[.dta] , WorldTradeCPB[.dta] .
Probability distribution and cumulative distribution in Stata: [link]
Useful Stata commands: [link]
Codes:
Course materials
- Linear regression. Least squares estimator. Asymptotic properties. Gauss-Markov theorem
Presentation: [.pdf] - Testing economic hypotheses. Multiple hypothesis testing. Linear and non-linear hypotheses.
Confidence intervals. Delta method.
Presentation: [.pdf] - Verifying key assumptions: normality, colinearity and functional form.
Goodness-of-fit.
Presentation: [.pdf] - Heteroskedasticity and serial correlation. Generalized least squares
estimator. Weighted least squares. Robust and clustered standard
errors.
Presentation: [.pdf] - Endogeneity. Instrumental variables estimation. Properties of
instrumental variables.
Presentation: [.pdf] - Simultaneous equations model, Parameter identification problem,
Estimation method for SEM
Presentation: [.pdf] - Time series. Stationarity, spurious regression and cointegration
Presentation: [.pdf] - Autoregressive distributed lags models. Vector Autoregression (VAR) models. Structural VAR.
Presentation: [.pdf] -
Panel data. Between and within variation. Random and fixed effects models. Between
regression. Hausman-Taylor estimator.
Presentation: [.pdf] -
Limited dependent variable. Models for binary and multinomial outcome variable. Count data models. Tobit regression.
Panel data and limited dependent variable.
Presentation: [.pdf] -
Generalized method of moments. Selected applications
Presentation: [.pdf] -
Dynamic panel data models. Nickell's Bias.
Anderson-Hsiao estimator. Arellano-Bond estimator.
System GMM estimator.
Presentation: [.pdf] -
Estimating treatment effects. Difference-in-differences.
Presentation: [.pdf]