Electronic Links to Readings

ELECTRONIC LINKS TO READING LIST

ECON 60303: Econometrics II (Graduate)

I. A Brief Review of Linear Models

Greene, Chapters 2-4

Angrist and Pischke, Chapters 2-3

Wooldridge, Chapters 2-4

 

 

II. Panel Data:  Fixed and Random Effect, Difference in Difference Models

Greene, Chapter 8 (The Generalized Regression Model)

Greene, Chapter 9 (Models for Panel Data)

Angrist and Pischke, Chapter 5

Wooldridge, Chapter 7 (Generalized Least Squares) and Chapter10 (Panel Data)

Hausman, J., “Specification Tests in Econometrics,” Econometrica, 46, 1978, pp. 69-85. Article.

Hausman, J., and W. Taylor, “Panel Data and Unobserved Individual Effects,” Econometrica, 49, 1981, pp. 1377-1398. Article.

Meyer, B., W.K. Viscusi, and D. Durbin (1995), “Worker Compensation and Injury Duration: Evidence from a Natural Experiment,” American Economic Review, Vol. 85, 322-40.  Article.

Angrist, J. and A.B. Krueger, “Empirical Strategies in Labor Economics,” Handbook in Labor Economics, edited by Orley Ashenfelter and David Card, 1999, 1277-1366. Article

Meyer, B., “Natural and Quasi-experiments in economics,” Journal of Business and Economic Statistics, 12, 1995, 151-161. Article

Cook, P., and G. Tauchen, “The Effect of Liquor Taxes on Heavy Drinking,” Bell Journal of Economics, 13, 1982, 379-389. Article

J.H. Tyler, R.J. Murnane, and J.B. Willett, “Estimating the Labor Market Signaling Value of the GED.” Quarterly Journal of Economics, v115, n2 (May 2000): 431-68. Article

Heckman, J.J., and J.V Hotz, “Choosing among Alternative Nonexperimental Methods for Estimating the Impact of Social Programs: The Case of Manpower Training,” Journal of the American Statistical Association, 84, December 1989, 862-74. Article

Almond, D., K. Chay, D. Lee, “The Costs of Low Birth Weight,” Quarterly Journal of Economics, 120, 2005, 1031-1084. Article

Card, David and  Sullivan, Daniel G.  “Measuring the Effect of Subsidized Training Programs on Movements in and out of Employment,” Econometrica v56, n3 (May 1988): 497-530.  Article

Dranove, D., et al.  “Is More Information Better? The Effects of Report Cards on Health Care Providers,” Journal of Political Economy, 2003, 111(3), 555-588. Article

Linden, Leigh L. and Jonah Rockoff. Estimates of the Impact of Crime Risk on Property Values from Megans Laws.” American Economic Review 2008, 98(3): 1103-27. Article

William N. Evans and Diana Stech, “Does Prenatal Care Improve Birth Outcomes? Evidence from the PAT Bus Strike,” Journal of Econometrics, 2005  Article.

Card, D., and A.B. Krueger, “Minimum Wages and Employment: A Case Study of the Fast Food Industry in New Jersey and Pennsylvania,” American Economic Review, September 1994, 722-794. Article.

Geronimus, A., and S. Korenman, “The Socioeconomic Consequences of Teen Childbearing Reconsidered,” Quarterly Journal of Economics, 1992, 1187-1213. Article

Acemoglu, D., J. Angrist, “Consequences of Employment Protection?  The Case of the American with Disabilities Act,” Journal of Political Economy, 109(5), 2001. Article

 

 

III. Correlated errors, Clustering and the “Moulton” Problem

Greene, Section 8.8

Angrist and Pischke, Chapter 8

Cornfeld, J., “Randomization by Group: A Formal Analysis,” American Journal of Epidemiology, 198(1978), 100-2. Article

Liang, K., and S.L. Zeger, “Longitudinal Data Analysis Using Generalized Linear Models,” Biometrika, 73(1986) 13-22.  Article.

Moulton, B.R, “An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units,” Review of Economics and Statistics, 72 (May, 1990), pp. 334-338 ,Article.

Moulton, B.R., Random Group Effects and the Precision of Regression Estimates, Journal of Econometrics, 32(1986), 385-97. Article

Kloeck, T., “OLS Estimation in a Model Where a Microvariable is Explained by Aggregates and Contemporaneous Disturbances,” Econometrica, 49 (1981), 205-207. Article.

Bertrand, M., E. Duflo, and S. Mullainathan, “How Much Should We Trust Difference in Difference Estimates,” Quarterly Journal of Economics, 119(1), 2004, 249-276. Article

Wooldridge, J., “Cluster Sample Methods in Applied Econometrics,” American Economic Review Papers and Proceedings 2005 93(2): 133-138. Article

Cameron, A. Colin, Douglass Miller, and Jonah B. Gelbach, “Bootstrap-Based Improvements for Inference with Clustered Standard Errors,” Review of Economics and Statistics, 2008 90(3): 414-427. Article

 

 

IV. Instrumental Variable Models

Greene, Chapters 12 and 13 (IV and Systems of equations)

Greene, Chapter 15 (Generalized Method of Moments)

Angrist and Pischke, Chapter 4

Wooldridge, Chapters 5 and 6.

Permut, Thomas, and J. Richard Hebel. “Simultaneous-Equation Estimation in a Clinical Trial of the Effect of Smoking on Birth Weight” Biometrics, June 1989, 45: pp 619-622. Article

Sexton, Mary and J. Richard Hebel. “A Clinical Trial of Change in Maternal Smoking and Its Effect on Birth Weight” JAMA, February 17, 1984, 251(7): pp 911-915. Article

Krueger A.B., “Experimental Estimates of Education Production Functions,” Quarterly Journal of Economics v114, n2 (May 1999): 497-532. Article

Angrist, J.D., G.W. Imbens, and D.B. Rubin, “Identification of Causal Effects Using Instrumental Variables,” Journal of the American Statistical Association, 91, June 1996, 444-455. Article

Bound, J., D. A. Jaeger, and R.M. Baker, “Problems with Instrumental Variables Estimation When The Correlation Between the Instruments and The Endogenous Explanatory Variables is Weak,” Journal of the American Statistical Association, 90, June 1995, 443-50. Article

Stock JH, Wright JH, Yogo M, “A Survey of Weak Instruments and Weak Identification in Generalized Method of Monents,” 20(4), 2002, 518-530. Article

Hausman, J., “Specification and Estimation of Simultaneous Equation Models,” in Z. Griliches and M. Intriligator, Handbook of Econometrics, 1983. Article

Angrist, J.D., “Lifetime Earnings and the Vietnam Era Draft Lottery: Evidence from Social Security Administrative Records,” American Economic Review, 80, 1990, 313-336. Article.

Angrist, J.D., and A.B. Krueger, “Does Compulsory Schooling Affect Schooling and Earnings?” Quarterly Journal of Economics, 106, 1991, 979-1014. Article.

Angrist, J.D., and W.N. Evans, “Children and Their Parents’ Labor Supply: Evidence from Exogenous Variation in Family Size,” American Economic Review. June 1998, vol 88, 450-477. Article

W.G Howell, et al., “Test Score Effects of School Vouchers in Dayton, Ohio, New York City and Washington, DC:  Evidence from Randomized Field Trials,” August 2000.  Article.

Heckman, J., “Randomization as an Instrumental Variable,” Review of Economics and Statistics, 1996, 336-341. Article

 

 

V. Regression Discontinuity Design

Angrist and Pischke, Chapter 7

Imbens GW, Lemieux T, “Regression Discontinuity Design: A Guide to Practice,” Journal of Econometrics 142(2008), 615-635. Article

Campbell, D.T., “Reforms as Experiments,” American Psychologist, 24(4), 1969, 409-429. Article

Hahn, J. P. Todd, W. van der Klaauw, “Identification and Estimation of Treatment Effects with a Regression Discontinuity Design,”  Econometrica, 69(1), 2001, 201-09. Article

Chay, K., P. McEwan, M. Urquiola, “the Central Role of Noise in Evaluating Interventions that Use Test Scores to Rank Schools,”  American Economic Review, 95(4),  2005, 1237-1258. Article

Dinardo, J., D.S.  Lee, “Economic Impacts of New Unionization on Private Sector Employers:  1984-2001,” Quarterly Journal of Economics, 119(4), 1328-1441. Article

Lee, D.S., D. Card, “Regression Discontinuity Inference with Specification Error,”Journal of Econometrics, 142(2008), 655-674. Article

Oreopoulos, Philip. “Estimating Average and Local Average Treatment Effects of Education When Compulsory Schooling Laws Really Matter” American Economic Review, 91(1), 2006, 152-175. Article

Angrist, J.D., V. Lavy, “Using Maimonides’ Rule to Estimate the Effect of Class Size on Scholastic Achievement, “Quarterly Journal of Economics, 114(2), 1999, 533-575. Article

Card , David, Carlos Dobkin, Nicole Maestas, “Does Medicare Save Lives.” Quarterly Journal of Economics, 124(2), May 2009, 597-636. Article

Card, D., C. Dobkin, N. Maestas, “The Impact of Nearly Universal Insurance Coverage on Health Care Utilization and Health:  Evidence from Medicare,” American Economic Review, 2008, 98(5), 2242-58. Article

Van der Klaauw, W., “Estimating the Effect of Financial Aid Offers on College Enrollment: A Regression Discontinuity Approach,” International Economic Review, 43(4), 2002, 1249-87. Article.

Van der Klaauw, W., “Breaking the link between poverty and low student achievement: An Evaluation of Title I,” Journal of Econometrics, 142 (2008), 731-756. Article.

Matsudaira, Jordan, “Mandatory Summer School and Student Achievement,” Journal of Econometrics, 142 (2008). Article

Matsudaira, Jordan, “Sinking or Swimming: Evaluating the Impact of English Immersion versus Bilingual Education.” Working Paper, Cornell University, December 2005. Article

 

 

VI. Maximum Likelihood Estimation and Nonlinear Optimization

Greene, Chapter 16 (Maximum Likelihood Estimation)

Greene, Appendix E (Computation and Optimization)

A simple example we will follow: Count data models: Greene, Chapter 25

Wooldridge, Chapter 12, Section 12.7 (Non-linear optimization)

Wooldridge, Chapter 13 (Maximum likelihood models)

Quandt, R.E., “Computational Problems and Methods,” in Z. Griliches and M. Intrilligator, eds., Handbook of Econometrics, Amsterdam: North Holland, 1983. Article

 

 

VII. Models with Discrete Dependent Variables

Greene, Chapter 23 (Discrete Choice Models)

Greene, Chapter 25 (Count data models)

Wooldridge, Chapter 15 (Discrete Data), Chapter 19 (Count Data)

Hausman, J., B. Hall, and Griliches, “Econometric Models for Count Data with an Application to the Patents-R.D. Relationship,” Econometrica, 52, 1984, 909-938. Article

Hausman, J., and D. Wise, “A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences,” Econometrica, 46, 1978, pp.403-426. Article

Ashenfelter, O., and D. Bloom, “Models of Arbitrator Behavior: Theory and Evidence,” American Economic Review, March 1984, p.111-124. Article

Evans, W., M. Farrelly, and E. Montgomery, “Do Workplace Smoking Bans Reduce Smoking?” American Economic Review, September 1999, 89(4), 728-747. Article

Warner, J. and S. Pleeter, “The Personal Discount Rate: Evidence from Military Downsizing Programs.” American Economic Review, March 2001, 91(1), 33-53. Article

List, J., “Does market Experience Eliminate Market Anomalies?” Quarterly Journal of Economics, February 2003, 118(1): 41-71. Article

Gropp, R., J.K. Scholz, and M. White. “Personal Bankruptcy and Credit Supply and Demand.” Quarterly Journal of Economics, February 1997, 112(1), 217-251. Article

Evans, W., and R. Schwab, “Finishing High School and Starting College: Do Catholic Schools Make a Difference?” Quarterly Journal of Economics, November 1995. Article

Gupta, S., G van Houtven, M. Cropper, “Paying for Permanence:  An Economic Analysis of EPA’s Cleanup Decisions at Superfund Sites,”  RAND Journal of Economics, 27(3), 1996, 563-582. Article

 

 

VIII. Truncated And Censored Data, Sample Selection

Greene, Chapter 24.

Wooldridge, Chapter 16 and 17..

Heckman, J., “Shadow Prices, Market Wages, and Labor Supply,” Econometrica, 42, 1974, pp. 679-94. Article.

Heckman, J., “Sample Selection as a Specification Error,”  Econometrica, 47, 1979, pp. 153-161. Article

Heckman, et al., “Characterizing Selection Bias Using Experimental Data,” Econometrica, 66, September 1998, 1017-1098. Article

Vella, Francis, “Estimating Models with Sample Selection Bias: A Survey,” Journal of Human Resources, v33, n1 (Winter 1998). Article

Leung, Sui-Fai and Shihti Yu, “On the Choice Between Sample Selection and Two Part Models,” Journal of Econometrics, 72(1/2) 107-28. Article

Lalonde, R. J., “Evaluating the Econometric Evaluations of Training Programs with Experimental Data,” American Economic Review, 76, 1986, 604-619. Article

Duan, Naihua, et al., “A Comparison of Alternate Models for the Demand For Medical Care,”  Journal of Business and Economic Statistics, 1, 1983, 115-127.  Article

Evans, W.N., M.C. Farrelly, “The Compensating Behavior of Smokers:  Taxes, Tar and Nicotine,”  RAND Journal of Economics, 29(3), 1998, 578-595.  Article

Manning, W., et al, “Health Insurance and the Demand for Medical Care: Evidence from a Randomized Experiment,” American Economic Review, 77, 1987, 251-277. Article

 

 

IX. Duration Data

Greene, Chapter 25. 

Wooldridge, Chapter 20.

Solon, G., “Work Incentive Effects of taxing unemployment Benefits,”  Econometrica, 53, 1985, 295-306. Article.

Meyer, B., “Unemployment Insurance and Unemployment Spells,”  Econometrica, 58, 1990, 757-82. Article.

Kiefer, N., “Economic Duration Data and Hazard Functions,”  Journal of Economic Literature, 26, 1988, 649-679. Article.

Javier Espinosa and William N. Evans, “Marriage Selection or Marriage Protection?” Journal of Health Economics, 2008, 27 (5), 1326-1342. Article

 

 

X. Matching methods

Angrist and Pischke (2009), Chapter 3

Imbens, Guido and Jeff Wooldridge. 2007. “What’s New in Econometrics: Estimation of Average Treatment Effects Under Unconfoundness.” NBER Summer Institute. Article

Dehejia, Rajeev and Sadek Wahba. 1999. “Causal Effects in Nonexperimental Studies: Reevaluating the Evaluation of Training Programs.” Journal of the American Statistical Association, 94(448): 1053-10. Article

Dehejia, Rajeev and Sadek Wahba. 2002.”Propensity Score Matching Methods for Nonexperimental Causal Studies.” Review of Economics and Statistics 84(1): 151-161. Article

Smith, Jeffrey and Petra Todd. 2005. “Does Matching Overcome LaLonde’s Critique of Nonexperimental Methods?” Journal of Econometrics 125(1-2): 305-353. Article

Dehejia, Rajeev. 2005. “Practical Propensity Score Matching: A Reply to Smith and Todd.” Journal of Econometrics 125(1-2): 355-364. Article

Caliendo, Marco and Sabine Kopeinig. 2006. “Some Practical Guidance for the Implementation of Propensity Score Matching.” Journal of Economic Surveys 22(1): 31-72. Article

Busso, Matias, John DiNardo and Justin McCrary. 2008. “Finite Sample Properties of Semi-Parametric Estimators of Average Treatment Effects.” Working paper, University of California at Berkeley. Article

 

 

XI. Quantile regressions

Angrist and Pischke, Chapter 7

Koenker, Roger and Gilbert Bassett, Jr. 1978. “Regression Quantiles.” Econometrica, 46(1): 33-50. Article

Koenker, Roger and Kevin Hallock. 2001. “Quantile Regression.” Journal of Economic Perspectives 15(4): 143-156. Article

Buchinsky, Moshe. 1994. “Changes in the Wage Structure 1963-1987: Application of Quantile Regression.” Econometrica 62(2): 405-458. Article

Buchinsky, Moshe. 1998. “Recent Advances in Quantile Regression Models: A Practical Guide for Empirical Research.” Journal of Human Resources 33: 88-126. Article