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Multivariate statistical methods

Опубликовано на портале: 23-04-2003
Факультет: Political Science
Дисциплина: Econometrics
Год: Spring 1999
Язык: Английский
Тематические разделы: Экономика, Эконометрика

Aннотация:
Effective participation in the social sciences requires familiarity with the basic elements of multivariate statistics.



Рекомендуемые учебники:

Damodar N. Gujarati, Basic Econometrics (New York: McGraw-Hill, 1995).
William H. Greene, Econometric Analysis (New York: Macmillan Publishing Company, 1996).
Peter Kennedy, A Guide to Econometrics (Cambridge: MIT Press, 1992).

Программа курса:

I. Introduction
Overview; history; multiple regression and hypothesis testing

II. Bivariate Regression
Fitting curves to data
Correlation and regression
Ordinary least squares (OLS)
Hypothesis testing, power, confidence intervals
Properties of least squares estimators
Maximum likelihood estimators (MLEs)

Gujarati, 1 to 6; Kennedy, 1 to 3; Greene, 5

III. Multivariate Regression
Review of matrix notation
Gauss-Markov theorem and BLUE estimators
Properties of estimators
Statistical inference

Gujarati, 7 to 9; Kennedy, 4; Greene, 2 and 6

IV. Case Study: Determining Causality

David Weimer and Aidan Vining, Policy Analysis: Concepts and Practice (Englewood Cliffs, N.J.: Prentice-Hall, 1992), Chapter 13: "Revising the Lead Standard for Gasoline."

IV. Model Specification
Non-linear models, Cobb-Douglas models, interaction terms Indicator variables
Analysis of residuals
Specification error

Gujarati, 13 to 15; Kennedy, 5 and 14; Greene, 8

V. Pathologies and Treatments
Multicollinearity
Heteroscedasticity and generalized least squares (GLS)
Feasible GLS
Autocorrelation
Aggregation bias
Measurement error

Gujarati, 10 to 12, 21; Kennedy, 6 to 9 and 11; Greene, 9 and 13 to 15

Menzie David Chinn, "Beware of Econometricians Bearing Estimates: Policy Analysis in a 'Unit Root' World," Journal of Policy Analysis and Management 10:4 (1991), 546-467.

Francis X. Diebold and Abdelhak S. Senhandji, "The Uncertain Root in Real GNP: Comment," American Economic Review 86:5 (1996), 1291-1298.

VI. Models with Discrete Dependent Variables
Contingency table analysis
Linear probability models, logit, and probit

Gujarati, 16; Kennedy, 16; Greene, 21

R. Michael Alvarez and Jonathan Nagler, "When Politics and Models Collide: Estimating Models of Multiparty Elections," American Journal of Political Science 42:1 (1998), 55-96.

VII. Simultaneous Equation Models
Identification
Estimation: instrumental variables; two-stage least squares

Gujarati, 18 to 20; Kennedy, 10; Greene, 20

Larry M. Bartels, "Instrumental and 'Quasi-Instrumental' Variables," American Journal of Political Science 35:3 (1991), 777-800.

VIII. Additional Topics as Time Permits
Pooled Time Series/Cross Sections
Censored data
Selection models

Green, 22

Nathaniel Beck and Jonathan N. Katz, "What to Do (and Not to Do) with Time-Series Cross-Section Data," American Political Science Review 89:3 (1995), 634-647.


http://troi.cc.rochester.edu/~dewr/PSC40...