Economics 217 - Applied Econometrics II

 

Professor Alan Spearot

aspearot@ucsc.edu

Office:  459 Engineering 2

Office Hours:  10:00AM-12:00PM, Mondays

 

TA:  Jijian Fan (jifan@ucsc.edu)

Office Hours:  Mondays, 8:00-10:00am, 403B Engineering 2

Section Times: Wednesdays 12:00-1:05,  Thimann Labs Room 101;  1:20-2:25pm Earth & Marine B210 

 

Syllabus

 

Week

Date

Topics

Assigned Readings

Assignment

 

Lectures

 

Data

1

8-Jan

Distribution Review, Introduction to R

C2.1, C2.2

Lec 1

org_example.dta

10-Jan

GLM Intro:  Normal, Probit, Logit, Poisson

A2, C3, C4

HW1

Lec 2

org variables

2

15-Jan

GLM Moments, Maximum likelihood

A1

 

 

16-Jan

Numerical Optimization (Wed 5:20 - 6:55 pm)

 

 

3

22-Jan

Inference with GLM

HW1 ANS

 

 

24-Jan

Logit, Multinomial Choice

C6.1-6.3

HW2

Lec 3

 

4

28-Jan

Non-parametric Econometrics (Mon 5:20 - 6:55 pm)

Fox handout

Lec 4

29-Jan

Cross-Validation

Notes

 

 

5

5-Feb

Survival Analysis

C7

HW2 ANS

Lec 5

Gehan.dta

7-Feb

No class – Take home coding project on 7th and 8th

Exam 1 ANS

 

Sample Data

6

12-Feb

Bootstrap techniques

Lec 6

 

14-Feb

Data mining and machine learning

K-Nearest Neighbors

Decision Trees

HW3

Lec 7

Extra reading on recursive partitioning

Lasso Page

7

19-Feb

Data mining and machine learning

Lec 8

TZ

21-Feb

Data mining and machine learning

 

 

8

25-Feb

ARIMA (Mon 5:20 - 6:55 pm)

AH13

TS1

 

26-Feb

ARCH-GARCH

AH14

HW3 ANS

HW4

 

 

9

5-Mar

VARs and Causality

AH15

TS2

 

7-Mar

Non-stationarity and unit roots Cointegration and Error correction models

AH16, AH17

TS3

 

10

12-Mar

Time series clustering

TS4

Fed Statements

14-Mar

Review, Take home coding project on 14th and 15th

HW4 ANS

 

Coding assignment solutions

AR  Code