Economics 217 - Applied Econometrics II

 

Professor Alan Spearot

aspearot@ucsc.edu

Office:  459 Engineering 2

Office Hours:  3:00-5:00 PM, Mondays  (NOTE:  1:00-3:00PM during EXAM WEEK)

 

TA:  JiJian Fan

Office: 403G

Office Hours:  9:30-11:30am, Monday

Section Times: Wednesdays, 1:20-2:25pm and 2:40-3:45pm, Physical Sciences 140

 

FINAL EXAM:  Tuesday, March 21, 12:00–3:00 p.m., Physical Sciences 130

 

Syllabus

 

Week

Date

Topics

Assigned Readings

Assignment

 

Lectures

 

Data

1

10-Jan

Distribution Review, Introduction to R

C2.1, C2.2

Lec 1

org_example.dta

12-Jan

GLM Intro:  Normal, Probit, Logit, Poisson

A2, C3, C4

HW1

org variables

2

17-Jan

GLM Moments, Maximum likelihood

A1

Lec 2

 

19-Jan

Numerical Optimization

HW1 due

HW2

ANS

 

3

24-Jan

Inference with GLM

Lec 3

 

26-Jan

Logit, Multinomial Choice

C6.1-6.3

HW2 due

ANS

 

4

31-Jan

Exam 1

ANS

 

Gehan.dta

2-Feb

Survival Analysis

C7

Lec 4

 

5

7-Feb

Non-parametric Econometrics

Fox handout

HW3

Lec 5

WageTimeSeries.csv

9-Feb

Cross-Validation

 

 

6

14-Feb

Bootstrap techniques

Bootstrap

Lec 6

 

16-Feb

Data mining and machine learning

K-Nearest Neighbors

Decision Trees

HW3 due

ANS

 

7

21-Feb

Data mining and machine learning

Random Forests

Neural Networks

Lec 7

 

23-Feb

Exam 2

Exam  ANS

 

Practice Test, ANS, CODE

Data #1,  Data#2

8

28-Feb

ARIMA

AH13

TS1

 

1-Mar

ARCH-GARCH (Time TBD)

AH14

TS2

 

 

2-Mar

VARs and Causality

AH15

HW4

 

 

9

7-Mar

Jijian will lecture

 

HW4 ANS

 

9-Mar

Non-stationarity and unit roots

AH16

TS3

 

10

14-Mar

Cointegration and Error correction models

AH17

LASSO

 

16-Mar

Catch up and Review (Time TBD)

Exam 3 16

ANS