Prerequisites: Qualified students
will have taken 8009. The well prepared
student will have taken 8119. This course is not a substitute for either 8009
or 8119.
Course Description: This course will be a survey of those areas of modern econometrics most often used in applied economic research. Each topic area will have three legs. The course will introduce recent developments in the solution of applied problems followed by a specific example presented by either the principle instructor or a guest speaker. The third leg will be a homework assignment completed by the students. Topics to be covered include recent developments in endogeneity and the use of instrumental variables: estimation of treatment effects, weak instruments, too many instruments, and difference in differences. As an alternative to the use of IV/2SLS we will look at the use of control functions for dealing with endogeneity. Some time will be used to address linear panel data models, regression discontinuity, quantile methods and kernel methods.
After looking at the 2009 and 2010 syllabi for 8119 we will not be covering any per se time series topics.
Textbooks: All of these books are strongly recommended, but not required.
William H. Greene, Econometric Analysis, 6th or 7th Edition, Prentice Hall. You should already have this book in your library.  
Joshua Angrist and J.S. Pischke, Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press, 2009. This is a widely used book. It is deceptively easy to read, but is full of nuance.  
Roger Koenker, Quantile Regression, Cambridge University Press, 2005. This is an important text. It is well written and an absolute must before you pick up the literature that has emerged over the last six years.  
Jeffrey Wooldridge, Introductory Econometriocs: A Modern Approach, 4th edition, Sothwestern/Cengage Learning, 2009. This is an undergrad textbook that I used last spring, so you should be able to find a used copy. It is good for background reading before wading into the real thing.  
Jeffrey Wooldridge, The Econometrics of Crosssection and Panel Data, MIT Press
and Angrist and Pischke, Mostly Harmless Econometrics: An Empiricist's
Companion,

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