ELECTRONIC LINKS TO READING LIST ECOE 60303: Econometrics II (Graduate)

I. A Brief Review of Linear Models

Wooldridge, Chapters 2-4

Angrist and Pischke, Chapters 2-3

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

Wooldridge, Chapter 7 (Generalized Least Squares), Chapter 10 (Panel Data)

Angrist and Pischke, Chapter 5

Hsiao, C., Analysis of Panel Data, Cambridge: Cambridge University Press, 1986, Chapter 3, pp. 25-68.

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

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

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.

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," Working Paper, Department of Economics, Michigan State University, 2006. Article

IV.     Instrumental Variable Models

Wooldridge, Chapters 5 and 6

Angrist and Pischke, Chapter 4

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.     Nonlinear Optimization -- Briefly

Maximum likelihood models: Wooldridge, Chapter 13

Non-linear optimization: Wooldridge, Chapter 12, Section 12.7

A simple example we will follow, Count data models: Wooldridge, Chapter 19

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

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., 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

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, J., and R. Robb, “Alternative Methods for Solving the Problem of Selection Bias in Evaluation the Impacts of Treatments on Outcomes,” Drawing Inferences from Self-Selected Samples, ed. H. Wainer, 1986, 63-107.

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

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