This is the repository containing the files used to create the TeX files for the recitation notes and the lecture slides for the Introduction to Econometrics 2 class in Spring 2020 semester. I used to post the recitation notes before the class and the lectures slides after. Please contact me (sl4436@columbia.edu) or send a pull request if you spot any errors.
The following topics are covered at each recitation
| Recitation | Topics Covered |
|---|---|
| Recitation 1 | Reviewing asymptotic theories |
| Recitation 2 | IV: OLS, assumptions, estimation, and asymptotics |
| Recitation 3 | IV: LIML, control function, various diagnostics test |
| Recitation 4 | Many IV problems, efficient/two-step GMM |
| Recitation 5 | GMM diagnistics tests, Panel: FE/RE |
| Recitation 6 | Panel: RE, dynamic panel data models |
| Recitation 7 | Panel: Intro to factor analysis and other topics |
| Recitation 8 | Bootstraps and multiple hypotheses testing |
| Recitation 9 | Quantile regression, non-parametric regression |
| Recitation 10 | Semiparametric regression, Treatment effects: Random assignment, conditional independence, DiD |
| Recitation 11 | Treatment effects: Violation of conditional independence, MTE and LATE |
| Recitation 12 | Regression discontinuity and machine learning (LASSO) |
| Recitation 13 | Other topics in machine learning |
Last, the Book folder contains a single pdf that compiles all the recitation notes into one.
I have made separate slides for each sessions. Each recitation covers roughly the same topic as in the recitation notes. Note that I do not have the slides for Recitation 1 as I made the slides starting from the second recitation.
The version I used to upload after class had the annotations that I have made during the lecture. The files uploaded here does not include such files. For those wishing to see the annotated files, please contact me at sl4436@columbia.edu