ECON-4120 Quantitative Analysis / ECON-6920 Advanced Quantitative Analysis (fall) (preparation materials)

ECON-6550 Advanced Microeconomic Analysis (fall)

ECON-4140 Structure of Industry (fall) (project resources)

ECON-4570 Econometrics (Undergraduate) (spring)

ECON-6570 Advanced Econometrics (Graduate) (spring)

Selected courses taught in past at Royal Holloway, University of London.

Below are a few archived materials in case anyone needs them:

EC2212 Industrial Growth and Competition (spring 2003) - a detailed resource about industry competition & technology

EC5020 MSc Industrial Economics (spring 2003)

EC3400 Dissertation materials (autumn 2001)

Other information about Ken Simons and his research is on his main web page.

The required textbook is: James H. Stock and Mark W. Watson, Introduction to Econometrics, 2nd ed., published by Addison Wesley, 2007. If you buy this book new, you will be able to access learning materials on the web. Also recommended, but not absolutely required, is the following book that shows you how to use Stata: Lawrence C. Hamilton, Statistics with Stata (Updated for Version 9), published by Brooks/Cole, 2006. Stata will be available for use in the lab. If you want you can buy a license for your own computer (ask me for the course id to type in) - either a one year license for $89 or a perpetual license for $145, a substantial discount from the usual education price.

The official prerequisites to this course are MATH-2010 or equivalent (multivariable calculus and matrix algebra) and ECON-2010 or equivalent (managerial economics), but the level of calculus and matrix algebra will not be too much and you could get by without the managerial economics background as long as you don't mind looking up any economics concepts that might confuse you during the course.

Topics are listed below with roughly one week each. We may leave out item 14.

1. Introduction

2. Review of (or introduction to) probability

3. Review of (or introduction to) statistics

4. Linear regression with one regressor

5. Linear regression with multiple regressors

6. Nonlinear regression functions

7. Assessing studies based on multiple regression

8. Regression with panel data

9. Regression with a binary dependent variable

10. Instrumental variables regression

11. Experiments and quasi-experiments

12. Introduction to time-series regression and forecasting

13. Estimation of dynamic causal effects

14. Additional topics in time series regression

There will be weekly problem sets and, I expect at this writing, two exams.

The required textbook is: Fumio Hayashi, Econometrics (Princeton University Press, 2000); this publisher's webpage includes chapter 1. Errata and partial solutions to assignments are available from the author. Also recommended, but not absolutely required, is the following book that shows you how to use Stata: Christopher F. Baum, An Introduction to Modern Econometrics using Stata (Stata Press, 2006). Stata will be available for use in a computer lab. If you want you can buy a license for your own computer (ask me for the course id to type in) - either a one year license for $98 or a perpetual license for $179, a substantial discount from the usual educational price.

The main challenge students have upon starting this course is the matrix algebra. It looks really scary until you get used to it. I will try to help you get to grips with the mathematics, but to get a head start it will help if you review matrix algebra, perhaps using a standard mathematics for economics textbook such as Alpha C. Chiang's Fundamental Methods of Mathematical Economics or Carl P. Simon and Lawrence Blume's Mathematics for Economists. Also use the practice exercises I have prepared for you. Review of derivatives and of optimization methods in these books would also be useful; again I have practice exercises. Don't give up too easily because of the matrix algebra -- it takes practice but you will get used to it.

During the course, you may find it useful to consult an undergraduate text (I recommend the text by Stock and Watson, listed earlier on this page) or another graduate text.

We will probably cover the following topics:

0. Introduction and crash coverage of matrix algebra, probability, and statistics

1. Ordinary least squares (OLS) regression - finite-sample properties

2. OLS regression - large-sample (asymptotic) properties

3. Single-equation generalized method of moments

4. Multiple-equation generalized method of moments

5. Panel data (with material on instrumentation beyond what is in the book)

6. (Serial correlation briefly treated)

7. Extremum estimators

8. Examples of maximum likelihood

This course involves lengthy assignments plus exams. Econometrics courses have a reputation for taking all of your time. I will try to keep the load more manageable than in some graduate programs, but it will still probably be like taking two courses at once.

An additional web page describes how to prepare for the course.

Slides from lectures can be accessed as pdf files for individual lectures. A combined file with 4 slides per page is available for the autumn 2001 version.

- 1 Technology is the primary source of economic growth
- 2 Small firms can be innovative! (and some ways to help)
- 3 Large firms are innovative (and when)
- 4 Patterns of industry evolution are in part determined by technology
- 5 Innovators can use radical new technology to seize markets - autumn 2001 version
- 6 Sustaining technology lets skilled early entrants destroy competitors - autumn 2001 version
- 7 Other factors may contribute to concentration and shakeouts - autumn 2001 version
- 8 Product differentiation can protect against competitive destruction - autumn 2001 version
- 9 Firm size and age affect growth, and thus the firm size distribution - autumn 2001 version
- 10 Firms' technological success fuels nations' economic growth - autumn 2001 version

James Lambert J.H.Lambert@rhul.ac.uk - editing advice, or any questions

Clara Manzillo C.A.Manzillo@rhul.ac.uk - survival analysis, or any questions

A. General sources:

- Harvard Baker Library industry guides
- Royal Holloway library catalog
- electronic bibliographic sources available at Royal Holloway, including EconLit and the Social Science Citation Index
- electronic journal sources available at Royal Holloway

C. Patent data and information:KellySearch - directory of UK manufacturers of most products Thomas Register - directory of US manufacturers of most products Kompass - directory of companies in 70 countries Hoovers - company information

- US patents and trademarks - searchable database including Manual of Classification
- NBER database on US patents, 1963-99, with citation counts (about
3
million
patents, very large files) - I have converted this to Stata format and
it is available for users inside Royal Holloway - Access the R: drive
and
look in the \Economics\EC2212 directory, then read the ReadMe file -
Users
outside Royal Holloway can obtain the data on CD with the following
book:
Adam B. Jaffe and Manuel Trajtenberg,
*Patents, Citations & Innovations*, Cambridge, Mass.: MIT Press, 2002. - Worldwide patents via esp@cenet - a service of the European Patent Office

E. General economics data sources of possible relevance:British Cement Association - includes links to a few cement-related statistics GameFaqs - one of several databases for the video games industry, see also KLOV and Gamebuyer LaserFocusWorld - current lists of companies by product VNU IT directories - software and computer-related companies, note the Software Users Year Book MotorBooks bookstore in London - for automobiles, motorcycles, trucks, railroads, and shipbuilding (near Leicester Square) Shipbuilding - from Peter Thompson; see also his Liberty Ship Pages

- National Bureau of Economic Research - including industry data on productivity, imports and exports, use of antidumping laws, collective bargaining, and tax-exempt organizations
- UK national statistics - data for recent decades from the National Statistics Office
- US national statistics - mainly-US data from Stat-USA
- US Census of Manufactures - data via the US Census Bureau
- California Census Research Data Center - a clear guide to the internal Census data - you can't use most of the data unless you go through a lengthy approval and swearing-in process that has gotten extremely cumbersome (it takes months and you have to show that you are serving an approved national purpose and pay lots of expenses) - but you can learn about the kinds of data used
- Canadian national statistics - from Statistics Canada
- Econ Data & Links - an economics site with all kinds of data links
- Economic time series - from EconoMagic
- Essex data archive - data mainly from UK research studies
- Panel Study of Income Dynamics - a detailed study of US individuals since 1968 (may be relevant for studies of labor-related issues)
- Madalyn's Economic Links - general economics sources

- A project on the radio industry (uses survival analysis)
- A project on the aircraft industry (with careful writing)

For statistical analysis, we used Stata. A powerful and free statistical program is R.

For dynamic modeling using differential equations, one excellent
free
program is Vensim PLE (Personal
Learning
Edition) - click on Download then Free Downloads. The program
has documentation
on the internet. A tutorial for Vensim PLE has been developed by
Craig W. Kirkwood and is available on his
web page.

- 1 Planning and documenting ongoing research
- 2 Practical refresher with Stata - No lecture slides; this was an
interactive
computer presentation (see the book
*Statistics with Stata*) - 3 Writing your dissertation

Return to main page of Kenneth L. Simons.

Revised 19 January 2010