PUC-RJ
ECONOMETRIA
Prof. Dr. Narcio Aquino Menezes Filho
PROGRAMA
Esta disciplina visa a apresentar aos alunos os modelos bsicos na rea de
microeconomia aplicada, as tcnicas economtricas necessrias para a estimao destes
modelos (com nfase na econometria para dados em painel) e a implementao destas
tcnicas atravs de programas economtricos (especialmente Gauss e Stata). Um dos
objetivos complementares sugerir aos alunos temas para dissertaes e teses.
As aulas devero ser s quartas-feiras das 15hs s 18hs. O curso ter 8 aulas e
est assim dividido:
A) Introduo (1 aula)
Identificando Relaes Causais: Controles, Efeitos Fixos, Diferenas em Diferenas,Variveis Instrumentais, Regresses Descontinuadas, Matching.
Bibliografia:
Angrist, J and Krueger, A (1999). Empirical Strategies in Labour Economics, inHandbook of Labour Economics, Vol. 3 , cap 23. (a ser distribudo)
Bresnahan, T. (1998) The apple-Cinnamon Cheerios War: Valuing New Goods,Identifying Market Power and Economic Measurement, mimeo, (a ser distribudo)
Ashenfelter, O. and Krueger, A (1994) Estimates of Economic Return to Schoolingfrom a New Sample of Twins, American Economic Review, vol. 84, no. 5.
B) Econometria para Dados em Painel (3 aulas)
Mnimos Quadrados Ordinrios, Efeitos Aleatrios e Efeitos Fixos: Distino entre osmodelos, identificao , hipteses de exogeneidade requeridas e mtodos de estimao.
Instrumentalizao (GMM): Primeiras-Diferenas, Estimador de Anderson e Hsio,Estimador de Arellano e Bond.
Extenses: VAR, Quasi-Diferenas.
1) Tcnicas
Greene, W. (1993) Econometric Analysis. Macmillan. Captulo 16 - Models that useBoth Cross-Section and Time-Series Data Longitudinal Data
Anderson e Hsio (1982). Formulation and Estimation of Dynamic Models using PanelData, Journal of Econometrics, 18, 67-82.
Arellano e Bond (1991). Some Tests of Specification for Panel Data: Monte CarloEvidence and an Application to Employment Equations, Review of Economic Studies,vol. 58.
Holtz-Eakin, Newey and Rosen, (1988). Estimating Vector Autoregressions withPanel Data, Econometrica, 56, 6, 1371-1395.
Menezes-Filho (1998). Quasi-Differences Specification with Panel Data, Anais daSBE, Vitria (ES).
Blundell and Bond (1998). Initial Conditions and Moment Restrictions in DynamicPanel data Models, Journal of Econometrics, vol. 87, no.1 .
2) Aplicaes
Menezes-Filho (1997). Unions and Profitability over the 1980s. Some Evidence onUnions-Firm Bargaining in the UK, Economic Journal , 107, 651-670.
Islam (1995) Growth Empirics: A Panel Data Approach. Quarterly Journal ofEconomics, vol. 110, 1127-1170.
Lee, Pesaran e Smith (1998). Growth Empirics: A Panel Data Approach AComment Quarterly Journal of Economics, vol. 113, 319-323.
Jackubson (1991). Estimating and Testing of Union Wage Effect Using Panel Data.Review of Economic Studies, 58, 941-91.
C) Dados Agrupados (1 aula)
Utilizao de Dados Agrupados como Mtodo de Varivel Instrumental. Utilizao deCross-Sections Repetidas como um Pseudo Painel. Modelos de Consumo e Oferta deTrabalho.
1) Tcnicas
Wald (1940). The Fitting of Straight Lines if both Variables are subject to Error,Annals of Mathematical Statistics, vol. 11, 284-306.
Deaton (1985). Panel Data from Time Series of Cross-Sections. Journal ofEconometrics, vol. 30, 109-126
Moffit (1993). Identification and Estimation of Dynamic Models with a Time Series ofRepeated Cross-Sections. Journal of Econometrics, vol. 59, 99-123.
Angrist (1991). Grouped Data Estimation and Testing in Simple Labor SupplyModels. Journal of Econometrics, vol. 47 , 243-266.
Browning, Deaton e Irish. (1985). A Profitable Approach to Labor Supply andCommodity Demands over the Life Cycle. Econometrica, vol. 59 503-44.
2) Aplicaes
Meghir e Whitehouse, (1996). The Evolution of Wages in the United Kingdom:evidence from Micro Data, Journal of Labor Economics, vol. 14, 1-25.
Attanasio e Browning (1995). Consumption over the Life Cycle and over the BusinessCycle, American Economic Review, vol. 85, 1118-1136.
Jalan e Ravallion (1998). Geography Poverty Traps? World Bank, mimeo.
C) VARIVEIS DEPENDENTES LIMITADAS (2 aulas)
Modelos de Escolha Discreta: Modelos Logit, Probit, Ordered Probit. Dadoscensurados: Modelo Tobit. Testes. Generalizaes do Modelo Tobit: Modelos deSeleo Generalizada.
1) Tcnicas
Greene, W. (1993) Econometric Analysis. Macmillan. Captulos 21 e 22 - Modelswith Discrete Dependent Varibles e Limited Dependent Variables and DurationModels.
Tobin (1958) Estimation of Relationships for Limited Dependent Variables,Econometrica, 24-36.
Maddala (1986). Limited Dependent and Qualitative Variables in Econometrics.Cambrisge University Press.
Heckman (1979). Sample Selection Bias as a Specification Error Econometrica,vol.49, 945-64
Chester and Irish (1987). Residual Analysis in the Grouped Data and Censored NormalLinear Model, Journal of Econometrics, 34, 33-62.
2) Aplicaes
Mroz (1987) The Sensitivity of an Empirical Model of Married Women Hours ofWork to Economics and Statistical Assumptions, Econometrica, 55, 765-800.
Fernandes e Picchetti (1998) Determinantes do Desemprego no Brasil, mimeo Machin and Stweart (1990). Unions and the Financial Performance of British Private
Sector Establishments. Journal of Applied Econometrics, vol. 5 327-250. Menezes-Filho, Ulph and Van Reenen (1998). R&D and Union Bargaining:
Comparative Evidence on British Firms and Establishments. Industrial and LaborRelation Review, vo. 52, no.1 .
Blundell, Duncan and Meghir (1999). Estimating Labour Supply Responses using TaxReforms, Econometrica.
D) PROVA (1 aula)
