EPPS 7344: Categorical and Limited Dependent Variables http://www.utdallas.edu/locator/?externalKey=LocGR_3.602 http://www.utdallas.edu/locator/?externalKey=LocGR_3.

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Course Pre-requisites
POEC 5316 or the equivalent is required. In other words, you should have a strong grounding in Ordinary Least Squares (OLS) regression at the level of the Damodar Gujarati, Basic Econometrics (chapters 1-9) or better. A familiarity with the basics of calculus and matrix algebra is very helpful, although not required.

Course Description
The estimation of empirical models is essential to public policy analysis and social science research. Ordinary Least Squares (OLS) regression analysis is the most frequently used empirical model, and is appropriate for analyzing continuous dependent variables that meet certain distributional assumptions. This course examines several types of advanced regression models for dependent variables that violate one or more of the assumptions of the OLS regression model. For example, some dependent variables may be categorical, such as pregnant or not, employed or not, etc. Other dependent variables may be truncated or censored, such as contributions to an individual retirement account that are limited by law to certain dollar amounts. Still others may be counts of things, like the number of children born to a given woman or the number of traffic accidents on a given day. The principal models examined in the course are binary logit and probit, multinomial logit, ordinal logit and probit, tobit, and the family of Poisson regression models. The Heckman correction for selection and Event History Analysis are also addressed. All these models are estimated using maximum likelihood estimation (MLE). The course focuses on the application and interpretation of the models, rather than statistical theory.

Required Textbooks and Materials

really, by "required", i mean just mean "strongly recommended" Books are usually the cheapest on Amazon.com and they do buyback; stata books are usually the cheapest on stata.com; see links below: J. Scott Long, Regression Models for Categorical and Limited Dependent Variables. Thousand Oaks, CA: Sage. Use throughout the course http://www.amazon.com/gp/product/0803973748/ref=pd_lpo_k2_dp_sr_1?pf_rd_p=486 539851&pf_rd_s=lpo-top-stripe-1&pf_rd_t=201&pf_rd_i=1597180114&pf_rd_m=ATVPD KIKX0DER&pf_rd_r=046P86DCGTPSYK6AHWXN you do not really need this book if you are not interested in EHA Mario Cleves, William W. Gould, Roberto G. Gutierrez, and Yulia Marchenko. 2008. An Introduction to Survival Analysis Using Stata, 2nd Edition. Stata Press. Used for the event history analysis, aka survival analysis, part of the course. http://www.stata.com/bookstore/saus.html

Recommended Course Materials

Long, S. J. and Freese, J. 2001. Regression Models for Categorical Dependent Variables Using Stata. College Station, TX: Stata Press. This book is a companion to the Long book, and contains more "nuts and bolts" on estimating models, and describes customized tools for helping to interpret the results of the models. http://www.statapress.com/books/regmodcdvs.html Deirdre McCloskey: Economical Writing

http://www.amazon.com/Economical-Writing-Second-Deirdre-McCloskey/dp/157766063 3 William Zinsser: On Writing Well, 30th Anniversary Edition: The Classic Guide to Writing Nonfiction http://www.amazon.com/Writing-Well-30th-Anniversary-Nonfiction/dp/0060891548/ref=s r_1_1?s=books&ie=UTF8&qid=1282832636&sr=1-1 William Gould, Jeffrey Pitblado, William Sribney: Maximum Likelihood Estimation with Stata http://www.stata.com/bookstore/mle.html

Software
We will use Stata version 12 (Intercooled/IC or higher: SE or MP). If you have older version it's fine; few commands may not work, but stata did not change than much since version 8. You do not have to buy software -- it is available at EPPS labs http://eppsac.utdallas.edu/node/94. We will also use R, which is free http://cran.r-project.org You can buy your own Stata 11 IC/Intercooled perpetual license for about $200 http://www.Stata.com/order/new/edu/gradplans/gp-direct.html

Calculator
A hand calculator is a necessity. It does not have to be fancy, but it is useful to have the following functions: ln(x), exp(x), x!, and y^x (logarithms, exponents, factorials, and powers). Usually any calculator described as scientific will have these functions. For this class, graphing capability and programmability will not be needed.

Requirements
Students are required to take a midterm and a final examination in class. The exams are open-note, open-book. There are several short problem sets. Problem sets are due by the midninght of the day preceeding the class by email to the TA (if you handwrite your problem set - you can scan it or just take a - picture). You may work in groups on problem sets, but write up answers separately and indicate who you worked with. Students must complete an empirical paper on an approved topic using one or more of the techniques covered in this course. A typical paper will be 15 to 20 double spaced pages. On the indicated dates, students will be asked to turn in a proposed paper topic and a first draft of the empirical paper. These items will not be graded. Ideally, paper should be submitted to a professional journal for a publication. You may cowrite papers (upto 3 people), but then the paper quality needs to be about 3x of a single-authored paper. Cowriting a paper is a good idea: efficiency, specialization, social capital, but cowriting may be risky: disagreement, less control, free-riding

Grading Policy
The grading in the course is based on the problem sets, and the empirical paper. The weights assigned to each are as follows: Starting in Fall of 2008, certain plus and minus grades will be allowed for graduate courses. After computing the student semester average on a 100-point numeric scale, letter grades will be assigned as follows: min max Grade Point 93.0 100.0 A 4.00 90.0 92.9 A3.67 87.0 89.9 B+ 3.33 83.0 86.9 B 3.00 80.0 82.9 B2.67

77.0 79.9 C+ 70.0 76.9 C 0 69.9 F

Attendance

2.33 2.00 0.00

Attendance is entirely optional. However, be advised that you are responsible for any material covered in the class, whether or not it was in the readings or lecture notes. You are also responsible for any announcements made in class. For most students, attendance is simply essential to learning the material. If you do need to miss a class, be sure to consult with a fellow student to learn what transpired.

Academic Calendar
Preliminary Schedule, Readings and Assignments For the most up-to-date schedule see the course website http://aok.us.to/class/cldv [*] means bonus (extra/not required) [!] means background information (review if/as needed, you should know it) when printing handouts you can print multiple slides per sheet http://kb2.adobe.com/cps/332/332720.html#main_Print multiple

class 1 Introduction to Course, Review of OLS and Its Limitations

c1_intro_to_course.pdfc1_intro_to_course.doc1_descriptive4.pdfhttp://gking.harvard.ed u/files/replication.pdfhttp://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.73.222&r ep=rep1&type=pdfhttp://www.economics.harvard.edu/files/faculty/40_My_Rules_of_Thu mb.pdf

class 2, Maximum Likelihood Estimation, Logit and Probit

ps1.pdfmoved.dtac2_mle_logit_probit.pdfc2_mle_logit_probit.domyung03_tutorial_on_m le.pdfcomparison_probit_logit.xlslogit_function_of_XiB.xlscramer03_origins_of_develop ment_of_logit_models.pdfwilliams97_racial_economic_institutional_differences_in_hom e_mortgage_loans.pdfhttp://www.ats.ucla.edu/stat/stata/webbooks/logistic/

class 3, Interpretation and Hypothesis Testing in Logit and Probit Models

ex1.pdfps2.pdfc3_interpretation_hypothesis_testing.pdfc3_interpretation_hypothesis_te sting.doc3_interpretation_hypothesis_testing.loghttp://www.jstor.org/stable/2657302?se q=1http://www.jstor.org/stable/3325777

class 4, Ordinal Dependent Variables: Ordinal Logit and Ordinal Probit

ans1.docps3.pdfhttp://aok.us.to/class/data c4_ologit_oprobit.pdfc4_ologit_oprobit.doc4_ologit_oprobit.logextra_notes_stata_code_ warmage_ologit.pdf

class 5, Nominal Dependent Variables: Multinomial Logit

ans2.pdfc5_nominal_multinomial_logit.pdfc5_nominal_multinomial_logit.doc5_nominal_ multinomial_logit.logex3.pdfhttp://aok.us.to/class/data

class 6, Nominal Dependent Variables: Conditional Logit and Multinomial Probit

ps4.pdfans3.pdfc6_nominal_multinomial_probit_conditional_logit.pdfc6_nominal_multin omial_probit_conditional_logit.doc6_nominal_multinomial_probit_conditional_logit.logNo

minal Dependent Variables: Multinomial Probitwww.polsci.ucsb.edu/faculty/glasgow/AlvarezNagler.pdf

class 7, Review
ans4.pdfc7_review.pdfc7_review.doc7_review.logpractice_midterm_f08.pdfWolfe_hill_ta ble_4.pdfans_practice_midterm_f08.pdfproposed_empirical_topic.pdf

Midterm class 8, Censored and Truncated Dependent Variables: Tobit

c8_tobit.pdfc8_tobit.do

class 9, limited dependent variables: extensions

ps5.pdfc9_lim_dv_extensions.pdf

class 10, count dependent variables: poisson regression and related models
c10_counts.pdfc10_counts.doc10_counts.log

class 11, event history analysis

ps6.pdfans5.pdfc11_eha.pdfc11_eha.do

class 12, event history analysis cont'd

c12_eha2.pdfc12_eha2.do

no class (Thanksgiving) class 13, course review and student presentations

c13_review_presentations.pdfsample_presentation.pdf

final
oldfinal.pdfans_oldfinal.pdf

bonus
interactions
interactions.dointeractions.pdfmi.pdfwww.utdallas.edu/~jargo/papers/omitted%20variabl es.pdf

paper
http://thedata.org/homehttp://www2.lse.ac.uk/geographyAndEnvironment/whosWho/prof iles/neumayer/replicationdatasets2.aspxhttp://www.ats.ucla.edu/stat/Stata/library/Graph Exampleshttp://www.stata.com/support/faqs/graphics/gph/statagraphs.htmlhttp://tables2 graphs.com/doku.phphttp://www.tugzip.comhttp://aok.us.to/replication/eur_ame_work_lif e_satisfaction.tar.bz2http://myweb.uiowa.edu/fboehmke/methods.htmlweichieh2.pdfexp ort_results.do http://www.ats.ucla.edu/stat/stata/faq/spss_command_to_stata.htmhttp://faculty.fuqua.d uke.edu/home/blanc004/data_programming/sas_to_stata/sas_to_stata.htmlhttp://faculty .fuqua.duke.edu/home/blanc004/data_programming/sas_to_stata/