Heterodox econometrics

Here is the paper by Auvray&Rabinovich.

You can also look at Joel’s presentation of sept-19. Additionnal paper on the (false) financialization of non financial firms.

Some reading recommandations

Lecture on quantification and Desrosieres’ paper

Oct-7

How to work on the long run

  • Write a journal, a log (where the data comes from, what you do to it, issues you face and options you take, ideas, paste your plots)
  • save and comment your scripts
  • start writing your report from the first day
  • make a copy of the whole folder on another computer or on the cloud, each time you work on it.

Oct 14

Oct 21

  • My slides on GMM
  • Try GMM on the toy database
  • Import the complete database
  • Calendar :
    • Oct 28 no class
    • Nov 4, class on sequence analysis in the morning (10:50-12:30) and from 14:00 to 16:30, for individual advise on the replication. Register here for an appointment, max 5 students per 30 minutes session.
    • Nov 11 no class
    • Nov 18 last class, at UTC at Boulevard Sebastopol. 14:00 – 17:00. Individual meeting again, register here
    • Dec 5 Report due date

Advice for implementation:

  • the variables are already trimmed, lagged, normalized… in the complete database ready4.
  • do not use the size dummies (du_size_big), they are for another table, and do not correspond to table 6 categorisation. You have to split yourself. You should try not to split differently for different years, otherwise it will produce missing information in the panel.
  • do not use “summary” of your output, it takes a lot of time, use stargazer instead
  • if the computation takes to much time, try with less lags in the instruments, with less companies, with less covariables…

Additionnal advice (Nov 18)

  • You might find a negative coefficient for investment_l. THere is no need to “fix” it. Comment on why it’s strange.
  • If computing is too long, you can use “collapse=T” as an option of pgmm, to reduce the number of instruments and computation time.

Directives for the report:

  • The report is individual. It’s length is approximately 6 pages. It should contain
    • an abstract of Auvray and Rabinovich’s paper
    • a discussion of a variable of the model, with a sociology of quantification perspective. Here is a very very complete example.
    • the replication of table 6, p.24, at least column 5 (model with offshoring variables for large companies). Compare your results to those of the original paper and comment. You might want to use the stargazer package to produce a nice table.

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