MICROECONOMETRICS

Program

Updated A.Y. 2018-2019

Overview and requirements

The course provides an overview of microeconometric methods for both cross-sectional and panel data and is structured so as to have a practical flavor, with a special emphasis on intuitions and applications. It combines standard lectures on microeconometric techniques together with tutorial lectures illustrating how the theory can be put to effective use through the Stata statistical software. It is especially suitable for students who want to address an empirical question in their master's thesis. After following the course, students should be able to understand when it is appropriate to apply a given method, the assumptions under which it is valid, and how it can be practically implemented.

The course is taught at a level that assumes comfort with the course content in Mathematics (8011190), Statistics (8010848), and Econometrics (8011571).

 

Outline

  • Introduction and Background
  1. Conditional expectations 
  2. Partial effects
  • Cross-sectional Data Models for Discrete and Limited Dependent Variables
  1. Binary outcomes models
  2. Multinomial outcomes models
  3. Models for truncated/censored data and sample selection models
  4. Count data models
  • Panel Data Models
  1. ​Static linear panel data models: within group, first-difference, GLS and between group estimators
  2. Repeated cross-sections, heterogeneous panels, unbalanced panels and panel attrition
  3. Dynamic linear panel data models
  4. Nonlinear models: binary, truncated/censored and count outcomes
  • Treatment Evaluation
  1. ​Setup and main assumptions
  2. Treatment effects and selection bias
  3. Matching and propensity score estimators
  4. Differences-in-differences estimators
  5. Regression discontinuity design

 

References and material

  • Cameron A.C. and Trivedi P.K. (2005), Microeconometrics, Cambridge University Press, New York.
  • Peracchi F. (2001), Econometrics, Wiley, Chichester (UK).
  • Wooldridge J.M. (2010), Econometric Analysis of Cross-Section and Panel Data,  2nd ed., MIT Press, Cambridge (MA).

The material, including lecture notes and related Stata tutorials, will be posted on the course web site. The main textbook is Wooldridge (2010), but it may be complemented by some chapters from Cameron and Trivedi (2005) and Peracchi (2001).