20295 - MICROECONOMETRICS
CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Course taught in English
Go to class group/s: 31
This class covers theoretical and empirical developments on Microeconometrics, with a focus on program evaluation. It provides students with basic skills to conduct rigorous estimation of the impact of governmental/aid agencies programs. Moreover, it conveys the theoretical background to test implications or assumptions of microeconomic models and to understand empirical applications in several applied fields, such as development, labor, health and
education. The course has an applied focus, but theoretical material is broadly covered. Estimation techniques and econometric theory are discussed during lecture; with each method being motivated by a series of empirical papers. The problem sets focus on helping students understand how these methods can be applied to real world data.
- The course begins with a discussion about reduced form and structural form analysis, the counterfactual notion of causality and the differences between estimation and identification.
- The main methodological part is devoted to the estimation of causal relationships, including experimental and non-experimental techniques (matching, instrumental variables, regression discontinuity and panel data).
- If time permits, an introduction to structural estimation using maximum likelihood methods is presented.
- 4 problem sets.
- All of them must be submitted.
- Can be discussed in groups, but have to be prepared individually, with individual responses to each question.
- They include theoretical questions similar to the ones in the final exam and applied questions with Real Data to solve in STATA.
- Dates posted (approx.): Oct 3, Oct 24, Nov 17, Nov 28.
One presentation in Groups of 3/5 students. Students can choose one of the six applied sections (Matching, IV, RDD, DID, Standard Errors, Maximum Likelihood) to present a paper of their choice (coordinated with me) that uses the discussed methodology.
Final Exam (50%)
- Students are allowed to bring to the exam up to 3 sheets of paper (up to A4 size) written on the two sides with anything they want.
- J. Angrist, J. Pischke, Mostly Harmless Econometrics. Princeton University Press. 2009 ,[AP].
- A. Colin CAMERON, P.K. Trivedi , Microeconometrics. Methods and Applications. Cambridge University Press: New York. 2005 [CT.]
- A. Colin CAMERON , P.K. Trivedi , Microeconometrics Using Stata. Stata Press. 2009.
- J. Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press, 2010 2nd Edition. [W]
For each topic, a list of recently published papers is provided (see below). Slides will be provided for each topic and posted online.
A basic knowledge of econometrics is strongly recommended. Basic knowledge on the use of STATA or similar computer software is also recommended.