20295 - MICROECONOMETRICS
CLMG - M - IM - MM - AFC - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT - GIO
Course taught in English
Go to class group/s: 31
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).
Problem sets (35%)
- 4 problem sets.
- All of them must be submitted.
- Can be prepared and submitted in groups of 4 or 5 students.
- They include theoretical questions similar to the ones in the final exam and applied questions with Real Data to solve in STATA.
One presentation in Groups of 4/5 students. Students can choose one of the applied sections (Matching, IV, RDD, DID, Standard Errors) 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.
- Dates: 9 Dec (for exchange students), 8 Jan (first round), 29 Jan (second round), 2 Sep (third round)
- Angrist, J. and Pischke, J. (2009) Mostly Harmless Econometrics. Princeton University Press. [AP]
- Imbens, G. and Rubin, D. (2015) Causal Inference for Statistics, Social and Biomedical Sciences. An Introduction. Cambridge University Press. [IR]
- Cameron, Colin A. and Pravin K. Trivedi (2005) Microeconometrics. Methods and Applications. Cambridge University Press: New York. [CT]
- Cameron, Colin A. and Pravin K. Trivedi (2009) Microeconometrics Using Stata. Stata Press.
- Wooldridge, J. (2010) Econometric Analysis of Cross Section and Panel Data, MIT Press, 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.