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.
- Presentation (15%)
- 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 teacher) 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].
- G. Imbens, D. Rubin, Causal Inference for Statistics, Social and Biomedical Sciences. An Introduction. Cambridge University Press, 2015 [IR].
- C.A. Cameron, P.K. Trivedi Microeconometrics. Methods and Applications, New York, Cambridge University Press, 2005, [CT].
- C.A. 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.
Slides arebe provided for each topic and posted online.