34490 - Econometrics 3

Learning outcomes

At the end of the course the student has acquired knowledge of the core microeconometric models and methods designed to study the behaviour of economic agents using cross-section and panel data. In particular, he/she is able: - to critically understand the applications of these models in the recent empirical economic literature; - to apply the models and perform his/her own analysis of economic datasets using the software STATA.

Course contents

1. Pooling cross sections across time
2. Linear panel data methods
3. Instrumental variables and two stages least squares
4. Maximum likelihood methods
5. Limited dependent variable models
   
6. Sample selection corrections.

Readings/Bibliography

•  Jeffrey M. Wooldridge (2013). Introductory Econometrics: a Modern Approach, 5th edition, Thompson South-Western.
• Jeffrey M. Wooldridge (2010). Econometric Analysis of Cross Section and Panel Data, 2nd edition, MIT Press.
• Chris Baum,  An Introduction to Modern Econometrics Using Stata, Stata Press

Teaching methods

Throughout the course, the presentation of theoretical issues will be complemented by critical discussion of some micro-economic applications from recent research using linear regression models. Students will receive data to practice at the computer and learn how to apply the various models using the software STATA.

Assessment methods

There are two components of the course assessment: take home assignments and written exam.

During the course Computer Exercises will be assigned to small groups of students and will be due on specific dates.  The average mark of the Computer Exercises will account for the 30% of the final mark.

The written exam is closed book. It is divided in three parts:

• True or False (answer with concise motivation): 3 questions, 12 points
• Open question (formal answer to theoretical question): 1 or 2 questions, 8 points
• Interpretation question (answer on STATA log file with estimation output): 2 or 3 questions, 10 points

Examples of exam text are available on the course webpage, accessible at the link below (see Link to further information).
 

Teaching tools

Course website with news and updated materials, available on the course webpage accessible trhough the link below (see Link to further information).
Lectures slides, made available on the same webpage
Software STATA. available at the Computer Lab of the School of Economics, Management and Statistics.

Links to further information

http://sites.google.com/site/chiaramonfardiniwebpage/home/teaching

Office hours

See the website of Chiara Monfardini