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Topics in Microeconometrics

  • Instructors:
    Prof. Fitzenberger, Ph.D.
    Privatdozent Ralf Wilke, Ph.D.
     
  • Lectures: blocked (5 May -  28 June 2011):

    First part (Bernd Fitzenberger)
    •    Thursday, 05.05.2011, 09:00-13:00, Breisacher Tor, Raum 202
    •    Thursday, 19.05.2011, 09:00-13:00, Breisacher Tor, Raum 204
    •    Monday, 30.05.2011, 09:00-13:00, Breisacher Tor, Raum 101

    Second  part (Ralf Wilke)
    •    Monday, 20.06.2011, 08:30-10:00, 10:30-12:00, HS 1019
    •    Tuesday, 21.06.2011, 08:30-10:00, HS 1019
    •    Wednesday, 22.06.2011, 08:30-10:00, HS 1021
    •    Friday, 24.06.2011, 08:30-10:00, HS 1019
    •    Monday, 27.06.2011, 08:30-10:00, HS 1019
    •    Tuesday, 28.06.2011, 08:30-10:00, HS 1019
     
  • Exercise Sessions (obligatory):

    The PC-pool exercise sessions in Topics in Microeconometrics take place in the Seminar-/Diplomandenpool room 2114a in KG2 on the first floor.

    •    Friday, 20.05.2011, 08:00-12:00, PC lab (Olga Orlanski)
    •    Thursday, 09.06.2011, 08:00-12:00, PC lab (Olga Orlanski)
    •    Wednesday, 22.06.2011, 10:30-12:00 PC lab, (Ralf Wilke)
    •    Friday, 24.06.2011, 10:30-12:00 PC lab, (Ralf Wilke)
    •    Tuesday, 28.06.2011, 10:30-12:00, PC lab (Ralf Wilke)
     
  • Credits: Lecture (2 SWS) plus exercise session (2 SWS) gives 6 credits
     
  • Language: The course is taught in English.
     
  • Participants: Approximately 30
     

  • Prerequisites: Knowledge of econometrics at the level of the courses "Einführung in die Empirische Wirtschaftsforschung" and "Mikroökonometrie/Applied Econometrics" and "Microeconometrics"

  • Grade: The grade will be based on 2 graded problem sets including empirical exercises (40%) and a written final exam (60%).

  • Final exam: tba
     

Course Description

With the increasing availability of large cross sectional data sets or even panel data sets (i.e. data with observations on a cross-section of households, firms, regions etc. possibly available over several time periods) and the increasing awareness of the necessity to control for individual heterogeneity when esti-mating economic relations, microeconometrics has flourished since quite some time. and semiparametric methods relax the functional form assump-tions needed. Evaluation of treatment effects, e.g. the effects of policy inter-ventions, has become a major focus in the applied literature. The course pro-vides an up-to-date treatment at the level of and Wooldridge's textbook on "Econometric Analysis of Cross Section and Panel Data" and Cameron/Trivedi "Microeconometrics – Methods and Applications". The course will give a rigorous introduction for regression analysis based on cross sectional data and panel data and for causal analysis. The second part of the course teaches various specialized microeconometric methods as used in current applied research practice. The focus is both on understanding the methodological concepts and on how to apply the methods discussed. Students will learn to implement the estimation methods using the econometric packages TSP and Stata.
 

Course Outline

  1. Review of the linear Regression Model for Cross – Sectional Data and basic linear panel estimation (random effects, fixed effects)
    References: WO Chapters 1–5, 10, CT Chapters 4, 21, 22, AP Chapters 3–4
  2. Topics
    2.1 Discrete Choice Models (2x2 hours): binary dependent variables (linear probability model, probit/logit), ordered models, multi-nomial models
    2.2 Non- and Semiparametric Mean Regression (2x2 hours): density estimation, regression estimation (non- and semiparametric)
    2.3 Quantile Regression (2 hours)
    2.4 Duration Models (2x2 hours): censoring, competing risks, nonparametric Estimation, proportional hazard model, quantile regression
    References: WO Chapters 14–15, AP, PU, HL
     

Main References

AP: Angrist, J. D. and J.-S. Pischke (2009): Mostly Harmless Econometrics – An Empiricist’s Companion, Princeton University Press.
CT: Cameron, A. C. and P. K. Trivedi (2005): Microeconometrics – Methods and Applications, Cambridge University Press.
GR: Greene, W. (2008): Econometric Analysis, 6th ed., International Edition, Prentice Hall.
H: Härdle, W. (1990): “Applied Nonparametric Regression”', Cambridge University Press.
HL: Härdle, W. and O. Linton (1994): “Applied Nonparametric Methods”, in: Handbook of Econometrics, Vol. 4, R. F. Engle und O. F. McFadden, (eds.), Elsevier Science.
PU: Pagan, A. and A. Ullah (1999): Nonparametric Econometrics, Cambridge University Press.
WO: Wooldridge, J. M. (2010): Econometric Analysis of Cross Section and Panel Data. Second Edition, Cambridge, MA: MIT Press (see also: http://mitpress.mit.edu/Wooldridge-EconAnalysis).

 

Further Information

Further references, particularly regarding the method of Regression Discontinuity Design and the application of the methods, will be given in the course. The basic estimation techniques will be implemented in the PC Pool using the econometric packages TSP and STATA. We have a site license for TSP (both for Windows and MAC PCs) which can be used by students. TSP International (see www.tspintl.com) provides numerous examples for using the program for advanced estimation problems. The User’s guide and the Reference Manual for TSP are available under http://www.tspintl.com/products/manuals.htm .