Econometrics

Econometrics, Module II (6 cfu) – 2019-2020

Module description

The second module of the Econometrics course is an intermediate level course in the area of  Applied Econometrics. Topics covered in the course include the specification and estimation of models pivoting on individual agents (firm, person, etc.), as well as inference within these models. The main focus is estimation of models involving limited dependent variables, but students are also introduced to panel data techniques. The module begins in fact with a basic exposition of panel data analysis covering ‘fixed’ and ‘random’ effects. It proceeds by reviewing the application of the linear probability model to the estimation of binary dependent variables.  The alternative solutions offered by probit and logit models are then examined. Multiple choice models follow, specifically the ordered probit model and the multinomial logit model. The final part of the course addresses the estimation of limited dependent variables using tobit and sample selection models. For each of these topics, the models and concepts presented in the lecture are operationalized in lab classes using the STATA software.

Lectures schedule

Introduction to Panel data
Panel data: pooled and within-group estimation
LSDV model, first differencing and the F test
Stata Estimation of pooled and fixed Effects Models
Random effects model
STATA estimation of random effects model
Haussman and BP specification tests
Diff-in-Diff model and Stata Estimation
Discrete choice models:  linear probability model and logit model
Maximum likelihood estimation (logit example); probit model
STATA Estimation of LMP, Logit, Probit Models
Ordered choice models: ordered probit
STATA estimation of ordered choice models
Limited dependent variables
Tobit model
STATA estimation of Tobit model
Sample selection model (‘Heckman Model’)
STATA estimation of Heckman model
Treatment effects: propensity score
 STATA estimation of treatment effects

 

TEXTBOOKS

  • Wooldrige J. M. Introductory Econometrics,  Thompson, Southwestern : chapters 13 and 14
  • Scott-Long J. (1997) Regression Models for Categorical and Limited Dependent Variables, Sage Publications: chapters
  • Handouts will be distributed on selected topics if needed