20295 - MICROECONOMETRICS
CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Department of Economics
Course taught in English
DIEGO JAVIER UBFAL
Course Objectives
This course covers both theoretical and empirical developments on Microeconometrics, with a focus on program evaluation. The goal is to provide students with the basic skills to perform rigorous estimation of the impact of governmental/aid agencies programs, to test the implications or the assumptions of microeconomic models and to understand empirical applications in development, labor, health, education, among others fields.
The course has mainly an applied focus, but theoretical material is broadly covered.
Methods and econometric theory are discussed during lecture; each method is motivated by a series of empirical papers. The problem sets focus on applying the methods to real world data.
Course Content Summary
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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.
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The main methodological part is devoted to estimation of causal relationships, including experimental and non-experimental techniques (matching, instrumental variables, regression discontinuity and panel data).
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If time permits, an introduction to structural estimation using maximum likelihood methods are presented.
Detailed Description of Assessment Methods
Problem sets (40%).
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One problem set per main topic. Approximately 5.
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All of them must be submitted, the lowest grade is dropped.
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Can be done in groups, but have to be submitted individually.
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Theoretical questions similar to the ones in final exam.
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Applied questions to solve in STATA or similar computer software.
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One might include a referee report.
Presentation (10%).
One presentation in groups of 3/5 students. Students can choose one of the six applied sections (Matching, IV, RDD, DID, Standard Errors, Maximum Likelihood) to present a paper of their choice (coordinated with me) that uses the discussed methodology.
Final Exam (50%).
Textbooks
- J. ANGRIST, J. PISCHKE, Mostly Harmless Econometrics, Princeton University Press [AP], 2009.
- C.A. CAMERON, K. PRAVIN, Microeconometrics. Methods and Applications, Cambridge University Press, New York, [CT], Trivedi, 2005.
- C.A. CAMERON, K. PRAVIN, Microeconometrics Using Stata, Stata Press, Trivedi, 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 or working papers are provided (see below). Recommended readings are announced before each class.
Prerequisites
A basic knowledge of econometrics is strongly recommended. Basic knowledge on the use of STATA or similar computer software is also recommended.