Search for contacts, projects,
courses and publications

Microeconometrics II

Description

Aim of the course

The second part of Microeconometrics will first address in a more formal way the linear model with the help of matrix notation. It then will build on asymptotic theory to deal with endogeneity and Instrumental Variables estimation and to illustrate the non-linear models suited for the study of limited dependent variables. Models for dichotomous dependent variables will be analysed in depth so that they will provide a basis for other models, such as those for polychotomous, censored, and truncated dependent variables.

References

[FP] Franses P.H. and R. Paap, Quantitative Models in Marketing Research, Cambridge: Cambridge University Press, 2001, chapters 3-7.
[MV] Verbeek M., A Guide to Modern Econometrics, John Wiley and Sons, 4th edition, 2012, chapters 2-5.
[W2] Wooldridge J.M., Econometric Analysis of Cross Section and Panel Data, The MIT press, 2nd edition, 2012, chapters 3-5, 13, 14-17, 19

Syllabus

  • Basic asymptotic theory [W2] pp. 37-47.
  • The linear model in matrix notation [MV] pp. 6-53, [W2] pp. 53-114.
  • Endogeneity and IV/GMM estimation [MV] pp. 137-177, [W2] pp. 89-114.
  • Maximum likelihood estimation and inference [MV] pp. 179-195, [W2] pp. 469-482.
  • Models for dichotomous dependent variables [FP] pp. 49-70, [W2] pp. 561-582.
  • Models for unordered polychotomous dependent variables [FP] pp. 76-107, [W2] pp. 643-651.
  • Models for ordered polychotomous dependent variables (sketch) [FP] pp. 112-129, [W2] pp. 655-658.
  • Models for truncated and censored variables [FP] pp. 133-150, [W2] pp. 667-680.
  • Models for endogenous selection [MV] pp. 257-260, [W2] pp. 777-821.

Schedule

Theoretical classes will be complemented by computer lab classes and tutorials.

Office hours

Thursday, 2.00pm - 3.30pm, IdEP or by appointment.

Software

The recommended statistical package is STATA.

Exam

Written exam in the classroom (80%), empirical project (15%) and exercises (5%).

People

 

Benfratello L.

Course director

Additional information

Semester
Fall
Academic year
2019-2020
ECTS
3
Language
English
Education
Master of Science in Economics, Core course, Fundamental knowledges, 1st year