Microeconometrics II

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, 4^th edition, 2012, chapters 2-5.
[W2] Wooldridge J.M., Econometric Analysis of Cross Section and Panel Data, The MIT press, 2^nd 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%).