Problems of Applied Econometrics
This information is for the 2012/13 session.
Dr G Michaels, LRB. R438, Dr Matthew Gentry, STC.S586.
This course is optional for BSc Economics, BSc Econometrics and Mathematical Economics, BSc Economics and Economic History and BSc Social Policy and Economics. This course is also available to General Course students.
Students should have completed Microeconomic Principles I or II (or equivalent), and either Introduction to Econometrics or Principles of Econometrics.
The purpose of this course is to provide a solid grounding in recent developments in applied econometrics. A major feature of the course is the use of both analytical and computer-based (data) exercises for the classes, which will enable students to gain practical experience in analysing a wide variety of econometric problems. The topics covered in the Michaelmas term include analysis of experimental and non-experimental data, identification of average treatment effects and local average treatment effects, weak instrument problems, quantile regressions, and regression discontinuity. The Lent term will focus on topics in the analysis of panel data of both static and dynamic models, including fixed and random effects, measurement error in panel contexts, instrumental variable regression, and generalized method of moments.
Lectures EC333: 15 MT and 15 LT.
Classes EC333.A: 20 Sessional. There will be required analytical and computer-based exercises throughout the course.
2-3 problem sets, usually to include econometric questions and Stata applications. Feedback to be provided by the class teacher.
A detailed reading list will be provided at the beginning of each term of the course. In parts of the Michaelmas we will use sections from the textbook "Mostly Harmless Econometrics" by Angrist and Pischke. There is no single text for the Lent term, but useful books (somewhat more advanced than the lectures) are Hsiao, "The Analysis of Panel Data" and Wooldridge, "Econometrics".
A three-hour written examination in the ST.