Problems of Applied Econometrics
This information is for the 2022/23 session.
Prof Mark Schankerman 32L.4.30
Dr Rachael Meager 32L.3.13
This course is available on the BSc in Econometrics and Mathematical Economics, BSc in Economics, BSc in Economics and Economic History, BSc in Mathematics and Economics and BSc in Philosophy, Politics and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit. This course is not available to General Course students.
Students must have completed Microeconomic Principles I (EC201) or Microeconomic Principles II (EC202) or Microeconomics II (EC2A1) or Microeconomics II (EC2A3), or equivalent. Also, students must have completed introduction to Econometrics (EC220) or Principles of Econometrics (EC221) or Econometrics II (EC2C1) or Econometrics I (EC2C3) in combination with Econometrics II (EC2C4), or equivalent. Students who have completed EC220 or EC2C3 in combination with EC2C4, rather than EC221 or EC2C1, should refer to Dr Meager for advice before starting the course regarding additional preparatory work for Lent term course material.
The purpose of this course is to provide a solid grounding in recent developments in applied micro-econometrics. A major feature of the course is the use of both analytical and computer-based (data) exercises for the classes, as well as reading applied economic papers from the journals which apply the techniques being taught. This mix 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 matching methods, identification of average, local average and marginal treatment effects using instrumental variables, weak instrument problems, regression discontinuity and randomised control experiments. The Lent term will focus on topics in the analysis of cross section and panel data with static and dynamic models, including fixed and random effects, nonlinear models, issues of measurement error, selection and attrition in panel contexts, binary choice models, maximum likelihood estimation, and generalized method of moments.
15 hours of lectures and 10 hours of classes in the MT. 15 hours of lectures and 9 hours of classes in the LT. 1 hour of classes in the ST.
There will be a reading week in Week 6 of LT (no lectures or classes that week).
This course is delivered through a combination of classes and lectures totalling a minimum of 50 hours across Michaelmas Term and Lent Term.
Michaelmas term: Required weekly “referee reports” (3-4 pages) on assigned journal articles, with two graded. Feedback to be provided by the class teacher. Lent term: Two required problem sets, usually to include econometric questions and 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 include “A Guide to Modern Econometrics” by Marno Verbeek, “Introduction to Econometrics” By Stock and Watson (somewhat less advanced than the lectures) and “Econometric Analyses of Cross Section and Panel Data” by Wooldridge (somewhat more advanced than the lectures).
Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.
Total students 2021/22: 39
Average class size 2021/22: 20
Capped 2021/22: No
Lecture capture used 2021/22: Yes (MT)
Value: One Unit
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Personal development skills
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