Objectif du cours
This course introduces the students to advanced econometric methods for the analysis of cross-sectional and panel micro-data. The course explores different techniques that are used in empirical research in economics, as well as policy evaluation tools.
The objective of this course is to first gain a good understanding of the theory behind the models discussed, and then a have broad perspective of how these models are used in practice.
This course is structured in two blocks:
- PART 1: PANEL DATA
- Pooled models
- Random effects models
- Fixed effects models
- Differences-in-differences Estimator
- Dynamic models
- PART 2: DICRETE-TIME MODELS
- Maximum Likelihood Estimation: A reminder
- Binary models
- Multinomial models
- Sample selection models
Students should be familiar with the most common statistical methods in econometrics, e.g. linear estimators such as OLS and GLS.
Lecturer : Lavinia Piemontese and Jean-Paul Renne.
Students will be evaluated on the basis of paper presentations (30%) and a final exam (70%)
Cameron and Trivedi, (2005) Microeconometrics: Methods and Applications, Cambridge University Press.
Angrist and Pischke, (2008) Mostly Harmless econometrics: An Empiricist’s Companion, Princeton University Press
Papers that will be discussed in class (subject to change):
Arellano and Bond (1991), Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, 58, 277-297.
Ashenfelter and Krueger (1994), Estimates of the Economic Return to Schooling from a New Sample of Twins. The American Economic Review, vol. 84, no. 5, 1994, pp. 1157–1173.
Card and Krueger (1994), Minimum Wages and Employment: A Case Study of the Fast-Food Industry in New Jersey and Pennsylvania, American Economic Review, vol. 84, issue 4, 772-93.
Freeman (1984), Longitudinal Analyses of the Effects of Trade Unions. Journal of Labor Economics Vol. 2, No. 1 (Jan., 1984), pp. 1-26.
Guryan (2004), Desegregation and Black Dropout Rates, American Economic Review, 94 (4): 919-943.
Heckman, J. J. (1979), Sample Selection as a Specification Error, Econometrica, 47, 153-161.
Herriges, J. A., and C. L. Kling (1999), Nonlinear Income Effects in Random Utility Models, Review of Economics and Statistics, 81, 62-72.
Pischke (2007), The Impact of Length of the School Year on Student Performance and Earnings: Evidence From the German Short School Years, The Economic Journal, 117: 1216-1242.