AØKA08084U Advanced Microeconometrics

Volume 2013/2014
Education
MSc in Economics
Content
The overall purpose of the course is to provide a fundamental understanding of microeconometric methods and their application. These methods consist of behavioral models and statistical techniques to estimate these models.


The course will cover the following methods of estimation:
Linear panel data models (Chapter 10-11)
Non-linear estimation methods (Chapter 12-14)

Non-parametric estimation methods (Lecture notes)
Discrete response models (Chapter 15-16)
Corner solution models (Chapter 17)
Censored data and sample selection models (Chapter 19)
Treatment effects (Chapter 21)


The course consists of a series of lectures and exercise classes (7.5 ETCS credits) and an optional term paper (giving additional 5 ETCS credits). The lectures focus on theory whereas the class provides a hand on knowledge of estimation of the models. Ideally, the whole process of investigating an economic question empirically is learned by writing a term paper.

Learning Outcome
Through their completion of the course students should acquire the tools necessary to understand papers and undertake empirical analysis on microeconometric topics. The acquired skills in microeconometric theory and practice provide a strong background that enable students to do empirical analyses at a high level suitable for the master thesis, but also relevant for answering empirical economic questions that could be encountered in a government agency or in the private sector.


A) The purpose of the lectures and the exercise classes is that the student should

  • acquire knowledge about estimation methods
  • be able to review linear cross section and panel data models, and nonlinear models for discrete dependent variables, censored dependent variables and sample selection.
  • be able to give an account of how these techniques are applied to quantify effects of public policies.
  • be able to give an account of how such models are applied appropriately within different sampling schemes.

B) The purpose of the optional term paper is to make students
pose a focused economic research question (inspired, for example, by an already published paper)

  • find data that can be used to answer the question
  • estimate relevant models and test hypotheses using methods discussed in the course.
  • program the estimators applied in the paper using MATLAB
  • investigate the properties of the estimators and tests using Monte Carlo techniques
  • present the analysis in a short and focused term paper.

To obtain the maximum grade in the part of the course covered by lectures and exercises, students must excel in all of the areas listed under A) above.
For students who choose to write a term paper, student shall must also demonstrate that they can carry out an empirical investigation with special emphasis on microeconometric issues. To obtain the maximum grade, the term paper should excel in all areas listed under B) above. Note however, if the question has been investigated in a paper, then the student need to extend the analysis to obtain a high mark. For example they will need to provide a useful, correct and significant extension to the paper. This could include, for example, specification tests that were not used by the authors, better econometric techniques, a re-specification of the model that changes one of the main conclusions or collecting supplementary or alternative data.

Literature
Syllabus
Jeffrey Wooldridge (2010), "Econometric Analysis of Cross Section and Panel Data", Second Edition, MIT Press. chapters 10-17, 19 and 21.
Pre-requisites are Quantitative Methods 1-3 (Econometrics A-C)
4 hours of lectures and 2 hours of classes per week for 14 weeks.
The course consists of 42 hours of lectures and 24 hours of computer exercises
  • Category
  • Hours
  • Class Exercises
  • 28
  • Exam
  • 1
  • Lectures
  • 56
  • Preparation
  • 121
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination under invigilation
The assessment is based on an oral exam.
Aid
Written aids allowed
Marking scale
7-point grading scale
Censorship form
External censorship
100 % censurship
Exam period
Will be updated before the start of the semester
Re-exam
Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Credit
12,5 ECTS
Type of assessment
Oral examination under invigilation
Written assignment
Students can choose to hand in a term paper at the end of the semester to achieve an extra 5 ECTS.
Students who choose to hand in a term paper to achieve 12.5 ECTS will be assessed based both on the paper and their oral exam which will include a defense of the term paper. The defense and paper combined constitute approximately 50 % of the final grade. Students can choose to answer in English or in Danish, but the same language must be used for the exam and for the paper.
Aid
All aids allowed but only written aids is allowed to the oral exam
Marking scale
7-point grading scale
Censorship form
External censorship
100%
Exam period
Will be updated before the start of the semester
Re-exam
Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.