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Microeconometrics

  • Teacher(s):   J.Maurer  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2020-2021, 4.0h. course (weekly average)
  •  sessions
  • Related programme: Master of Science (MSc) in Economics
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Objectives

In this course, students will learn how to develop, estimate, interpret and present results from microeconometric models for so-called limited dependent variables. Limited dependent variable models are econometric models for outcomes that do not have a simple continuous distribution but whose distribution is "restricted in some important way". Limited dependent variables occur frequently in microdata analyses with models for binary outcomes, ordered outcomes, multinomial outcomes, censored outcomes, truncated outcomes and count data outcomes being some examples.

Econometric methods for analyzing limited dependent variable models will be discussed based on conceptual and theoretical considerations as well as via illustrative examples based on actual data from the US Health and Retirement Study (https://hrs.isr.umich.edu/about). Students will learn how to apply these methods based on practical exercises and problem sets.

Students will also practice how to develop, execute and present the results from an empirical project by writing on a short scientific paper on a topic of their choice based on comprehensive longitudinal microdata on older Americans from the US Health and Retirement Study.

Contents

The course will cover the following topics:

  1. Introduction and general approaches to analyzing micro data
  2. Maximum likelihood estimation
  3. Binary outcomes
  4. Ordered outcomes
  5. Multinomial outcomes
  6. Corner solutions and censored outcomes
  7. Sample selection and truncated outcomes
  8. Count data models

The course consists of lectures and exercise classes. Empirical illustrations and examples discussed in class will be based on the software STATA.

References

The main references for the course are the lecture slides. Additional useful material on the topics discussed in class can be found in the following textbooks:

Wooldridge, J.M., 2010. Econometric analysis of cross section and panel data. MIT press.

Cameron, A.C. and Trivedi, P.K., 2005. Microeconometrics: methods and applications. Cambridge university press.

Cameron, A.C. and Trivedi, P.K., 2009. Microeconometrics using stata (Vol. 5, p. 706). College Station, TX: Stata press.

Pre-requisites

Solid background in basic econometrics.

Evaluation

First attempt

Exam:
Without exam (cf. terms)  
Evaluation:

The final grade is a weighed average of the grades obtained for a short scientific paper of no more than 1500 words (80%) and a presentation of the paper in class (20%).

Retake

Exam:
Without exam (cf. terms)  
Evaluation:

The final grade is a weighed average of the grades obtained for a revised version of the short scientific paper of no more than 1500 words (80%) and a presentation of the paper (20%).



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