Microeconometrics using Stata: Linear Models
Date: Location: Course duration: Software: Level: Delivered by: Course Code:	25-28 March 2013 Cambridge, UK 4-days Stata Intermediate Dr. Melvyn Weeks, University of Cambridge ST-129-UK

Contents

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Course overview

This course represents the first part of a two course sequence (along with Microeconometrics using Stata: Nonlinear Models) designed to introduce participants to a number of estimators and concepts that represent central aspects of microeconometrics.

Additionally, the first day of the course introduces users to Stata, data management and linear regression models. Day 1 is optional to participants, but it is strongly advised that participants with no prior Stata experience take this module.

As a guide to the level of the course, we will use Introductory Econometrics: A Modern Approach (2008) by J. Wooldridge as a point of departure.

Please find a PDF copy of the detailed Course Overview here »

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Linear Models Topics

Topics covered include the linear regression model, programme evaluation and treatment effects, instrumental variables, static and dynamic panel Data models, and Generalised Method of Moments.

Each session will be accompanied by a Stata practical which will utilise one or more applications to demonstrate the theory.

Course notes will be provided. The set of notes that will be distributed are extensive. Not all slides will be covered since some of the material is designed for more general reference purposes.

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Agenda

Please find a PDF copy of the detailed Agenda here »

Day 1

Day 1 aims to introduce users to Stata’s most popular and useful commands, data management and an introduction liner regression models, including:

• Stata Interface
• Importing Data
• Rename, Label, Drop, Re-order Variables
• Generate variables and data transformations; Advanced data transformations: egen
• If statements
• Graphs
• Summary Statistics: summarise, mean, median, standard deviation, correlation coefficient, tabulate missing values, more
• Useful Commands and Operations
• Practical Session

Day 2: Morning Session

9:30-11:15 - Session 1: Policy Evalutation

1. Causality and Inference
2. Economic Policy Evaluation
   • Treatment Effects
   • The Self-Selection Problem
   • Matching

• Readings: Woodbridge (2006): Chapter 1.

11:30-12:45 - Session 2: The Linear Regression Model

1. OLS and The Method of Moments
2. Gauss Markov Assumptions
3. Endogeneity and the Instrumental Variable Estimator

• Readings: Woodbridge (2006): Chapter 2,3.

Day 2: Afternoon Session

13:45-15:15 - Session 3: Endogeneity and Instrumental Variable Estimation

1. Conditional and Unconditional Moments
2. The OLS and the IV Estimator
3. Instruments
   • The Validity of Instruments
   • The Relevance of instruments

• Readings: Woodbridge (2006): Chapter 9, 15 and 16.
• Stata session: Internal vs External Instruments and Panel Data
• Application: Estimating the Price Elasticity of Demand for Cigarettes

15:30-17:00 - Session 4: Robust Inference

1. Overview
2. Outliers
3. Heteroscedasticity and Clustered Std Errors
   Regulating Gas Distribution with a small sample
4. Bootstrap-based inference
5. Publication Quality Tables using esttab

• Stata session: Using esttab
• Stata session: Robust inference

Day 3: Morning Session

9:30-11:15 - Session 5: Programme Evaluation and Treatment Effects

1. Overview
2. Types of Treatment Effects
3. Ignorability of Treatment
4. Endogenous Selection
5. Matching Estimators
6. The Difference-in-Difference Estimator

• Readings: Cameron and Trivedi (2005) Chapter 25.8.5 pages 893-6.

11:30-12:45 - Session 6: Applications of Treatment Models

1. Overview
2. Estimating ATE and ATET
3. Propensity Score Matching

• Stata session: Propensity Score Matching
• Application: Evaluating treatment effect of training on Earnings using Propensity Scores

Day 3: Afternoon Session

13:45-15:15 - Session 7: Linear Unobserved Effects Panel Data Models

1. Introduction to Panel Data Models
2. Fixed Effects Models
3. Random Effects
4. Hausman Tests

• Readings: Cameron and Trivedi (2005), Chapter 21.

15:30-17:00 - Session 8: Stata Session Re and Fe

1. xtref: Fixed and Random Effects Models
2. Robust Inference with Panel Data Esimators
3. Hausman Tests

• Stata session: Linear Fixed Effects Models
• Application: The Responsiveness of Labour Supply to Wages

Day 4: Morning Session

9:30-11:15 - Session 9: Generalised Method of Moments I & II

Generalised Method of Moments I: Introduction

1. Introduction
2. Optimal Weight Matrices: Some Intuition

Generalised Method of Moments II: The Linear Model

1. The Method of Moments
2. OLS and IV Moment Estimators

• Readings: Cameron and Trivedi (2005), Chapter 6.

11:30-12:45 - Session 10: Generalised Method of Moments III: Testing

1. Introduction
2. Overidentification Tests: The Validity of Moment Restrictions
3. Identification Tests: The Relevance of Moments
4. Weak Identification
5. IV/2SLS or GMM

• Readings: Cameron and Trivedi (2005), Chapter 6.
• Stata session: Estimation using IV, 2LS and GMM
• Application: Isolating the effect of Education on wages from ability

Day 4: Afternoon Session

13:45-15:15 - Session 11: Dynamic Panel Data Models

1. Weak versus Strict Exogeneity
2. LSDV Bias in Dynamic Models
3. The Difference GMM Estimator
4. The System GMM Estimator
5. Pooled Mean Group Estimators

• Readings: Cameron and Trivedi (2005), Chapter 22.

15:30-17:00 - Session 12: Dynamic Panel Data Models - Applications

• Stata session: Dynamic Panel Data Models
• Application: Labour Demand in US Manufacturing, 1991-1996

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Who should attend

This course is aimed at economists and applied econometricians who deal with different types of data and projects in their day-to-day work. Professionals who are interested to learn different techniques and raise their awareness of possible methodologies that can be used in their current or future projects will greatly benefit from this course.

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Prerequisites

Basic knowledge of statistics and regression analysis. Previous work experience with econometrics is desirable. No experience with Stata is required, but we strongly recommend participants attend day 1, an introduction to Stata, to take full advantage of the course.

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Prices

Cost (per participant):

Commercial / Government (all 4-days)	£1800.00
Commercial / Government (3-days only)	£1350.00
Academics / Non-profit Research (all 4-days)	£1400.00
Academics / Non-profit Research (3-days only)	£1050.00
Student registrations (all 4-days)	£600.00
Student registrations (3-days only)	£450.00

• A 20% discount is applied to early registrations (registrations made more than 6 weeks in advance of the course start date)
• All costs exclude local taxes, where applicable
• Late Registrations: Registrations made within 6-weeks before the start of the course
• Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrollment)
• Additional discounts are available for multiple registrations
• Cost includes course materials, lunch, refreshments and the use of computers (please advise us if you have any dietary requirements)

The number of delegates is restricted. Please register early to guarantee your place.

If you need assistance in locating hotel accommodation in the region, please notify us at at the time of booking.

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Registration

We welcome delegates to find out more and register for the course by contacting our sales and training team either by email: training@timberlake.co.uk, phone: +44 (0) 20 8697 3377 or by filling out an online registration form.

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Terms & Conditions

Payment of course fees required prior to the course start date.

Registration closes 5-calendar days prior to the start of the course.

• 100% fee returned for cancellations made over 28-calendar days prior to start of the course
• 50% fee returned for cancellations made 14-calendar days prior to the start of the course
• No fee returned for cancellations made less than 14-calendar days prior to the start of the course

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Principal texts

The following is a list of the principal texts used in the course. For a full list of references, click here.

• Wooldridge, J. (2006) Introductory Econometrics: A Modern Approach, 3rd edition. International Student Edition.
• A. C. Cameron and P. K. Trivedi (2005) Microeconometrics: Methods and Applications. Cambridge University Press.
• A. C. Cameron and P. K. Trivedi (2009) Microeconometrics Using Stata. Stata Press.
• Wooldridge, J. (2001). Econometric Analysis of Cross-Section and Panel Data. MIT.

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Additional material

Click here to download a copy of the Course Outline, that also includes additional material not covered in the course and references for each section.

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