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Cambridge UK » Mar 2015 » Stata » Microeconomics » Policy Analysis » Bookmark and Share

Microeconometrics Using Stata: Linear Models (II)

Delivered by:
Course Code:
Wednesday, 25 - Friday, 27 March 2015
Cambridge, UK
Microeconomics / Policy Analysis
Dr. Melvyn Weeks, University of Cambridge (View profile)
  Stata  Stata 13    Timberlake Consultants | Statistics | Econometrics | Forecasting
Overview Agenda Prerequisites Testimonials Prices Registration Terms & Conditions  


This course, taking place in Cambridge, UK between 25-27 March 2015, 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. The course will be delivered interactively using the internationally used software package Stata 13.

As a guide to the level of the course, we will use Introductory Econometrics: A Modern Approach (2006) by J. Wooldridge as a point of departure.

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.

Additionally, new and beginner users of Stata can join a pre-course, 1-day session: Stata Fundamentals, designed to introduce users to Stata 13, data management and linear regression models. This 1-day course is optional to delegates, but it is strongly advised that participants with no prior Stata experience take this module.

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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Pre-course (Stata Fundamentals):

Stata Fundamentals provides a flexible and comprehensive introduction to Stata, the powerful, sophisticated and constantly evolving statistical software. Taking a “learning-by-doing” approach, it aims to turn novice users into confident ones employing plenty of examples and a constant stream of challenging exercises. Given Stata’s scope -- there are thousands of available commands -- the course concentrates on understanding basic syntax and deciphering Stata’s extensive and coherent (yet underrated) help files and documentation. Participants leave with the know-how and courage to independently solve their own statistical puzzles.

Since no two students have the same experience and individuals learn different subjects at different speeds, the course is highly flexible: the agenda emerges dynamically and depends on the group’s prior background and knowledge of Stata. By the end of the course, however, all participants will feel comfortable undertaking the following tasks:

  1. Opening, browsing, saving and importing datasets;
  2. Renaming, labelling, ordering and creating data;
  3. Summarising data;
  4. Creating basic tables and graphs;
  5. Automating tasks with do-files.

Having mastered the basics (and time permitting), the course then turns to more sophisticated topics. To ensure they match actual need, participants are encouraged to discuss their own real world data issues. Remaining time is spent introducing commands and concepts which resolve these problems, e.g., advanced data transformations, creating publication quality tables and basic looping structures.

For more information about the Stata Fundamentals course, please click here.

Learning Ratio

65% theory and 35% practical – Stata do files with codes for econometric analysis are provided for delegates.

Daily Agenda

Day 1

Session 1: Policy Evaluation

  1. Causality and Inference
  2. Economic Policy Evaluation
    • Treatment Effects
    • The Self-Selection Problem
    • Matching
  • Readings: Wooldridge (2006): Chapter 1.

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: Wooldridge (2006): Chapter 2,3.

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: Wooldridge (2006): Chapter 9, 15 and 16.

Session 4: Applications of IV Estimators

  1. Internal vs External Instruments and Panel Data
  2. Ivreg and ivreg2
  • Stata Session: Estimating the Price Elasticity of Demand for Cigarettes

Day 2

Session 5: Programme Evaluation and Treatment Effects

  1. Overview
  2. Types of Treatment Effects
  3. The Difference-in-Difference Estimator
  4. Selection on Unobservables: ATE and LATE
  • Readings: Cameron and Trivedi (2005) Chapter 25.8.5 pages 893-6.

Session 6: Applications of Treatment Models

  1. Overview
  2. The Treatment Effect of Training on Earnings
  3. Propensity Score Matching
  • Stata session: Propensity Score Matching

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.

Session 8: Stata Session Re and Fe

  1. xtreg: Fixed and Random Effects Models
  2. Robust Inference with Panel Data Estimators
  3. Hausman Tests
  • Readings: Cameron and Trivedi (2005), Chapter 21.

Day 3

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.

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

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.

Session 12: Dynamic Panel Data Models - Applications

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

Pre-course Reading

  • Wooldridge, J., (2006). Introductory Econometrics: A Modern Approach, 3rd Edition, International Student Edition.

Principal Texts

The following is a list of the principal texts used in the course:

  • Wooldridge, J., (2006). Introductory Econometrics: A Modern Approach, 3rd Edition, International Student Edition.
  • Cameron, A. C., and Trivedi, P. K., (2005). Microeconometrics: Methods and Applications, Cambridge University Press.
  • Cameron, A. C., and Trivedi, P. K., (2010). Microeconometrics using Stata, Revised Edition, Stata Press.
    (Available in the Timberlake Bookshop)
  • Wooldridge, J., (2001). Econometric Analysis of Cross-Section and Panel Data. MIT.


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A basic knowledge of statistics and regression analysis is required. Analytical thinking is key for this course as its delivery will push you to think behind the intuition of these econometric concepts. Familiarity with Stata software is advisable. It is suggested to attend the Stata Fundamentals course on 24 March 2015.


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Feedback & Testimonials

Delegate feedback for Microeconometrics using Stata: Linear Models is made available through our training associate profiles. Click here to view feedback from previous course sessions with Dr. Melvyn Weeks.


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Cost (per participant):

Registration type Price (inc. VAT)
Commercial / Government (including Stata Fundamentals course) £2,040.00 Purchase Training Button
Commercial / Government (Microeconometrics only) £1,620.00 Purchase Training Button
Academic / Non-profit research (including pre-course) £1,560.00 Purchase Training Button
Academic / Non-profit research (Microeconometrics only) £1,260.00 Purchase Training Button
Student registrations (including pre-course) £720.00 Purchase Training Button
Student registrations (Microeconometrics only) £540.00 Purchase Training Button
Click here for Pricing FAQs »
  • 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 enrolment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials, lunch and refreshments.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course. (Alternatively, we can also provide laptops free of charge to attending delegates).
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.

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


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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

For full Training Courses Terms & Conditions please click here.

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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Last modified: 2014-12-16 16:10:39
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