Microeconometrics using Stata: Nonlinear Models
Date: Location: Course duration: Software: Level: Delivered by: Course Code:	17-20 September 2013 Cambridge, UK 4-days Stata Intermediate Dr. Melvyn Weeks, University of Cambridge ST-130-UK

Contents

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Course overview

This course represents the second part of a two course sequence (along with Microeconometrics using Stata: Linear 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. In addition, the course will also make extensive use of a number of graduate textbooks such as Microeconometrics: Methods and Applications (2005) by C. Cameron and P. K. Trivedi.

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Nonlinear Models Topics

Topics covered include Random Utility Models, Wllingness-To-Pay Models, Binary and Multinomial Choice, Dynamic Binary Choice Models, and Count Data.

Participants that attend this course will benefit from having already taken the course on linear models. However, the material is structured such that this the course may also be taken as a stand-alone set of lectures.

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

Day 1

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

Day 2: Morning Session

9:30-11:00 - Session 1: Nonlinear Regression

1. Nonlinearity
2. M Estimators
3. The Nonlinear regression model
4. Generalized Linear Models (GLM)
5. GLM versus GMM

• Stata Session: Nonlinear regression and the Poisson model
• Application: Health and count processes

11:15-12:45 - Session 2: Discrete Choice I - Binary Choice

1. Random Utility Models
2. Binary Choice Models
3. The Probit and Logit Models
4. Partial Effects and Average Partial Effects

• Stata session: Binary Choice Models and Partial Effects
• Application 1: Do Workplace Smoking Bans Reduce Smoking?
• Application 2: Children and Their Parents Labor Supply

Day 2: Afternoon Session

13:45-15:15 - Session 3: Discrete Choice I - Endogeneity in Binary Choice

1. Endogeneity in Nonlinear Models: Whats wrong with Linear Estimators?
2. Bivariate Probit Models
3. Partial Effects and Average Partial Effects

• Stata session: Binary Choice Models and Partial Effects
• Application 1: Do Workplace Smoking Bans Reduce Smoking?
• Application 2: Children and Their Parents Labor Supply

15:30-17:00 - Session 4: Discrete Choice II: Multinomial Choice Models

1. Theoretical Underpinnings of Discrete Choice Models
2. The Specification of a Random Utility Model
3. Indentification
4. The Logit Model
5. Independence of Irrelevant Alternatives
6. Endogeneity and Discrete Choice

• Readings: Cameron and Trivedi (2005). Chapter 15.1-15.8

Day 3: Morning Session

9:30-11:00 - Session 5: Discrete Choice II:

Applications of Multinomial Choice Models

1. Discrete Choice of Labour Supply
2. Choice Models of Travel Demand
3. Ignorability of Treatment
4. Choice Models of Electricity Supplier

• Stata session: Conditional and Multinomial Logit Models

11:15-12:45 - Session 6: Discrete Choice III - The Mixed Logit Model

1. The Mixed Logit Model
2. Error and Random Coecient Models
3. Towards Flexible Substitution Patterns

• Readings: Cameron and Trivedi (2005). Chapter 15

Day 3: Afternoon Session

13:45-15:15 - Session 7: Willingness To Pay

1. Stated and Revealed Preferences (Eliciting Preferences)
2. Willingness To Pay in Choice Models
3. Willingness To Pay in Regulated Markets
4. Models in Preference and WTP Space

• Readings: Cameron and Trivedi (2005). Chapter 15.4-15.5.
• Stata session: Mixed Generalised Multinomial Logit Models
• Application: Choice of Electricity Supplier

15:30-17:00 - Session 8: Dynamic Binary Choice

1. Dynamic Nonlinear Unobserved Effects Models
2. Fixed versus Random Effects Models
3. Dynamic Correlated Effects Probit Models

• Readings Cameron and Trivedi (2005). Chapter 23.

Day 4: Morning Session

9:150-11:00 - Session 9: Applications of Dynamic Binary Choice Models

1. Children and Labour Supply
2. Constructing Average Partial Effects
3. Endogeneity problem in Dynamic Panels: Linear versus Nonlinear Estimators

• Stata session: Nonlinear Static and Dynamic Panel Data Estimators
• Application: Children and Their Parents Labour Supply

11:30-12:45 - Session 10: Count Data and Related Models

1. Introduction
2. Count Modelling and Moment Estimation
3. Poisson Regression

• Readings: Cameron and Trivedi (2005). Chapter 20.
• Stata session: Poisson Regression and Quasi Maximum Likelihood Estimator

Day 4: Afternoon Session

13:45-15:15 - Session 11: Count Data and Related Models Part II

1. Maximum Likelihood and Quasi Maximum Likelihood
2. Mixture Models: Zero-Inflated and Negative Binomial Extensions
3. Generalised Method of Moments for Nonlinear Models
4. The System GMM Estimator
5. Pooled Mean Group Estimators

• Stata Session: Zero-In ated Models and GMM Modelling
• Application: The Number of Children Ever Born To a Woman

15:30-17:00 - Session 12: Summary and Questions

1. Overview
2. Further Topics

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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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