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Master Class in Econometrics - Cross-Section and Panel Data Methods using Stata

  • Location: Cambridge
  • Duration: 2 days (19th April 2017 - 20th April 2017)
  • Software: Stata
  • Level: Intermediate
  • Delivered By: Dr. Melvyn Weeks (University of Cambridge)
  • Topic: Econometrics, Microeconomics, Regression analysis
Master Class in Econometrics - Cross-Section and Panel Data Methods using Stata

Course Overview

This course will introduce participants to a number of estimators and concepts that represent central aspects of microeconometrics.

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

Topics covered include:

  • Static and dynamic panel Data models,
  • The linear regression model,
  • Programme evaluation and treatment effects,
  • Instrumental variable estimators.

Practical sessions using Stata will be integral to the course. We utilise one or more application to demonstrate the theory.

Course Agenda

Day 1

Session 1: Policy Evaluation

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

Readings - Wooldridge (2006): Chapter 1.

Session 2: The Linear Regression Model

  • OLS and The Method of Moments
  • Gauss Markov Assumptions
  • Endogeneity and the Instrumental Variable Estimator

Readings - Wooldridge (2006): Chapter 2, 3.

Session 3: Endogeneity and Instrumental Variable Estimation

  • Conditional and Unconditional Moments
  • The OLS and the IV Estimator
  • Instruments
    • The Validity of Instruments
    • The Relevance of instruments

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

Session 4: Applications of IV Estimators

  • Internal vs External Instruments and Panel Data
  • ivreg and ivreg2

Stata Practical Session

  • Application Estimating the Price Elasticity of Demand for Cigarettes

Day 2

Session 5: Programme Evaluation and Treatment Effects

  • Overview
  • Types of Treatment Effects
  • The Difference-in-Difference Estimator
  • Selection on Unobservables: ATE and LATE

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

Session 6: Applications of Treatment Models

  • Overview
  • The Treatment effect of Training on Earnings
  • Propensity Score Matching

Stata Practical Session: Propensity Score Matching

Session 7: Linear Unobserved Effects Panel Data Models

  • Introduction to Panel Data Models
  • Fixed Effects Models
  • Random Effects
  • Hausman Tests
  • Dynamic Panels and the First Difference GMM Estimator

Readings - Cameron and Trivedi (2005), Chapter 21

Session 8: Stata Session, Fixed and Random Effects

  • xtreg: Fixed and Random Effects Models
  • Robust Inference with Panel Data Estimators
  • Hausman Tests
  • Dynamic Panel Data Models

Stata Practical Session - Linear Fixed Effects Models

  • Application The Responsiveness of Labour Supply to Wages
  • Labor Demand in US Manufacturing, 1991-1996

Prerequisites

  • A basic knowledge of statistics and econometrics is assumed.
  • A working knowledge of Stata is assumed.

Terms & Conditions

  • 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.
  • Attendees 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 for an additional cost of £12.00 per day.
  • If you need assistance in locating hotel accommodation in the region, please notify us at the time of booking.
  • 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.

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

  •  CommercialAcademicStudent
    2-days (19/04/2017 - 20/04/2017)

All prices exclude VAT or local taxes where applicable.

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