Microeconometrics

Recommended Prerequisites

Not applicable.

Teaching Methods

The teaching methodologies are mixed, being composed of passive and active methods, depending on the topic to teach and the goal to achieve. Presenting the support of conceptual topics resorts to expository teaching methodologies, wherever possible using illustrative examples to cement the learning.
Other applied topics resort to active teaching methodologies, in which the student participates in solving the problems.

Learning Outcomes

The main purpose of the course is to present the students some advanced econometric methodologies for analyzing the behavior economic agents, at an individual level. To achieve this aim we combine economic models, econometric tools and data analysis techniques. The course will have a strong practical component, however, without affecting the conceptual consistency of the topics covered. At the end of the course students should be perfectly proficient in the use of STATA, at the programming level, in all stages of developing a microeconometric study.

Work Placement(s)

No

Syllabus

Introduction: probabilistic and regression models models; statistical inference. Estimation methods and tests: maximum likelihood, least squares, instrumental variables, GMM. Models for limited dependent variables: discrete choice models, count data, censored data; endogenous selection. Panel data: a model of individual effects, random effects and fixed effects.
Additional topics: bootstrap, quantile regression

Assessment Methods

Evaluation
Exam: 50.0%
Research work: 50.0%

Bibliography

Cameron, A. C. and P. K. Trivedi (2005). Microeconometrics : methods and applications. New York, NY, Cambridge University Press.
Cameron, A. C. and P. K. Trivedi (2009). Microeconometrics Using Stata, Stata Press.
Wooldridge, J. M. (2002). Econometric analysis of cross section and panel data. Cambridge, Mass., MIT Press.
Cameron, A. C. and P. K. Trivedi (1998). Regression analysis of count data. Cambridge, UK ; New York, NY, USA, Cambridge University Press.
Baum, C. F. (2009). "An introduction to Stata programming." Stata Press books.