Dr. Helmut Farbmacher
University of Mannheim

University of Mannheim; Spring Term 2018

Topics in Empirical Economics

Lecture and class


  • Lecture 3 and 4 give you a short introduction to weak instruments. It's really helpful to read the paper we are going to discuss on Thursday. The paper can be downloaded here. It's also helpful to have a quick look at Angrist and Krueger (1991).
  • Next week (March, 22) we will talk about the following paper: Buckles and Hungerman

Lecture slides and lecture notes (PDF)

  • Syllabus and References
  • Lecture 1
  • Lecture 2
  • Lecture 3
  • Lecture 4
  • Lecture 6
  • Lecture 7
  • Stata do-files and datasets can be downloaded here:

  • Class 1: Problem set
  • Class 1 OLS: do-file
  • Class 1 MCsim: do-file
  • Class 1 OLS: dataset
  • Class 1 IV: do-file
  • Class 1 IV: dataset
  • Class 2a GMM: do-file
  • Class 2b Weak IVs: do-file
  • Class 3 Penalized regressions: do-file
  • Description

    The course will cover fundamental methods for microeconomic data (with focus on linear models), including instrumental variables estimation, maximum likelihood and generalized method-of-moments estimation. Both theory and applications will be included in the course. The target audience are Master students. The goal of this course is to give a solid introduction to microeconometric methods. The students should be enabled to understand basic concepts in microeconometrics and to utilize recent results for their own applied work.
    Grading is based on presentation (40%) and term paper (60%) (9 ECTS points).

    Lecture Thursday 13.45-15.15, Room 002, L9, 1-2, first lecture 15th February 2018

    Classes Thursday 17.15-18.45, P158, L7, 3-5, every week, first session 22nd February 2018. The exercise session starts in the second week.

    Outline of the course

  • Review of basic concepts of statistics and probability theory
  • Review of basic concepts of regression analysis and causality
  • Methods for linear and non-linear models
  • Many and/or weak instruments
  • Identification with invalid instruments
  • Specification Tests in Econometrics: The Hausman Test
  • Machine Learning in Economics: Ridge regression and Lasso

    18.04.2018 Send feedback to Helmut Farbmacher.