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
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
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
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