Dr. Helmut Farbmacher

University of Mannheim

University of Mannheim; Autumn Term 2017
Topics in Empirical Economics
Lecture and class
Announcements
 Lecture slides are now available. They are password protected. I have sent you an email with the password.
 Please let me know your preference for the term paper until Saturday, 16 September.
 Lecture 3 and 4 gives 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.
 Next week (October, 12) we will briefly talk about three related papers. It's really helpful to read the papers in advance: Paper 1, Paper 2 and Paper 3
Lecture slides and lecture notes (PDF)
Syllabus and References
Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 5
Lecture 6
Lecture 7
Stata dofiles and datasets can be downloaded here:
Class 1: Problem set
Class 1 OLS: dofile
Class 1 MCsim: dofile
Class 1 OLS: dataset
Class 1 IV: dofile
Class 1 IV: dataset
Class 2 GMM: dofile
Class 2 weak IVs: dofile
Class 2 weak IVs: dofile (B2SLS)
Class 3 ML: dofile
Class 4 Penalized regressions: dofile
Description
The course will cover fundamental methods for microeconomic data (with focus on linear models), including instrumental variables estimation,
maximum likelihood and generalized methodofmoments 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%) (7 ECTS points).
Lecture Thursday 13.4515.15, Room 002, L9, 12, first lecture 7th September 2017
Classes Thursday 15.3017.00, P158, L7, 35, every two weeks, first session
7th September 2017. The exercise session starts in the first 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 nonlinear 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
04.11.2017
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