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 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 2 GMM: do-file
  • Class 2 weak IVs: do-file
  • Class 2 weak IVs: do-file (B2SLS)
  • Class 3 ML: do-file
  • Class 4 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%) (7 ECTS points).

    Lecture Thursday 13.45-15.15, Room 002, L9, 1-2, first lecture 7th September 2017

    Classes Thursday 15.30-17.00, P158, L7, 3-5, 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 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



    04.11.2017 Send feedback to Helmut Farbmacher.