Dr. Helmut Farbmacher
University of Munich

University of Munich; Winter Term 2018/2019

Econometrics - Advanced Methods

Lecture and class


  • In Lecture 2 and 3 we will briefly discuss the consequences of weak instruments. Please have a look at those two papers: Angrist and Krueger (1991) - particularly Table I and Table V. Are the instruments weak?; Bound et al. (1995) - particularly Table 1 and Table 3. If you have time, have a look at Staiger and Stock (1997)
  • We are going to discuss the application of Kolesar et al. in class next Tuesday. Please have a look at the working paper version, which you can find here. Please read section 1, 2 and 6.1 of the working paper version.

Lecture slides and lecture notes

  • Syllabus
  • Lecture 1
  • Lecture 2
  • Lecture 3
  • Lecture 4
  • Lecture 5
  • Stata do-files and datasets

  • Class 1 (OLS): Problem Set
  • Class 1 (OLS): dataset
  • Class 1 Mata: Introduction
  • Class 1 Mata: do-file
  • Class 1: do-files
  • Class 2 (MCsim and 2SLS): Problem Set
  • Class 2 (2SLS): dataset
  • Class 2: do-files
  • Class 3 (many/weak IVs): Problem Set
  • Class 3: do-files
  • Class 4 (GMM): Problem Set
  • Class 4: do-files
  • Class 5 (RSM): Problem Set
  • Class 5: do-files
  • Description

    The objective of the course is to help students understand several important advanced techniques in econometrics and utilize them in empirical research and practical applications. Emphasis of the course will be placed on understanding the essentials underlying the core techniques, and developing the ability to relate the methods to important issues faced by a practitioner.

    Lecture Thursday 8.30-11.45, Ludwigstr. 28 RG, R026, first lecture 10th January 2019

    Classes Tuesday 8.30-11.45, Ludwigstr. 28 RG, CIP-Pool III, first session 15th January 2019. The exercise session starts in the second week.

    Grading There will be a written final exam on 28.02.2019, 10.00-12.00. The exam will take place in room A119 (Geschwister-Scholl-Platz 1).

    21.02.2019 Send feedback to farbmacher@econ.lmu.de