This course goes beyond the simple ordinary least squares regression model. The course covers: review of ordinary least squares, feasible least squares, instrumental variables estimation, panel data estimation, simultaneous equations models, nonlinear models (discrete choice, censored, and sample selection). Maximum likelihood estimator and introduction to generalized method of moments. Despite its name, the course is highly theoretical. The software of choice for the applied component is STATA, basic knowledge of which is required.

 Upon completion of the course, the students will know:

• Estimation techniques used in Micro-Econometrics such as OLS, NLS, and more generally Extremum (or M) estimators including their asymptotic properties.
• Be familiar with concepts such as selection, endogeneity, simultaneity and instruments.
• Be able to formulate methods to estimate causality in economic models.
• To be able to understand and read and present seminal paper(s) in applied micro-econometrics.
• Be prepared to identify and execute research question involving cross sectional and panel data.

There will be in class presentation of important empirical papers in economics, quizzes, final examination and a research paper.

Three contact hours per week.

The software of choice for the applied part is STATA with which you should be familiar.

EMET2008 Econometrics II: Econometric Modelling.

Introductory Econometrics by Jeffrey Wooldridge 4th Edition

For further information please refer to course website