Applied Quantitative Methods – Intermediate Econometrics II (November 15-17, 2010)
Faculty
Keld Laursen, Professor, Department of Innovation and Organizational Economics, CBS; Toke Reichstein, Associate Professor, Department of Innovation and Organizational Economics, CBS; Larissa Rabbiosi, Assistant Professor, Center for Strategic Management and Globalization, CBS
Keld Laursen, Professor, Department of Innovation and Organizational Economics, CBS; Toke Reichstein, Associate Professor, Department of Innovation and Organizational Economics, CBS; Larissa Rabbiosi, Assistant Professor, Center for Strategic Management and Globalization, CBS
Course Coordinator
Toke Reichstein, Associate Professor, Department of Innovation and Organizational Economics, CBS
PrerequisiteToke Reichstein, Associate Professor, Department of Innovation and Organizational Economics, CBS
Prerequisite The course requires that the students have taken the course on “Introduction to basic econometric techniques” or a similar course. Before signing up to the course we strongly encourage students to take the “Intermediate Econometric I” or a similar course.
Aim of the course
The course deals with econometric methods and applications designed for the analysis of cross-section and panel data models. As such, the course intends to provide the necessary background for panel data models and semiparametric and nonparametric duration (survival) models. The course includes an introduction to the treatment of sample selection and attrition. Important topical applications will be treated. We consider endogeneity problems of the cross section dataset by studying instrumental variables regression. We aim to train the students to carrying out robust quantitative studies on their own, but also to provide them the tools that will enable them to give constructive critique to econometric work in general.
The course's development of personal competences
After the course, students are expected to be able to:
- Identify selection bias and create a Heckman selection model for selection and endogeneity correction
- Understand and carry out Instrumental Variables Regressions with respect to endogeneity issues.
- Understand panel data and treat them accordingly
- Conduct random effects and fixed effects estimations and grasp the difference in assumptions and interpretation
- Convert panel data into an event history setup and carry out both continuous and discrete time duration modeling.
Lecture plan
Teaching methods| Time/period | Faculty | Title |
|---|---|---|
| 15 Nov. 2010 | Selection bias | |
| 09:00h - 12:00h, 13:00h-16:00h | Heckman selection models | |
| Endogeneity in cross section studies | ||
| Instrumental Variables regressions | ||
| Heckman approach to endogeneity correction | ||
| 16 Nov. 2010 | Balance panel data and challenges | |
| 09:00h - 12:00h, 13:00h-16:00h | Unobserved heterogeneity | |
| Fixed effects versus random effects models | ||
| Hausman test | ||
| Unbalance panel data and challenges | ||
| 17 Nov. 2010 | Duration (Survival) models | |
| 09:00h - 12:00h, 13:00h-16:00h | Data preparation | |
| Continuous time models | ||
| Discrete time models | ||
| Training the learnt methods through practice |
Lectures, discussion and exercise.
The course employs STATA throughout the sessions furnishing students with examples and assignments for illustration. The methods taught will hence be displayed and demonstrated in STATA. Participants can bring own laptops with STATA installed and use these throughout the course. However, there will be desktop computers with STATA installed available. We encourage students to bring a memory stick or external hard drive so that they can work directly on these and bring all files used and programs written with them home after the course.
Course literatureThe course employs STATA throughout the sessions furnishing students with examples and assignments for illustration. The methods taught will hence be displayed and demonstrated in STATA. Participants can bring own laptops with STATA installed and use these throughout the course. However, there will be desktop computers with STATA installed available. We encourage students to bring a memory stick or external hard drive so that they can work directly on these and bring all files used and programs written with them home after the course.
Students attending the course will receive a more detailed recommended reading list assisting them in preparing for the course and pointing to readings that may prove helpful as a follow up after attending a session.
Recommended literature
- Wooldridge, J. M. (2001), “Econometric Analysis of Cross Section and Panel Data”, The MIT Press.
- Hamilton, L. C. (2006), “Statistics with Stata”, Brooks/Cole, Belmont, CA.
Applications should be sent as e-mail to:
Victoria Hein, Department of Innovation and Organizational Economics
Victoria Hein, Department of Innovation and Organizational Economics
E-mail: vh.ino@cbs.dk
Please remember to state your name, email, Department and University
Other
Enrolment deadline:
15 Oct. 2010
Location:
Address/room: Solbjerg Plads 3, SP108
ECTS: 3
Fee: 3600 DKK/485 Euro for all students.
Sidst opdateret af Shi Hua Chen Kold 03.11.2010
