Applied Quantitative Methods – Intermediate Econometrics II (March 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

Course Coordinator
Toke 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

Time/period	Faculty	Title
24 March 2010		Selection bias
		Heckman selection models
		Endogeneity in cross section studies
		Instrumental Variables regressions
		Heckman approach to endogeneity correction
25 March 2010		Balance panel data and challenges
		Unobserved heterogeneity
		Fixed effects versus random effects models
		Hausman test
		Unbalance panel data and challenges
26 March 2010		Duration (Survival) models
		Data preparation
		Continuous time models
		Discrete time models
		Training the learnt methods through practice

Teaching methods

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.

Examination

TBA

Course literature

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.

Enrolment

Applications should be sent to:

The Doctoral School in Economics and Management
Copenhagen Business School
Attn: Shi Hua Chen Kold
Department of Innovation and Organizational Economics
Kilevej 15, 3rd. floor
2000 Frederiksberg
Denmark
E-mail: shc.ino@cbs.dk

Other

Fee:

525 Euro

Not to be paid by PhD students enroled at a Danish University

Sidst opdateret af Kristine Olsen 20.10.2009