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Prof Mark Schankerman 32L.4.30

Dr Rachael Meager 32L.3.13

This course is available on the BSc in Econometrics and Mathematical Economics, BSc in Economics, BSc in Economics and Economic History and BSc in Mathematics and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.

Students should have completed Microeconomic Principles I (EC201) or Microeconomic Principles II (EC202) or equivalent, and either Introduction to Econometrics (EC220) or Principles of Econometrics (EC221), or equivalent.

Students who have completed EC220 rather than EC221 should refer to Dr Meager for advice before starting the course regarding additional preparatory work for Lent term course material.

The purpose of this course is to provide a solid grounding in recent developments in applied micro-econometrics. A major feature of the course is the use of both analytical and computer-based (data) exercises for the classes, as well as reading applied economic papers from the journals which apply the techniques being taught. This mix will enable students to gain practical experience in analysing a wide variety of econometric problems. The topics covered in the Michaelmas term include analysis of matching methods, identification of average, local average and marginal treatment effects using instrumental variables, weak instrument problems, regression discontinuity and randomised control experiments. The Lent term will focus on topics in the analysis of cross section and panel data with static and dynamic models, including fixed and random effects, nonlinear models, issues of measurement error, selection and attrition in panel contexts, binary choice models, maximum likelihood estimation, and generalized method of moments.

15 hours of lectures and 10 hours of classes in the MT. 15 hours of lectures and 10 hours of classes in the LT.

Michaelmas term: required weekly “referee reports” (3-4 pages) on assigned journal articles, with two graded. Feedback to be provided by the class teacher. Lent term:  3 problem sets, usually to include econometric questions and applications. Feedback to be provided by the class teacher.

A detailed reading list will be provided at the beginning of each term of the course. In parts of the Michaelmas we will use sections from the textbook "Mostly Harmless Econometrics" by Angrist and Pischke. There is no single text for the Lent term, but useful books include “A Guide to Modern Econometrics” by Marno Verbeek, “Introduction to Econometrics” By Stock and Watson (somewhat less advanced than the lectures) and “Econometric Analyses of Cross Section and Panel Data” by Wooldridge (somewhat more advanced than the lectures).

Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.