KECD 2110 - ECONOMETRICS 3

Course Description

Course Objectives: Students will deepen their knowledge of matching estimators, instrumental variables, panel data, and differences-in-differences. The course covers Chapters 5, 9, 10 and 11 of my lecture notes, available from my website. Useful complementary readings include:

Enseignants

Clément de CHAISEMARTIN,Riddhi KALSI

Type

Cours magistral et conférences

Language of tuition

English

Pre-requisite

Students should have some basic knowledge in cross-sectional econometrics (ordinary least squares, heteroskedasticity, instrumental variables, probit, logit and tobit models). These concepts and notions are introduced in the probability, statistics and econometrics courses taken in the M1.

Semester

Autumn 2022-2023

Course validation

Grading will be based on problem sets, a midterm exam, and a final exam.

Lectures conseillées / Recommended readings

Lectures principales / Main readings

Joshua D. Angrist & Jörn-Steffen Pischke (2008): Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press

Disponible / Available

Angrist Joshua David. Mostly harmless econometrics : an empiricist’s companion. Princeton Oxford : Princeton University Press. 2009

Jeffrey Wooldridge (2001): Econometric Analysis of Cross Section and Panel Data. The M.I.T. Press

Disponible / Available

Wooldridge Jeffrey M. Econometric analysis of cross section and panel data. 2nd ed. Cambridge, Mass : MIT Press. (lien vers édition 2011)

Arellano, Manuel, and Bo Honoré. "Panel data models: some recent developments." Handbook of econometrics. Vol. 5. Elsevier, 2001. 3229-3296.

Disponible / Available

Arellano, Manuel et Bo Honoré. « Chapter 53 Panel data models: some recent developments », Handbook of Econometrics. 2001, vol.5. p. 3229‑3296.