Syllabus:

Applied Econometrics I

at the

Bonn Graduate School of Economics

WS 1998/99

Prof. Dr. Klaus F. Zimmermann

Dr. Ralph Rotte

Dr. Thomas Bauer

The course in Applied Econometrics at the Bonn Graduate School consists of two lectures, Applied Econometrics I and Applied Econometrics II which will be held from December 1998 to February 1999. After a general introduction into regression analysis, Applied Econometrics I deals with the problems and the use of econometric models for discrete and limited dependent variables. Applied Econometrics II is related to the problem of causality in empirical research and will be held by Christian Dustmann from the University College, London.


1. Objectives:

One objective of the course Applied Econometrics I is to provide the students with a good understanding of the econometric models for discrete and limited dependent variables and their application problems. At the end of the course you should be able to apply these models to economic problems and concrete data sets. Econometric Models for discrete dependent variables are widely used in the empirical literature. An understanding of these models is crucial for evaluating empirical studies in most economic areas. A second objective of the course is to provide you with some practical skills which are necessary to perform independent research using microdata. Hence, a short introduction to the software packages LIMDEP and STATA will be given.



2. Prerequisites:

You are expected to have good knowledge in matrix algebra, probability and distribution theory, statistical inference, the classical multiple linear regression model (OLS) and the problems related to the assumptions of this model (multicollinearity, measurement error, heteroscedasticity, serial correlation), and the maximum likelihood method. To acquire this knowledge you should work through:

- Greene, William H. (1997): Econometric Analysis, 3rd edition, London: Prentice Hall, Chapters 2.1-2.3, 2.5, 2.9, 3.1-3.6, 4.1-4.5, 4.9, 5.5, 6.1-6.8, 8.1, 8.2, 8.4
You should try to do the respective exercises at the end of each chapter.


 

3. Content

 

Date

Time		  

1

11.12.98 9.00-11.45 Review of the Classical Linear Regression Model, Maximum Likelihood and testing procedures.

2

14.12.98 9.00-11.45 Logit/Probit Model

3

17.12.98 9.00-11.45 Count Data Model

4

14.01.99 13.00-15.45 Tobit Model

5

15.01.99 13.00-15.45 Introduction to STATA and LIMDEP

In each session one student will be assigned to present the theoretical concept of the respective models and their limitations; another 2 students will be assigned to present a related empirical study from the literature. Both presentations will be discussed by all participants. In the final session you will be introduced into the statistical packages STATA and LIMDEP and we will go through some examples using microdata.



4. Examination

The examination for the course in Applied Econometrics consists of three parts. The first part consists of your presentation in the course Applied Econometrics I or Applied Econometrics II and your participation in the discussions in both courses. For the second part, we will ask you to write a short empirical paper (about 10 pages in English) using a data set which will be provided by IZA in the last session of Applied Econometrics I. The paper has to be written individually and must be submitted at the end of the semester. The final part consists of a written exam at the end of Applied Econometrics II.



5. Reading List
A copy of all articles and of the respective books will be provided on open shelves in the office of IZA and in the office of the Bonn Graduate School.


Part 1  
 

Textbook/Surveys:

  • Greene, W. H. (1997): Econometric Analysis, Chapter 4.5, 7.1-7.9

Papers:

  • Schmidt, C.M., and K. F. Zimmermann (1991): "Work Characteristics, Firm Size and Wages," Review of Economics and Statistics, Vol. 73, 705-710.
  • Smyth, D.J. (1971): "Unemployment and Inflation. A Cross-Country Analysis of the Phillips-Curve," American Economic Review, Vol. 61, 426-429.

Part 2  
 

Textbook/Surveys:

  • Amemiya, T. (1981): "Qualitative Response Models: A Survey." Journal of Economic Literature, Vol. 19, 1483-1536.

  • Greene, W. H. (1997): Econometric Analysis, Chapter 19.1 – 19.4.

  • Zimmermann, K. F. (1997): "Analysis of Business Surveys," in: M. H. Pesaran and P. Schmidt (eds.), Handbook of Applied Econometrics, Volume II: Microeconomics. Oxford: Blackwell Publishers, 407-441.

Papers:

  • Even, W. (1987): "Career Interruptions Following Childbirth," Journal of Labor Economics, Vol. 5, 255-277.

  • Gunderson, M. (1974): "Retention of Trainees," Journal of Econometrics, 79-93.

  • Zimmermann, K. F. (1998): "German Job Mobility and Wages," in: I. Ohashi and T. Tachibanaki (Eds.), Employment Adjustment, Incentives and Internal Labour Market, Macmillan Publishing Company.

Part 3  
 

Textbook /Surveys:

  • Greene, W. H. (1997): Econometric Analysis, Chapter 19.9

  • Schwalbach, J., and K. F. Zimmermann (1991): "Determinanten der Patentaktivität," Ifo-Studien, Vol. 37, 201-227.
  • Winkelmann, R., and K. F. Zimmermann (1995): "Recent Developments in Count Data Modelling: Theory and Applications, " Journal of Economic Surveys, Vol. 9, 1-24.

Papers:

  • Cameron, A. C., and P. K. Trivedi (1986): "Econometric Models based on Count Data: Comparisons and Application of some Estimators and Tests," Journal of Applied Econometrics, Vol. 1, 29-53.
  • Geil, P., Million, A., Rotte, R., Zimmermann, K.F. (1997):
    "Economic Incentives and Hospitalization in Germany," Journal of Applied Econometrics, Vol. 12(3), 295-311.

  • Michener, R., and C. Tighe (1992): "A Poisson Regression Model of Highway Fatalities," American Economic Review, Vol. 82, 452-456.
 
Part 4  
 

Textbook / Surveys:

  • Amemiya, T. (1984): "Tobit Models: A Survey," Journal of Econometrics, Vol. 24, 3-63.

  • Greene, W. H. (1997): Econometric Analysis, Chapter 20.1-20.3

Papers:

  • Fair, R.C. (1978): "A Theory of Extramarital Affairs," Journal of Political Economy, Vol. 86, 45-61.

  • Franz, W., and S. Kawasaki (1981): "Labor Supply of Married Women in the Federal Republic of Germany: Theory and Empirical Results from a New Estimation Procedure," Empirical Economics, Vol. 6, 129-143.

  • Tobin, J. (1958): "Estimation of Relationships for Limited Dependent Variables," Econometrica, Vol. 26, 24-36.


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