Syllabus:

Applied Econometrics II

at the

Bonn Graduate School of Economics

WS 1998/99

March 1-5, 1999

 

Prof. Christian Dustmann

(University College, London)

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 and identification in empirical research and will be held by Christian Dustmann from the University College, London.

1. Objectives:

Most topics covered in this part of the course are somehow related to the problem of causality and identification in empirical research. The problem of causal inference is at the heart of (applied) microeconometrics. One objective of the course Applied Econometrics II is to make you familiar with the problem of identifying causal effects in empirical research, to introduce you to appropriate methods for estimation, and to enable you to relate them to economic questions and empirical work.

There will be about three lectures in the first part, and student presentations in the second part of the course. The papers to be presented are all related to the material covered in the lectures. Below you find a reading list.

2. Prerequisites

The prerequisites for the course Applied Econometrics II are consists of the prerequisites of the course in Applied Econometrics I. To prepare the course Applied Econometrics II, you should read the papers/relevant chapters in Part A. This literature is part of the written exam at the end of the course.

  
3. Content:
 
 

Date

Time

Topic

Part A: Lectures

A.1

 		 01.03.99 10.00-12.45 Introduction. Sources of Endogeneity, Identification, IV and GMM estimation, Weak Instruments
A.2 02.03.99 10.00-12.45 Estimation using Panel Data
A.3



 		 03.03.99 10.00-12.45 Natural experiments as Instrumental Variables, Difference in difference estimation, Random Coefficient Models and IV estimation

Part B: Student Presentations

B.1 04.03.99 10.00-10.45 Gerd Mühlheußer:
Wages and Seniority
B.2 04.03.99 11.00-11.45 Stephan Kohns:
Programme Evaluation and Social Experiments
B.3 04.03.99 12.00-12.45 Thomas Büttner:
Returns to Education
B.4 04.03.99 13.00-13.45 Wolf Wagner:
Labour Supply
  05.03.99 10.00-11.30 Discussion of the papers; questions on the course material


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 A:

A.1

Articles:

  • Bound, J, Jaeger, D.A., and R. Baker (1995): "Problems with Instrumental Variables Estimation when the Correlation between Instruments and the Endogenous Explanatory Variables is weak", Journal of the American Statistical Association, 90, 443-450

  • Staiger, D. and J. H. Stock (1997): "Instrumental Variables Regression with Weak Instruments", Econometrica, 65, 557-586.

Books:

  • Greene (1993), Econometric Analysis, 3rd edition, chapter 16

A.2

Articles:

  • Arellano, M. and S. Bond (1991): "Some tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Unemployment Equations," Review of Economic Studies, 58, 277-297.

Books:

  • Baltagi, B. H. (1995): Econometric Analysis of Panel Data, Wiley, chapters 1, 2, 3.

  • Greene, W. (1993): Econometric Analysis, 3rd edition, chapters 21, 22.

A.3

Articles:

  • Heckman, J. and Robb (1985): "Alternative Methods for Evaluating the Impact of Interventions," Chapter 5 in Heckman and Singer (eds.): Longitudinal Analysis of Labor Market Data, Cambridge University Press.

  • Heckman, J (1997): "Instrumental Variables," Journal of Human Resources, 32, 441-462.

  • Imbens, Guido and J. Angrist (1994): "Identification and Estimation of Local Average Treatment Effects," Econometrica 62, 467 - 476.

Part B:

B.1

  • Topel, R. (1991): "Specific Capital, Mobility, and Wages: Wages Rise with Job Seniority", Journal of Political Economy, 99, 145-176.

  • Dustmann, C. and C. Meghir (1999): "Wage Growth, Experience, and Seniority", IFS Discussion Paper.

B.2

  • LaLonde, R. (1986): "Evaluating the Econometric Evaluations of Training Programs with Experimental Data", American Economic Review, 604-620.

  • Heckman, James J., H. Ichimura and Petra E. Todd (1997): "Matching as an Econometric Evaluation Estimator: Evidence from Evaluating a Job Training Programme". Review of Economics Studies, 64 (4), 605-654.

B.3

  • Angrist, J.D. and A.B. Krueger (1991): "Does Compulsory School Attendance Affect Schooling and Earnings? ", Quarterly Journal of Economics, 106, 979-1014.

  • Card, D. (1999): "The Causal Effect of Education on Earnings" forthcoming in: O. Ashenfelter and D. Card (eds.): Handbook of Labor Economics, Vol. 3, North Holland.

B.4

  • Blundell, R., A. Duncan and C. Meghir (1998): "Estimating Labour Supply Responses using Tax Reforms", Econometrica, 66, 827-861