You can download the notes for the class:
Notes by methods Notes by example
- Linear models for cross-section (running example will be labor supply)
- Clarify concepts such as data, model, identification, estimation and inference
- Study theats to identification (endogeneity, measurement error, simultaneity)
- Finite sample gaussian inference & asymptotic inference (central limit theorem)
- Lab on labor supply
- Heckman (77) paper
- Extras: clustering of standard errors, multiple testing, weak IV
- Multinomial decisions (we will use transportation and monopolistic competition)
- Introducing Maximum Likelihood Estimation
- Estimation of multinomial logit
- McFadden (74) paper
- Maximum score estimation, Manski (75) paper
- Lab on discrete choice
- Extras: Boostrap, Marriage market with Choo and Siow (03) paper
- Unobserved heterogeneity
- Revisit multinomial problem and IIA
- Random effect model and EM-algorithm
- Extras: introduction to Variational Auto Encoders VAE
- Topics in non-parametrics and high-dimensional econometrics
- model complexity and bias/variance trade-off
- many regressors (application to network of peers)
- non parametric regression
- Dynamic programing
- Introducing Bellman equations (through cake eating problem)
- Study the estimation of dynamic programing
- Lab on dynamic discrete choice
- Rust (74) paper
- Measuring sorting in the labor market (optional, if time allows)
- incidental parameter problems
- Fixed-effect approach, bias correction
- Group fixed effect approach
You can submit your homework either as solo or as a group of two. To communicate about your homework, create a channel in our slack group with a name starting with
grp_ and then with the initials of the members of your group. For instance the TA (Arjun) and myself (Thibaut) would be
grp_at. Then please add Arjun and myself as members of that group. I recommend you make your channel private. Submit the analytical parts directly to this slack group.
Computational homeworks should be submitted as a self contained R markdown file. Please submit the Rmd file as well as the generated html output.
End of class project
- The project can be done in groups of three. The goal is for you to take an economic or policy question and to develop a DGP for that question as well as a method adpated to answering that question given data. The project should highlight the potential pitfalls of given methods.
- 1 page proposal is due on week 7 or 8. This should include a question and a DGP.
- finall submission of the project will be the week after finals.
- The midterm will in week 6 or 7.
Overall grade will be 2/5 homeworks, 2/5 midterm, 1/5 project.
These are some books that can be helpful to dig into more details of the topics covered in class. These books are not required for the class.