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A Course in Advance Econometrics

This document provides the syllabus for an advanced econometrics course at Dartmouth College. The course has two main goals: 1) to introduce students to advanced regression analysis methods, and 2) to develop an understanding of how econometrics can be used to evaluate policy and economic theory. Students will complete an empirical research project and problem sets applying techniques like regression discontinuity designs, instrumental variables, and nonlinear models to evaluate economic and policy issues. Required textbooks and supplemental readings cover topics like causal inference, specification testing, and applied case studies.

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166 views5 pages

A Course in Advance Econometrics

This document provides the syllabus for an advanced econometrics course at Dartmouth College. The course has two main goals: 1) to introduce students to advanced regression analysis methods, and 2) to develop an understanding of how econometrics can be used to evaluate policy and economic theory. Students will complete an empirical research project and problem sets applying techniques like regression discontinuity designs, instrumental variables, and nonlinear models to evaluate economic and policy issues. Required textbooks and supplemental readings cover topics like causal inference, specification testing, and applied case studies.

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[email protected]
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Dartmouth College

Department of Economics
Economics 80
Advanced Topics in Econometrics
Fall 2013
Tu/Th, 10-11:50 (X: Wed, 3-3:50)

Doug Staiger
309A Silsby, 646-2979
[email protected]
Office Hours: Tu/Th 12-2
Syllabus

Overview: This course has two goals: (1) To introduce students to advanced methods associated
with linear and non-linear regression analysis, and (2) to develop a practical understanding of
how econometric analysis can be used to evaluate policy and examine the empirical relevance of
economic theory. The practical application of these methods will be illustrated through topics
drawn from the fields of expertise of the instructor and topics of interest to the students.
The course will be devoted to a systematic investigation of applications of econometrics to a
variety of problems. The applications are not contained in a particular text but are selected by me
from a variety of sources. The usual approach will be to discuss 1) economic issues that
motivate the application, 2) econometric techniques and issues related to the application (e.g.
data, specification, estimation techniques), and 3) the results of the empirical analysis and what
we can learn from them. I strongly encourage participation by students in classroom discussions,
and such participation will be rewarded.
Pre-Requisites: A- or better in Economics 20, 21, and 22.
Textbook/Readings:
Introductory Econometrics: A Modern Approach (4th Edition) by Jeffrey Wooldridge
(SouthWestern Publishing, or 5th edition is at the bookstore). This is a very comprehensive and
well written intro text that we use in ec20. It covers much (but not all) of the more advanced
material that well be working on. If you have an earlier (or later) edition, it is pretty similar.
A Guide to Econometrics, 6th Edition by Peter Kennedy (MIT Press, available on the web at
places like barnesandnoble.com for about $35). This is a supplemental econometrics text that
leaves out the details, but gives an excellent overview of econometrics from simple regression to
very advanced techniques. I have used this book since I was an undergraduate (earlier editions
of course!) and still find it very useful. If you have an earlier edition, it is pretty similar.
The Journal of Economic Perspectives, Fall 2001 issue (available on blackboard). This issue
contains a very useful symposium on econometric tools. Each chapter provides a non-technical
overview of an econometric topic. Use these chapters as background reading on each topic.
There will be various handouts, articles and book chapters (some listed below) that are available
on Blackboard or from me. You may want to purchase A Gentle Introduction to Stata (3rd
Edition) by Alan Acock from www.stata.com. This book provides a fairly comprehensive
introduction to Stata (brief Stata handouts are on Blackboard). Full Stata documentation is
available through online help & online manuals (hard copies of manuals are in econ lounge) &
some FAQs are at http://www.dartmouth.edu/comp/soft-comp/software/statistics/statafaq.html

Requirements: The central focus of the course will be on student empirical projects. The exact
topic and structure of this project is quite flexible. These projects can be done individually or in
small groups (2 or maybe 3), and possibly in combination with a paper from a 40-level course or
a students thesis (with approval from both instructors). The empirical project is worth 50% of
the grade. Each student will choose a topic they are enthusiastic about, review the literature,
assess data availability, develop an interesting empirical question, analyze the data, and present
their results in oral and written form.
In addition to the paper, we will do 3 applied problem sets. These problem sets will all have the
form of mini-projects, e.g. I will provide some data and broad questions, and you will do the
necessary data analysis and write up your results in a short (3-5 page) paper. I strongly
encourage everyone to work in small groups (2-3) on these problem sets. The problem sets are
worth 30% of the grade, and I base your grade on the best 2 (out of 3) problem sets. The
remaining 20% of your grade is based on class participation.
There are no exams in this course.
Important Dates:
Regular Class Meetings: Tuesday & Thursday, 10-11:50.
Meet in X-hour: dates TBD, Wednesdays 3-3:50.
Tuesday, Sept. 24th: Submit and discuss in class possible research topic(s).
Tuesday, Oct. 22nd: Research proposals due, presentations in class & evening (6-10?)
Tuesday, Nov. 19th: Present final research results in class & evening (6-10?)
Wednesday, Nov. 27th: Final paper due.

Tentative Outline of Course


(subject to change)
PART I: THE BASICS
Topic 1: Getting Started Research & Writing, Matrix Notation
McCloskey, Economical Writing, Economic Inquiry, 1985.
Lanham, Revising Business Prose, chap. 1-2, 1983.
Wooldridge, Ch. 19 and Appendix D & E (background, well cover key concepts in class)
Kennedy, Ch. 22 and 1-4 (only read notes and technical notes if interested)
Angrist & Krueger, Empirical Strategies in Labor Economics 1998
(background for choosing paper topic focus on sections 1, 2.1, and 3, and skim 2.2)
Angrist & Pischke, Mostly Harmless Econometrics , Chapter 1, 2009.
Wilper et al., Health Insurance and Mortality in U.S. Adults, AJPH, 99(12), Dec 2009.
Baicker & Finkelstein, The Effects of Medicaid Coverage Learning from the Oregon
Experiment, NEJM, 365(8), Aug 25, 2011.
Card et al., Does Medicare Save Lives? Quarterly Journal of Economics, May 2009.
Chandra et al., Patient Cost-Sharing and Hospitalization Offsets in the Elderly, American
Economic Review, March 2010.
Topic 2: Model Specification, Teacher Value Added, & Stata
Background
Specification testing & outliers: Wooldridge, Ch. 9.1, 9.5; Kennedy, Ch.5, 15, 21.1-21.2.
Applications
Kane, Rockoff & Staiger, What does certification tell us about teacher effectiveness?
Evidence from New York City, Economics of Education Review, 2008.
Problem Set 1: Teacher value added

PART II: CAUSAL EFFECTS


Overview
Angrist & Krueger, Empirical Strategies in Labor Economics 1998
(focus on section 2)
Topic 3: Control Groups, Matching, Difs-in-difs, Panel Data
Background
Wooldridge, Ch. 13-14.
Kennedy, Ch. 18.
Applications
Dale & Krueger, Estimating the Payoff to Attending a More Selective College: An
Application of Selection on Observables and Unobservables, Quarterly Journal of
Economics, 117(4):1491-1527, 2002.
Ruhm, Are Recessions Good for Your Health? Quarterly Journal of Economics,
115(2):617-650, 2000.
Shen, The effect of hospital ownership choice on patient outcomes after treatment for acute
myocardial infarction, Journal of Health Economics, 2002.
Topic 4: Regression Discontinuity Designs
Background
Lee & Lemieux, Regression Discontinuity Designs in Economics, nber wp #14723, 2009.
Applications
Peterson, A Massachusetts Meritocracy: The Adams Scholarship and its Effect on College
Enrollment, Dartmouth Thesis, 2009.
Joyce, Kaestner & Colman, Changes in Abortions and Births and the Texas Parental
Notification Law, New England Journal of Medicine, 354(10):1031-1038, March 9, 2006.
Problem Set 2: Parental notification and the fertility discontinuity

Topic 5: Instrumental Variables (IV)


Background
Wooldridge, Ch. 15-16
Kennedy, Ch. 9, 11
Notes on IV, IV paper in fall 2001 JEP.
Applications
McClellan, McNeil and Newhouse, Does More Intensive Treatment of Acute Myocardial
Infarction in the Elderly Reduce Mortality? Analysis Using Instrumental Variables,
JAMA, 1994.
Acemoglu & Johnson, Disease and Development: The Effect of Life Expectancy on
Economic Growth Journal of Political Economy, 115(6):925-985, December 2007
PART III: NONLINEAR MODELS
Topic 6: Non-Linear regression/index models
(Logit/Probit-type models, hazard, count data models, quantile).
Background
Wooldridge, Ch. 17
Kennedy, Ch. 16-17, 21.3
Logit/Probit & Quantile papers in fall 2001 JEP.
Applications
Eide & Showalter, The effect of school quality on student performance: a quantile
regression approach, Economic Letters, 1998.
Gordon, Kane & Staiger, Identifying Effective Teachers Using Performance on the Job,
The Hamilton Project white paper 2006-01, the Hamilton Project, Washington, DC, 2006.
Chou and Staiger, Health Insurance and Female Labor Supply in Taiwan, Journal of
Health Economics, 2002.
Card & Dahl, Family Violence and Football: The Effect of Unexpected Emotional Cues on
Violent Behavior, The Quarterly Journal of Economics, 126(1), 2011.
Chetty, Moral Hazard Versus Liquidity and Optimal Unemployment Insurance, Journal
of Political Economy, 116(2), 2008.
Problem set 3: Teacher impact on test scores

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