Econometrics II

Ects : 6
Compétence à acquérir :
This course will allow students to master the main micro-econometrics techniques for probability models, instrumental variables and temporal data and they will be able to critically analyze applied work that employs these types of estimators.

Description du contenu de l'enseignement :
This course focuses on micro-econometrics techniques based on temporal data (cross-sectional and panel) and qualitative dependent variables. The first part will explore possible sources of OLS bias and discuss techniques and estimators to address those bises (instrumental variable estimator and micro-econometrics techniques for temporal data, such as first difference, random effects, fixed effects and difference-in-differences estimators). Non-linear models (Probit, Logit models), as well as selection models (Tobit, Heckman selection models) will be the focus of the second part of the course.
The main themes are presented under a theoretical perspective, accompanied by empirical applications on Stata.
The following topics will be addressed:

Sources of bias for OLS
Instrumental variables
Temporal models (first difference, random effects, fixed effects)
Difference-in-differences
Linear Probability models
Models with qualitative dependent variable (Probit, Logit)
Selection models (Tobit, Heckman)

Enseignant responsable :

  • CLEMENTINE GARROUSTE
  • OLIVIA BERTELLI