Econometrics (Master)
Universität Basel, Fall 2024
Master
Prof. Dr. Kurt Schmidheiny
General Information:
- Syllabus and Rooms
- Slides Introduction: 4up, 1up
Textbook:
- Stock, James H. and Mark W. Watson (2020), Introduction to Econometrics, 4th Global ed. Pearson.
- Additional textbooks are discussed during the lecture
Software:
We will use R with RStudio for applications in class and in the problem sets:
- R is a free open source software
- You can download R here
- You can download RStudio here
- A short guide to R: 2up, 1up
Alternatively, you can use Stata:
- There are 20 available computers with STATA in the WWZ computer pool
- There are computers with STATA in other pools of the university
- You can purchase a licence for 6 months at a price of 48 USD
- A short guide to Stata: 2up, 1up
Lecture Notes and Slides:
| Topic | Matrix-free | Matrices | ||||
|---|---|---|---|---|---|---|
| Causal Effects | 4up | 1up | ||||
| Matrix Algebra | 2up | 1up | ||||
| Probability Theory | 2up | 1up | 2up | 1up | ||
| Linear Regression | 2up | 1up | 2up | 1up | ||
| Testing | 2up | 1up | 2up | 1up | ||
| Functional Form | 2up | 1up | 2up | 1up | ||
| Heteroskedasticity | 2up | 1up | 2up | 1up | ||
| Clustering | 2up | 1up | 2up | 1up | ||
| Asymptotic Theory | 4up | 1up | 4up | 1up | ||
| Instrumental Var. | 2up | 1up | 2up | 1up | ||
| Panel Data | 2up | 1up | 2up | 1up | ||
| Maximum Likelihood | 4up | 1up | 4up | 1up | ||
| Binary Response | 2up | 1up | 2up | 1up | ||
Problem Sets:
- Problem Set 1: 2up, 1up. Discussed September 26, 2024, 11:15-12:00.
Article in PsyPost from April 28, 2024: online, pdf.
Büttner, Kenntemich and Williams (2024), Psychology of Sport & Exercise, 72: online, pdf.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due September 26, 2024, 10:00. - Problem Set 2: 2up, 1up. Discussed October 10, 2024, 11:15-12:00.
Data: csv (codebook). Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due October 10, 2024, 10:00. - Problem Set 3: 2up, 1up. Discussed October 21, 2024, 10:15-11:50 (90').
Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due October 21, 2024, 10:00. - Problem Set 4: 2up, 1up. Discussed October 28, 2024, 11:05-11:50.
Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due October 28, 2024, 10:00. - Problem Set 5: 2up, 1up. Discussed October 31, 2024, 11:05-11:50.
Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due October 31, 2024, 10:00. - Problem Set 6: 2up, 1up. Discussed November 16, 2023, 11:15-12:00.
Reference: Daron Acemoglu, Simon Johnson, and James A. Robinson (2001), The Colonial Origins of Comparative Development: An Empirical Investigation, American Economic Review, 91, 1369-1401.
Data: csv, Stata. Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due November 14, 2024, 10:00. - Problem Set 7: 2up, 1up. Discussed November 28, 2024, 11:15-12:00.
Reference: Francis Vella and Marno Verbeek, (1998), Whose Wages do Unions Raise? A Dynamic Model of Unionism and Wage Rate Determination for Young Men, Journal of Applied Econometrics, 13, 163-183.
Data: csv (codebook). Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due November 28, 2024, 10:00. - Problem Set 8: 2up, 1up. Discussed December 9, 2024, 10:15-11:00.
Data: csv, Stata. Output: R, Stata.
Online test: OLAT UZH (login as affiliated with University of Basel using your Switch edu-ID). Due December 9, 2024, 10:00.
Exam Preview:
Causal Effects and the Logic of Randomized Experiments:
- Writing Group for the Women's Health Initiative Investigators (2002), Risks and Benefits of Estrogen Plus Progestin in Healthy Postmenopausal Women: Principal Results From the Women's Health Initiative Randomized Controlled Trial, Journal of the American Medical Association, 288:321-333.
- Jeremy D. Finn and Charles M. Achilles (1990), Answers and Questions About Class Size: A Statewide Experiment, American Educational Research Journal, 27, 557-577.
- Alan B. Krueger (1999), Experimental Estimates of Education Production Functions, The Quarterly Journal of Economics, 114 (2), 497-532.
- The Wyeth ghostwriting case: New York Times, Aug 4, 2009 , PLOS Medicine, Sep 7, 2010, PLOS Ghostwriting Collection.
Linear Regression:
- Benjamin et al. (2018), Redefine statistical significance, Nature Human Behaviour, 2, 2018, 6–10.
Heteroskedasticity:
- Uri Simonsohn (2021), Hyping Fisher: The Most Cited 2019 QJE Paper Relied on an Outdated Stata Default to Conclude Regression p-values Are Inadequate, DataColada Blog, posted on October 13, 2021.
Instrumental Variables:
- New York Times, Economix Blog (May 22, 2009)
- Freakonomics Blog (May 27, 2009)
- Replication files for example with broadband internet: data (Stata), data (csv), data description, R script
- Angrist, Joshua and Alan Krueger (2001), Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments, Journal of Economics Perspectives, 15/4, 69–85.
- Chernozhukov, Victor and Christian Hansen (2008),The reduced form: A simple approach to inference with weak instruments, Economics Letters, 100, 68–71.
- Hausman, Jerry (2001), Mismeasured Variables in Econometric analysis: Problem form the Right and from the Left, Journal of Economics Perspectives, 15/4, 57–67.
- Imbens, Guido W. and Joshua Angrist (1994), Identification and Estimation of Local Average Treatment Effects, Econometrica, 62(2), 467– 475.
- Stock, J. H., J. H. Wright and M. Yogo (2002), A Survey of Weak Instru- ments and Weak Identification in Generalized Method of Moments, Journal of Business and Economic Statistics, 20(4), 518–29.