Microeconometrics: Panel Data and Multinomial Choice

Universität Basel, Spring 2020
Master in Wirtschaftswissenschaften
Prof. Dr. Kurt Schmidheiny

General Information:

• Syllabus and Calendar
  As of Mar 17, 2020, the class is taught via Zoom in the usual time slot.
• Slides Introduction: 4up, 1up
• Recordings of Online Lectures (password protected): mp4, SwitchTube

Lecture Schedule:

• Week 1 (Feb 18): Intro and Panel Data I, 1-13
• Week 2 (Feb 25): Panel Data I, 14-26, Proof asymptotic properties POLS
• Week 3 (Mar 10): Panel Data I, 27-32, PS 1
• Week 4 (Mar 17): Panel Data I, 33-51, PS 1
• Week 5 (Mar 24): Panel Data I, 52-53, PS 2
• Week 6 (Mar 31): Panel Data I, 54-67, PS 3
• Week 7 (Apr 7): Event Study and Distributed-Lags (Schmidheiny & Siegloch)
• Week 8 (Apr 14): Replication in Schmidheiny & Siegloch
• Week 9 (Apr 21): GMM
• Week 10 (Apr 28): GMM, PS 4
• Week 11 (May 5): Panel Data II. 1-11
• Week 12 (May 12): Panel Data II. 12-22
• Week 13 (May 19): Panel Data II. 23-, PS 5
• Week 14 (May 26): Panel Data II. PS 5

Lecture Notes:

• Elements of Matrix Algebra: 2up, 1up
• Panel Data I - Fixed and Random Effects: 4up, 1up
  Update Mar 24, 2020: New slide 50, additions on slides 64 and 68.
• Generalized Method of Moments: 4up, 1up
• Panel Data II - Dynamic Models: 4up, 1up

Additional References:

• Marianne Bertrand, Esther Duflo, Sendhil Mullainathan (2004), How Much should we Trust Differences-In-Differences Estimates? The Quarterly Journal of Economics, 119(1), 249-275.
• A. Colin Cameron, and Douglas L. Miller (2015), A Practitioner’s Guide to Cluster-Robust Inference, The Journal of Human Resources, 50(2), 317-372.
• Kurt Schmidheiny and Sebastian Siegloch (2020), "On Event Studies and Distributed-Lags in Two-Way Fixed Effects Models: Identification, Equivalence, and Generalization". Mimeo March 2020, annotated version from lecture, slides.
  Replication: Baker and Fradkin, REStat 2017 (.pdf), Stata data (.dta), Stata do file (.do).
• Richard Blundell, Stephen Bond (1998), Initial conditions and moment restrictions in dynamic panel data models, Journal of Econometrics, 87, 115-143.

Data:

• Marius Brülhart, Jonathan Gruber, Matthias Krapf, and Kurt Schmidheiny (2019), "Behavioral Responses to Wealth Taxes: Evidence from Switzerland", Mimeo October 2019.
  Data: Stata 14, Stata 11, csv, Variables.

Problem Sets:

• Problem Set 1: 2up, 1up. Shown Mar 10, 2020.
  Code and output: Stata do-file, Stata output, formatted result table.
• Problem Set 2: 2up, 1up. Discussed Mar 24, 2020.
  Code and output: Stata do-file, Stata output.
• Problem Set 3: 2up, 1up. Discussed Mar 31, 2020.
  Code and output: Stata do-file, Stata output, Figure for 3a), Figure for 3b).
• Problem Set 4: 2up, 1up. Discussed April 28, 2020.
• Problem Set 5: 2up, 1up. Discussed May 12 and 19, 2020
  Data: .dta, article by Acemoglu et al. (2005), article by Bobba and Coviello (2007).
  Code and output: Stata do-file, Stata output