Dr Guy Michaels LRB. R438

Dr Matthew Gentry 32L4.28

This course is available on the BSc in Econometrics and Mathematical Economics, BSc in Economics, BSc in Economics and Economic History and BSc in Social Policy and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit. This course is available to General Course students.

Students should have completed Microeconomic Principles I (EC201) or Microeconomic Principles II (EC202) or equivalent, and either Introduction to Econometrics (EC220) or Principles of Econometrics (EC221).

Students who have completed EC220 rather than EC221 should refer to Dr Gentry for advice before starting the course regarding additional preparatory work for Lent term course material.

The purpose of this course is to provide a solid grounding in recent developments in applied econometrics. A major feature of the course is the use of both analytical and computer-based (data) exercises for the classes, which will enable students to gain practical experience in analysing a wide variety of econometric problems. The topics covered in the Michaelmas term include analysis of experimental and non-experimental data, identification of average treatment effects and local average treatment effects, weak instrument problems, quantile regressions, and regression discontinuity. The Lent term will focus on topics in the analysis of panel data of both static and dynamic models, including fixed and random effects, measurement error in panel contexts, instrumental variable regression, and generalized method of moments.

15 hours of lectures and 8 hours of classes in the MT. 15 hours of lectures and 10 hours of classes in the LT. 2 hours of classes in the ST.

2-3 problem sets, usually to include econometric questions and Stata applications. Feedback to be provided by the class teacher.

A detailed reading list will be provided at the beginning of each term of the course. In parts of the Michaelmas we will use sections from the textbook "Mostly Harmless Econometrics" by Angrist and Pischke. There is no single text for the Lent term, but useful books (somewhat more advanced than the lectures) are Hsiao, "The Analysis of Panel Data" and Wooldridge, "Econometrics".

Exam (100%, duration: 3 hours) in the main exam period.