National Tsing Hua University

Instructor: Shih-Chang Lin

O¢ ce Hours: Tuesday 11:00-12:00 or by appointment

Course Webpage: Blackboard System –http://elearn.nthu.edu.tw/bin/index.pl

Course Description:

Due to the extensive availability of individual-level (micro) data sources in applied eco-nomic analysis, it is getting increasingly important to understand the techniques available to the microeconometrician in empirical work. It is essential to relate these techniques to economic theory. We then obtain the insights drawn from the estimation of microeconometric models of choice. The econometric techniques of handling those microeconometric model move beyond the standard tools of econometric analysis.

This class is a graduate level …eld course which provides you with su¢ cient background in modern microeconometrics to choose techniques …tted both to the data and the economic model. We will focus on discrete choice models, limited dependent variable models, panel data models and duration model. The goal is to build up a foundation for applied research in economics. The coursework will be theoretical in nature, but students will also be required to use the methods to estimate certain models and test certain hypotheses.

Prerequisites:

ECON 5033 or an equivalent graduate level Econometrics

Textbook:

Basically, I will hand out weekly lecture notes which are the summary of literature and

textbooks.

[JD] Johnston and DiNardo, 1997, Econometric Methods, 4th edition, McGraw Hill.

[G] Greene, W. H., 2003, Econometric Analysis, 5th edition, Prentice Hall.

References:

Note that you don’t need to buy the following references. If you are not comfortable with basic concepts of econometrics, it would be helpful to consult to above textbooks and the following references anytime.

[W] Wooldridge, J. M., 2002, Econometric Analysis of Cross Section and Panel Data,MIT Press.

[K] Kennedy, P. A., 1998, A guide to Econometrics, 4th edition, MIT Press.

[DS] DeGroot M. H. and M. J. Schervish, 2002, Probability and Statistics, 3rd edition, Addison Wesley.

[CB] Casella, G. and R. L. Berger, 2001, Statistical Inference, 2nd edition, Duxbury.

[R] Ruud, P. A., 2000, An Introduction to Classical Econometric Theory, Oxford.

[DM] Davidson, R. and J. D. MacKinnon, 2004, Econometric Theory and Methods,

Oxford.

Of course, there are lots of textbooks related to this course such as the classical book by G. S. Maddala in 1983. You could easily check it out from the library. If necessary, you are welcome to consult with me for more references.

Software: You are welcome to use any econometric or statistic softwares such as Matlab, TSP, Gauss, Stata, Eview, or Limdep.

Grading:

Couples of problem sets will be passed out during the semester. Note that overdue assignment will NOT be accepted. There will be a midterm and a …nal. They will count toward the grade as follows.

Assignments 30%

Midterm 30%

Final 40%.

Course Organization: 17 weeks / lectures [Tentative!!]

Warm Up

1. Organization

2. GMM and MLE Discrete Choice Models

3. Binary Choice Model I

4. Binary Choice Model II

5. Multinomial Choice Model Limited Dependent Variable Model

6. Truncated Regression Model

7. Censored Regression Model

8. Sample Selection Model I

9. Midterm Exam [In class]

10. Sample Selection Model II

Panel Data Analysis

11. Static Panel Data Model I

12. Static Panel Data Model II

13. Dynamic Panel Data Model I

14. Dynamic Panel Data Model II

Other Topics

15. Treatment E¤ect Model

16. Duration Model and Survival Analysis

17. Final Exam [In class]