Statistics and Econometrics 2 (ECO-CO-STATS2)


Department ECO
Course category ECO Compulsory courses
Course type Course
Academic year 2021-2022
Term BLOCK 2
Credits 1 (EUI Economics Department)
Contact Simonsen, Sarah


Sule Alan ([email protected]) and Thomas Crossley ([email protected])

The course is intended to introduce students to some standard methods specifically designed for the analysis of microeconomic data. The first half of the course covers methods for limited dependent variables, censoring, truncation and duration data, mostly by maximum
likelihood. The 2nd half of the course covers methods for panel data (with a focus on linear models).
Topic 1
Overview and Introduction Content of this course. Review of maximum likelihood methods. 
Cameron and Trivedi, 5

Topic 2
Binary Response models: Probit and Logit.
Cameron and Trivedi, 14

Topic 3
Multinomial and Ordered Response: Ordered probit models, Multinomial logit models; Independence of irrelevant alternatives.
Cameron and Trivedi, 15

Topic 4
Corners, Censoring, Truncation: Censoring, Tobit, Selection models.
Cameron and Trivedi, 16

Topic 5
Introduction to Duration Analysis:
Cameron and Trivedi, 17, 18

Topic 6
Basic Linear Panel Data Models: Pooled, fixed effects, random effects. Fixed effects versus first diferencing. Hausman Test. Differenes in Differences.
Cameron and Trivedi, 21

Topic 7
Further topics in Linear Panel Data Models :IV and GMM approaches to linear panel data models. Hausman Taylor. The Chamberlain approach and minimum distance.
Cameron and Trivedi, 22

Topic 8
Binary Response Models for Panel Data:(Time allowing.)

Exercise classes
There will be 6 problem sets, 6 exercise classes and 1 review class before the exam.

Final exam and Grading
• 6 problem sets will count for 30% of the final grade;
• A final exam will count for 70% of the final grade.


see above

Register for this course

Page last updated on 21 September 2018

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