Delivered By: Dr Melvyn Weeks, University of Cambridge

Course Overview

This course provides a review and practical guide to a number of microeconometric models and estimators. We focus on panel and count data models and also examine a broad class of models of discrete choice behaviour. The course emphasise two estimators, the instrumental variable estimator, and the Generalised Method of Moments. The objective of the course is to provide a solid introduction to each of the topics, reviewing both the theoretical econometrics and the empirical literature. Each topic discussed is then illustrated with real data examples using Stata. Some of the examples and applications discussed include: the demand for differentiated products in the ready-to-eat cereal industry, flexible substitution patterns in the new car market, foreclosure in subprime mortgages, the number of patents held by firms, the number of children born to a woman.

Topics Include

Generalised Method of Moments (the link between OLS, method of moments, IV and GMM)

Discrete Choice Models (conditional and multinomial logit, multinomial probit and mixed logit)

Instrumental Variables Estimation (IV Estimation in linear models, overidentifying restrictions, tests for endogeneity)

Panel Data (pooled OLS, fixed and random Effects estimators, dynamic panel data methods)

Count Models (the Poisson regression model, extensions of the Poisson model, quasi-maximum likelihood estimation, generalised linear models, mixture models)

Who should attend?

This course is aimed at economists and applied econometricians who deal with different types of data and projects in their day-to-day work. Professionals who are interested to learn different techniques and raise their awareness of possible methodologies that can be used in their current or future projects will greatly benefit from this course.

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