Topics in Microeconometrics

Professor William Greene

Stern School of Business, New York University

at

National University of Ireland, Galway

June 1-3, 2011

Professor

Professor William. Greene
 e-mail: wgreene@stern.nyu.edu

Professor’s Home Page: http://www.stern.nyu.edu/~wgreene

Abstract

This course will introduce the student to methods used to model cross section and panel data.  We will depart from the linear regression model to specifications for binary and censored data, ordered choices, count data and multinomial choices.  The discussion will present basic models for cross section data then introduce theory and methods for extensions to panel data and stated choice experiments..

Course Outline

This is a course in econometric analysis of cross section and panel data. There are a huge variety of models that are used in this context. We will focus on five which arguably comprise the foundation for the area: the linear regression model, the fundamental model of binary choice (and a number of variants); models for ordered choices; the Poisson regression model for count data; and the fundamental model for multinomial choice, the multinomial logit model. Discussions will cover the topics listed below.

            Prior knowledge is assumed to include calculus at the level assumed in the first year of a Ph.D. program in economics and a course in econometrics at the beginning Ph.D. level using a textbook such as Greene, W., Econometric Analysis, 6th edition.

 

No specific textbook is assigned for the course. Useful references are

 

Greene, W., Econometric Analysis, 6th Ed., Prentice Hall, 2008

Cameron, A.C. and P. Trivedi, Microeconometrics: Methods and Applications, Cambridge University Press, 2005.

A lower level textbook that discusses some of the topics we will visit is Wooldridge, J., Introduction to Econometrics: A Modern Approach,  Southwestern, 2008

 

Some of the presentation will be based on Econometric Analysis, 7th ed., by Greene, W. (Prentice Hall, 2011). Six chapters are included with the course materials: Left click to activate. Right click to download

 

Chapter 11: Models for Panel Data Greene-Chapter-11.pdf (Panel data models) 

Chapter 12: Estimation Methods Greene-Chapter-12.pdf (Estimation methods)

Chapter 14: Maximum Likelihood Greene-Chapter-14.pdf (Maximum likelihood estimation)

Chapter 15: Simulation Based Estimation and Inference Greene-Chapter-15.pdf (Simulation based estimation)

Chapter 17: Models for Discrete Data Greene-Chapter-17.pdf (Discrete choice models)

Chapter 18: Models for Unordered and Ordered Choices Greene-Chapter-18.pdf (Ordered and Unordered Choice Models)

Chapter 19: Limited Dependent Variable Models Greene-Chapter-19.pdf (LDV Models: Censoring, Truncation and Sample Selection)

  

Course Materials and Resources

 

I. Readings: Reading materials. Some survey papers that might be of some interest.  These are all PDF files

CountDataSurvey.pdf

DiscreteChoiceSurvey.pdf

OrderedChoiceSurvey.pdf

FixedEffects.pdf

 

II. Class Notes: These are Powerpoint slide presentations for use during the class sessions.

Part 0: Introduction

Part 1: Regression Models

Part 2: Endogeneity and Instrumental Variables

Part 3: Panel Data Regression Models

Part 4: Binary Choice Models

Part 5: Ordered Choices and Count Data

Part 6: Two Part Models

Part 7: Nonlinear Panel Data Models

Part 8: Modeling Parameter Heterogeneity

Part 9: Multinomial Choice Models

Part 10: Stochastic Frontier Models

 

 III.  Software: The exercises in the labs will be done using NLOGIT. A copy for students to  install on their own computers, that is useable for the duration of the course and a short while afterward, will be distributed by the organizers.  Students may also download the installation kit for the software from the course home page. NOTE: This version of NLOGIT will work from May 1, 2011 to June 15, 2011.

 

An NLOGIT Quick Start Tutorial

Short Introduction to NLOGIT

LIMDEP Student User’s Manual

NLOGIT Student User’s Manual

NLOGIT Software Setup for Installing NLOGIT on Your Computer

 

IV.  Lab Sessions:

 

LAB 1: Regression Models

Regression, Endogeneity, Panel Data  

Assignment: Regression Modeling

NLOGIT Commands for Lab 1

 

LAB 2: Discrete Choice

Discrete choice and Limited Dependent Variables

Assignment: Discrete Choice Models

NLOGIT Commands for Lab 2

 

LAB 3: Nonlinear Models, Heterogeneity, Multinomial Choice

Panel data models, Mixed Models, Multinomial Choice, Stochastic Frontiers

Assignment: Parameter Heterogeneity and Multinomial Choice Models

NLOGIT Commands for Lab 3

 

 

V.  Data Sets: 

Cornwell and Rupert: labor market panel data

German Socioeconomic Panel: GSOEP health care panel data

Sydney-Melbourne Commutation: CLOGIT multinomial choice

Shoe Brand Stated Choice Experiment

Dairy Farm Panel Data