New York University/Statistics and Data Analysis

Topics in Microeconometrics

Professor William Greene

Stern School of Business, New York University

University of Queensland, Brisbane, Australia

July 7-9, 2010

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, 6^th edition.

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

Greene, W., Econometric Analysis, 6^th 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, 6^th ed., by Greene, W. (Prentice Hall, 2003). Six chapters are included with the course materials: Left click to activate. Right click to download

Chapter 9: Models for Panel Data Greene-Chapter-9.pdf (Panel data models)

Chapter 14: Estimation Methods Greene-Chapter-14.pdf (Estimation methods)

Chapter 16: Maximum Likelihood Greene-Chapter-16.pdf (Maximum likelihood estimation)

Chapter 17: Simulation Based Estimation and Inference Greene-Chapter-17.pdf (Simulation based estimation)

Chapter 23: Models for Discrete Data Greene-Chapter-23.pdf (Discrete choice models)

Chapter 25: Models for Count Data and Duration Greene-Chapter-25.pdf (Count data models)

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

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 June 15, 2010 to July 31, 2010.