University of California
Department of Economics
Doug Steigerwald
Advanced Econometrics I
Economics 245A
Course Goals:
To provide training in nonlinear statistical models, with emphasis on the application of
these models to cross-sectional and panel data.
Course Structure:
Meetings: TR 9:30–10:45 in North Hall 2111
Course Begins: Thursday September 24
Course Concludes: Friday December 4
Research Paper Due: Friday December 4
Requirements:
Research Topic Presentation: You will select a research topic for which you will
read a number of background papers and prepare a 15 page paper. In addition to a
synthesis of current knowledge, your paper should propose and discuss research
questions that advance topic knowledge. You will present your paper in an
assigned class slot of 25 minutes (reduced due to increased enrollment). Your
paper is due by noon on Friday of the last week of class.
Readings:
A suitable library for background reading includes, in addition to the texts by
Hansen and Hayashi:
J. Wooldridge, Econometric Analysis of Cross Section an Panel Data.
MIT Press 2010.
A. Pagan and A. Ullah, Nonparametric Econometrics.
Cambridge University Press 1999.
Lecture Schedule
Thursday:
Treatment Analysis: Credible Inference
Tuesday:
Treatment Analysis: Average Treatment Effects
Thursday, October 1:
Lecture Transferred to Student Presentations
Tuesday:
Treatment Analysis: Measurement of Social Interactions and Peer Effects
Thursday:
Treatment Analysis: Difference-in-Differences
Tuesday:
Treatment Analysis: Regression Discontinuity
Schedule: Economics 245A
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Thursday:
Beyond Classic Treatment: Missing Data
Tuesday:
Beyond Classic Treatment: Partial Identification
Thursday October 22:
Lecture Transferred to Student Presentations
Tuesday October 27:
Lecture Transferred to Student Presentations
Thursday October 29:
Lecture Transferred to Student Presentations
Tuesday:
Beyond Classic Treatment: Regime Switching
Thursday:
Accurate Measures of Precision: Double Bootstrap
Tuesday:
Accurate Measures of Precision: Cluster Sampling
Thursday November 12:
Nonlinear Methods: Nonparametric Density Estimation
Tuesday November 17:
Chris Pinchiff Partial Identification
Levi Marks Multiple Imputation Methods
Thursday November 19:
Juliana Helo Dynamic Discrete Choice Models
Yizhou Andrew Liu Nonparametric Function Estimation
Monday November 30 (3:30-4:45, 2111)
Sahaab Sheikh Missing Data
Dan Szmurlo Endogenous Spatial Weight Matrix
Tuesday December 1
Daniel Cullen
Zheng Wang Measurement Error in Probit Models
Wednesday December 2 (1:00-2:15, 2111)
Travis Cyronek Estimation in Dynamic Stochastic General Equilibrium Models
Chang Lee Cluster Robust Inference
Thursday December 3
Sumeyye Yildiz Simulated Method of Moments and Indirect Inference
James Banovetz Regression Trees
Thursday December 3 (1:00-2:45, 2111)
Renato Molina Synthetic Controls
Shamlan Albahar
Schedule: Economics 245A
Yuan Cao Triple Difference
Friday December 4 (9:30-10:45, 2111)
Michael Cooper Synthetic Controls vs. Matching
Andrew Ayers Duration Models
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