EC9A3 Advanced Econometrics Theory – Part 4
Lecturer:
Fabian Waldinger
Office Hours: Wednesdays 4-5pm
E-mail: f.waldinger@warwick.ac.uk
Textbooks
The main textbooks for this first part of the course are:
Angrist and Pischke (2009) Mostly Harmless Econometrics, Princeton University Press, Princeton
and Oxford.
Wooldridge (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press
Lecture 1: Randomized Experiments
Lecture Content:
Introducing randomized experiments to identify causal effects. Practical problems of running
experiments are covered in the NBER SI 2009 lectures which you should watch at home. In the
last part of the lecture I will discuss two particularly nice applications of randomized
experiments.
Required Readings:
MHE – Chapter 2
Krueger, A. “Experimental Estimates of Education Production Functions”, The Quarterly Journal
of Economics, vol. 114, no. 2, pp. 497-532.
http://www.jstor.org/stable/2587015?origin=JSTOR-pdf
Miguel, E. and M. Kremer (2004) “Worms: Identifying Impacts On Education And Health In
The Presence Of Treatment Externalities”, Econometrica, vol. 72, no. 1, pp. 159-217.
http://weber.ucsd.edu/~tkousser/Miguel%20and%20Kremer.pdf
DellaVigna, S., J.A. List, and U. Malmendier (2010) “Testing for Altruism and Social Pressure in
Charitable Giving”, mimeo UC Berkeley and Chicago.
http://www.econ.berkeley.edu/~sdellavi/wp/charsocpress10-06-17.pdf
Further reading on experiments:
List, J.A., and I. Rasul (2010) “Field Experiments in Labor Economics” in Handbook of Labor
Economics, vol. 4, eds. O. Ashenfelter and D. Card, forthcoming
http://www.nber.org/papers/w16062
Gives a good overview of field experiments in Labour Economics and highlights some recent trends.
J. List, S. Sadoff, M. Wagner (2010) “So you want to run an experiment, now what? Some Simple
Rules of Thumb for Optimal Experimental Design”, NBER working paper, no. 15701.
http://www.nber.org/papers/w15701
Gives very good practical advice on optimal sizes of experimental samples and how to do power correlations before
starting an experiment.
Furthermore you should all watch the lectures given at the NBER Summer Institute 2009 on
Randomized Experiments (the material will be part of the assessment). The lectures were given
by John List and Michael Kremer.
http://www.streamingmeeting.com/webmeeting/matrixvideo/nber/index.html
Lecture 2: Introduction to Panel Data
Lecture Content:
We will investigate random effects and fixed effects models. We will then learn about papers that
explicitly estimate fixed effects to learn about economic relationships.
Required Readings:
Wooldridge – Chapter 10
Bertrand, M. and A. Schoar (2003) “Managing with Style: The Effect of Managers on Firm
Policies”, The Quarterly Journal of Economics, vol. 118, no. 4, pp. 1169-1208.
http://www.jstor.org/discover/10.2307/25053937?uid=3738032&uid=2&uid=4&sid=2110366
2783113
Card, D, J. Heining, P. Kline (2013) “Workplace Heterogeneity and the Rise of West German
Wage Inequality”, The Quarterly Journal of Economics, vol. 128, pp. 967-1015.
http://qje.oxfordjournals.org/content/128/3/967.full.pdf?keytype=ref&ijkey=sYrvPb4ePuByO
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Furthermore the NBER Summer Institute 2007 has very nice lectures on panel data models that
you should all watch:
http://www.nber.org/minicourse3.html
Lecture 3: Differences-in-Differences
Lecture Content:
Differences-in-Differences Basics, Regression Differences, in Differences, Parallel Trend
Assumption, Correct treatment of standard errors in DD model, Synthetic Controls methods,
combining DD with IV.
Required Readings:
MHE - Chapter 5
Card, D. and A. Krueger (1994) “Minimum Wages and Employment: A Case Study of the FastFood Industry in New Jersey and Pennsylvania”, American Economic Review, vol. 84, pp. 772-93.
http://emlab.berkeley.edu/users/card/papers/min-wage-ff-nj.pdf
Abadie, A. and J. Gardeazabal (2003) “The Economic Costs of Conflict: A Case Study of the
Basque Country”, American Economic Review, vol. 93, no. 1, pp. 113-132
http://www.hks.harvard.edu/fs/aabadie/eccp.pdf
Waldinger, F. (2010) “Quality Matters: The Expulsion of Professors and the Consequences for
PhD Student Outcomes in Nazi Germany”, Journal of Political Economy, vol. 118, no. 4, pp. 787831.
http://www.jstor.org/stable/pdfplus/10.1086/655976.pdf?acceptTC=true
Further Reading:
MHE – Chapter 8
In particular section 8.2.
Bertrand, M., E. Duflo and S. Mullainathan (2004) “How Much Should We Trust DifferencesIn-Differences Estimates?”, The Quarterly Journal of Economics, vol. 119, no.1, pp. 249-275.
http://www.mitpressjournals.org/doi/pdf/10.1162/003355304772839588
This paper provides more detailed information on why serial correlation affects many DD papers and proposes
solutions to address serial correlation in DD.
A. Abadie, A. Diamond, and J. Hainmueller (2010) “Synthetic Control Methods for Comparative
Case Studies: Estimating the Effect of California’s Tobacco Control Program,” Journal of the
American Statistical Association
This paper provides a slightly different exposition of the synthetic control method and provides information on
inference.
Author, D (2003) “Outsourcing at Will: The Contribution of Unjust Dismissal Doctrine to the
Growth of Employment Outsourcing”, Journal of Labour Economics, vol. 21, pp. 1-42.
This is the paper briefly discussed in the lecture with a nice use of leads and lags.
Lecture 4: Regression Discontinuity Design
Lecture Content:
Regression Discontinuity Design. Regression Kink Design.
Required Readings:
MHE - Chapter 6
Lee, D. and T. Lemiueux (2010) “Regression Discontinuity Designs in Economics”, Journal of
Economic Literature, vol. 48, no. 2, pp. 281-355.
http://www.princeton.edu/~davidlee/wp/RDDEconomics.pdf
Angrist, J. and V. Lavy (1999) “Using Maimonides Rule to Estimate the Effect of Class Size on
Scholastic Achivement”, The Quarterly Journal of Economics, vol. 114, no. 2, pp. 533-575.
http://www.mitpressjournals.org/doi/abs/10.1162/003355399556061
Further Readings:
G. Imbens and T. Lemieux, “Regression Discontinuity Designs: A Guide to Practice,” Journal of
Econometrics 142 (2008), 615-35.
Lee, D. (2008) “Randomized Experiments from Non-Random Selection in U.S. House
Elections,” Journal of Econometrics, vol. 142.
McCrary, J. (2008) “Manipulation of the running variable in the regression discontinuity design:
A density test”, Journal of Econometrics, vol. 142, pp. 698-714.
Hahn J., P. Todd, and W. van der Klaauw (2001) “Identification and Estimation of Treatment
Effects with a Regression-Discontinuity Design, Econometrica, vol. 69, pp. 201-209.
Imbens, G. and K. Kalyanaraman (2009) “Optimal Bandwidth Choice for the Regression
Discontinuity Estimator,” NBER Working Paper, no. 14726.
Card, D. Lee, and Z. Pei (2009) “Quasi-Experimental Identification and Estimation in the
Regression Kink Design”, mimeo Princeton
http://www.irs.princeton.edu/pubs/pdfs/553.pdf
Lecture 5: Bad controls, Standard Errors, Quantile Regression
Moulton, Brent R. (1986) Random Group Effects and the Precision of Regression Estimates,
Journal of Econometrics, no. 32, pp. 385-397.
http://ac.els-cdn.com/0304407686900217/1-s2.0-0304407686900217-main.pdf?_tid=30ec4ddca07e-11e3-84e5-00000aacb361&acdnat=1393595139_66bd951511b7eafacbb4dc35a036614e
Angrist, Joshua, Victor Chernozhukov, and Iván Fernández-Val (2006) “Quantile Regression
under Misspecification, with an Application to the U.S. Wage Structure”, Econometrica , vol. 74,
no. 2, pp. 539-563.
http://www.jstor.org/stable/pdfplus/3598810.pdf?acceptTC=true