Bonn Graduate School of Economics
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The course in Applied Econometrics at the Bonn Graduate School will be held from October 2000 to February 2001. After a general introduction into the methods used in econometrics, the course deals with the use of models for discrete and limited dependent variables, and models for panel data. The second half of the course consists of an extended case study.
Objectives
One objective of the course is to provide the students with a good understanding of econometric models for discrete and limited dependent variables, and models for panel data. These models are widely used in the empirical literature, and a good understanding of these models is crucial for the second objective of the course: to provide the students with the ability to evaluate recent empirical studies. The third objective of the course is to develop practical skills, which are necessary to perform independent research using microdata.
Lecturers
- Prof. Dr. Klaus F. Zimmermann
- Dr. Rainer Winkelmann
- Dr. Rob Euwals
Prerequisites
You are expected to have a good knowledge in matrix algebra, probability and distribution theory, statistical inference, the classical multiple linear regression model (OLS) and the problems related to the assumptions of this model (multicollinearity, measurement error, heteroskedasticity), and the maximum likelihood method. To acquire this knowledge you should study:
- Verbeek, Marno (2000): A Guide to Modern Econometrics, Wiley. Appendices A and B, and chapters 2, 3.1, 3.2, 4.1-4.3, 6.1.
You should try to do the respective exercises at the end of each chapter.
Examination
The examination of the course Applied Econometrics consists of three parts.
- A written exam (closed book) after the first part of the course.
- Participation during class. In the second part of the course, you will be asked to present papers as well as results from some simple related empirical exercises.
- An empirical assignment in the second part of the course.
Time and place of course
Wintersemester: October 16, 2000 to February 16, 2001
Time: Friday, 9:15 - 12:15
Place: Seminar Room (2.2), IZA, Schaumburg-Lippe-Str. 7
Content
Methods and models
- Consistent and efficient estimation
- Binary and multiple choice models
- Limited dependent variable models
- Sample selection models
- Panel data models
Case study: The determinants of individual earnings
- Introduction: Theory, choice of regressors, functional form and identification
- Male-female and immigrant/native earnings differentials
- Participation and occupational choice
- Treatment effects
- Returns to education
- Tenure profiles
Reading list
| 1. | Verbeek (2000), A Guide to Modern Econometrics, ch. 2, 3, 4.1-4.3, 6.1, 6.2.
Schmidt, C., and K.F. Zimmermann (1991), Work Characteristics, Firm Size and Wages, Review of Economics and Statistics, Vol. 73, pp. 705-710. |
| 2. | Verbeek (2000), A Guide to Modern Econometrics, ch. 7.1, 7.2.
Moffitt, R.A. (1999), New Developments in Econometric Methods for Labor Market Analysis, in O.C. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 24, pp. 1367-1397, sections 2.1 and 2.2. Hausman, J.A., and D.A. Wise (1978), A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences, Econometrica, Vol. 46, No. 2, pp. 403-426. |
| 3. | Verbeek (2000), A Guide to Modern Econometrics, ch. 7.3, 7.4.
Moffitt, R.A. (1999), New Developments in Econometric Methods for Labor Market Analysis, in O.C. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 24, pp. 1367-1397, section 2.3. Moffitt, R.A. (1982), The Tobit Model, Hours of Work and Institutional Constraints, Review of Economics and Statistics, Vol. 64, Issue 3, pp. 510-515. |
| 4. | Verbeek (2000), A Guide to Modern Econometrics, ch. 7.5.
Moffitt, R.A. (1999), New Developments in Econometric Methods for Labor Market Analysis, in O.C. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 24, pp. 1367-1397, section 2.4. Mroz, T.A. (1987), The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions, Econometrica, Vol. 55, No. 4, pp. 765-799. |
| 5. | Verbeek (2000), A Guide to Modern Econometrics, ch. 10.1-10.3.
Watts, M., and W. Bosshardt (1991), How Instructors Make a Difference: Panel Data Estimates from Principles of Economic Courses, The Review of Economics and Statistics, Vol. 73, Issue 2, pp. 336-340. Deolalikar, A.B. (1988), Nutrition and Labor Productivity in Argiculture: Estimates for Rural South India, The Review of Economics and Statistics, Vol. 70, Issue 3, pp. 406-413. |
| 6. | Berndt, E.R. (1991) The practice of econometrics: Classic and contemporary, Chapter 5, Reading, Mass.: Addison-Wesley.
Mincer, J. (1958) Investment in Human Capital and Personal Income Distribution, Journal of Political Economy, Vol.66 (4), 281-302. Card, D. (1999) The Causal Effect of Education on Earnings, in O. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 30, pp. 1801-1863. Kruger, A. (1993) How Computers Have Changed the Wage Structure: Evidence from Microdata, 1984-1989,Quarterly Journal of Economics, 108(1), 33-60. |
| 7. | Oaxaca, R. (1979) Male-Female Wage Differentials in Urban Labor Markets, International Economic Review, 14(3), 693-709.
Blau, F. and L. Kahn (1992) The Gender Earnings Gap: Learning from International Comparisons, American Economic Review (P&P), 82, 533-538. Bloom, D.E., G. Grenier, and M. Gunderson (1995) The Changing Labor Market Position of Canadian Immigrants, Canadian Journal of Economics, Vol. 28, 987-1005. |
| 8. | Berndt, E.R. (1991) The practice of econometrics: Classic and contemporary, Chapter 11, Reading, Mass.: Addison-Wesley.
Roy, A.D. (1950) The Distribution of Earnings and Individual Output, Economic Journal, 60 (3), 489-505. Ermisch, J.F. and R. Wright (1994) Interpretation of Negative Sample Selection Effects in Wage Offer Equations, Applied Economics Letters, 1(11), 187-89. Heckman, J. (1974) Shadow Prices, Market Wages, and Labor Supply, Econometrica, 42(4), 679-94. |
| 9. | Moffitt, R. (1991) Program evaluation with non-experimental data, Evaluation Review, 15, 291-314.
Angrist , J. and A.B. Krueger (1999) Empirical Strategies in Labor Economics, in O. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 23. Ermisch, J.F. and R. Wright (1994) Interpretation of Negative Sample Selection Effects in Wage Offer Equations, Applied Economics Letters, 1(11), 187-89. Heckman, J. (1974) Shadow Prices, Market Wages, and Labor Supply, Econometrica, 42(4), 679-94. |
| 10. | Card, D. (1999) The Causal Effect of Education on Earnings, in O. Ashenfelter and D. Card (eds.), Handbook of Labor Economics, Vol. 3A, Chapter 30, pp. 1801-1863.
Angrist, J.D. and A.B. Krueger (1991), Does Compulsory School Attendance Affect Schooling and Earnings?, Quarterly Journal of Economics, 106(4), 979-1014. Ashenfelter, O. and A. Krueger (1994) Estimates of the economic return to schooling from a new sample of twins, American Economic Review, 84(5): 1157-1173. |
| 11. | Cardoso, A.R. (1999) Firms' Wage Policies and the Rise in Labor Market Inequality: The Case of Portugal, Industrial and Labor Relations Review, 52 (1) 87-102.
Altonji, J. and R. Shakotko (1987)Do Wages Rise with Job Seniority? Review of Economic Studies 54(3), 437-59. Abraham, K.G. and H. Farber (1987) Job Duration, Seniority, and Earnings, American Economic Review 77(3), 278-97. Ruhm, C. (1990) Do Earnings Increase with Job Seniority? Review of Economics and Statistics 72(1), 143-147. |