Topics in Microeconometrics

Professor Christian Belzil (CNRS, GATE and IZA)

University of Bonn, Spring 2005

[Download course outline in PDF]

Schedule: April 12, 13, 19, 20, 26, 27 and May 3, 4, 10, 11 (and May 24 as a spare date)

Meeting Time and Place: 9-12 in seminar room IZA, Schaumburg-Lippe Str. 7, 1st floor.
Please note that the seminar starts at 9:00 a.m. sharp (s.t.)!

Download lecture notes (PDF):
[Section 1-4]
[Section 5-7] (updated May 2)
[Section 8]
[Section 9] (added May 2)
[Section 10] (updated May 17)
[Mincer notes] (added May 17)

1. Introduction to Estimation: The Method of Moments and the Sample Analog
Method of moments, Maximum likelihood, Generalized Method of moments.

2. Introduction to Discrete Choices and sample Selection Models
Some Cross Section Discrete Choice Models (optional): Probit, logit, Censored regressions, Selectivity models

3. Estimation of Treatment Effects
Models with ignorability Assumptions, IV Methods

4. Linear Regression Panel Data Models
Fixed Effects Logit, Random Effects models (Random Effects probit Models, Chamberlain’s Random Effects Probit model)

5. Static and Dynamic Discrete Choice Panel Data Models
Dynamic Discrete Choices (Initial Conditions, True vs. Spurious State Dependence)
     Application: Dynamic Female Labor supply (Hyslop, Econometrica, 1999)

6. Duration Models
Introduction to hazard Models: Specification, Models with Unobserved Heterogeneity, Duration Dependence, Flexible Estimation, Application: Meyer (1990, Econometrica)
     Discrete Durations (Applications: Cameron and Heckman, 1998, Journal of Political Economy)
     Multiple Durations (Applications: Ham and Lalonde, Econometrica 1996 and Belzil, 2001, Journal of Applied Econometrics)

7. Structural Dynamic Discrete Choice Models
An introduction to the estimation of dynamic programming models (Eckstein and Wolpin’s survey in Journal of Human Resources)
     Applications: The Estimation of Job Search Models, Endogenous Schooling Models

8. References

• Belzil, Christian (2001) “Unemployment insurance and Subsequent Job Duration: Job Matching vs Unobserved heterogeneity” Journal of Applied Econometrics, 16 (5); 619- 636.
• Belzil, Christian and Hansen, Jörgen (2002) “Unobserved Ability and the Return to Schooling” Econometrica, vol 70, No 6.
• Cameron, Stephen and Heckman, James (2001) “The Dynamics of Educational Attainments for Black, Hispanic, and White Males” Journal of Political Economy, 109 (3), 455-499
• Cameron, Stephen and Heckman, James (1998) “Life Cycle Schooling and Dynamic Selection Bias: Models and Evidence for Five Cohorts of American Males” Journal of Political Economy, 106 (2), 262-333.
• Keane, Michael P. and Wolpin, Kenneth (1997) ”The Career Decisions of Young Men” Journal of Political Economy, 105 (3), 473-522.
• Eckstein and Wolpin (1989) The estimation of Dynamic Stochastic Discrete Choice Models, Journal of Human Resources
• Ham, John and Robert Lalonde (1996) “The Effect of Sample Selection and Initial Conditions in Duration Models” Econometrica
• Hyslop, Dean (1999) “State Dependence, serial Correlation and Heterogeneity in Intertemporal Labor Force Participation” Econometrica vol 67, no 6. pp 1255-1294
• Meyer, Bruce (1990) ”Unemployment Insurance and Unemployment Spells”, Econometrica, 58 (4): 757-782.