Download Industrial Organization - International University of Japan

Cross Sectional and Panel Data Analysis
Tentative syllabus
International Development Program
International University of Japan
Instructor: Shingo Takahashi
Office: Main Building 314
Office hours: TBA
Email: [email protected]
Course Description: This course is a continuation of the Research Methodology which
was offered in the Spring term. This course and Research Methodology constitute a
sequence of two courses that teach cross sectional and panel data econometric techniques.
Research methodology focused on the linear regression model. This course’s main focus
is on limited dependent and qualitative variable models, such as probit and logit models,
tobit models, Heckman sample selection bias correction and duration models. These
models are used, for example, to analyze the labor force participation decisions or the
unemployment duration. However, we also cover linear regression models that were not
covered in Research methodology, such as the instrumental variable estimation.
Required Text: Introductory Econometrics: A Modern Approach, by Jeffery M.
Wooldridge, 4th Edition, South-Western CENGALE Learning.
Additional materials:
Econometrics Analysis, William Greene, Fifth Edition, Prentice Hall.
Limited dependent and qualitative variables in econometrics: G.S. Maddala,
Cambridge University press, 1983
Computer Software: Stata
Prerequisites: Research Methodology
Statistics for Business and Economics
Mathematics and Computing for Economics
Applied Econometrics
Grading Scheme: Homework (20%), Empirical Project (35%), and Final exam (45%)
TA:
Outline of the lecture:
1. Heteroskedasticity (Ch8), Instrumental variable estimation (Ch 15) W1
2. Instrumental Variable Estimation and Two Stage Least Squares (Ch 15) W2
3. Simultaneous equation model (Ch 16) W2-3
4. The Maximum Likelihood Estimation W4
5. Probit and logit model (Ch 17 Wooldridge) W4-W5
(a)
(b)
(c)
(d)
Binary probit and logit models.
Ordered probit and logit models.
Interpretation of the coefficients.
Applications
6. Censoring, truncation and the sample selection correction (Ch 17 Wooldridge) W6W7
(a) Tobit model (Censoring)
(b) Truncation (Sample selection)
(c) Heckman sample selection bias correction model (Heckman two step estimation)
(d) Applications
7. The duration model W8-W9
(a)
(b)
(c)
(d)
Hazard function estimation
Incorporating time varying explanatory variables
Incorporating unobserved heterogeneity
Applications
Week 10: Final exam
Regarding the student presentations.
Student’s final group presentation will be conducted one week after the final exam during
the exam week. This scheduling will allow students to use econometric models that will
be taught latter part of the class. Groups will be determined earlier in the course. All the
groups should use The Japanese Panel Survey of Consumers (JPSC). I will apply for the
data and provide it for you.