Microeconometrics at Scuola Superiore Sant'Anna

Monday, 9.3.2015 - Friday 13.3.2015

First part: Discrete choice

Topics

• Maximum Likelihood
• Nonlinear Regressions
• Discrete-Choice-Models (Murray 19; Greene 23)
• Count Data (Greene 25)
• Survival Models (Greene 24)

Handout

If you want to prepare for the lecture (or revise), you can have a look at the Handout.

You will find still a lot of mistakes but you might get the idea ;-)

Exercises

... can also be found in the appendix of the handout. Participants can solve the exercises in pairs and hand in the solutions (as text or pdf) before the next lecture. No pair can hand in more than two solutions. To get a credit for the course solutions to all exercises have to be submitted in time.

Literature:

• William Greene, Econometric Analysis, Prentice Hall, 7th Edition, 2011.
• Michael Murray; Econometrics, a Modern Introduction; Pearson 2006
• Christian Gourieroux and Alain Monfort, Statistics and Econometric Models, Vol. 1, Cambridge, 1995.
• John K. Kruschke , Doing Bayesian Data Analysis: A Tutorial with R, JAGS, and Stan. Academic Press, 2nd Edition, 2014.

Second part: Mixed-effects models

Topics:

• Introduction
• Revision: Linear models
• Linear fixed effects
• Balanced and unbalanced data
• Linear random effects
• Linear mixed effects
• Nonlinear mixed effects
• Nested factors
• Hypothesis tests
• Correlation structures
• Sample size estimation

Handout

If you want to prepare for the lecture (or revise), you can have look at the handout.

You will find still a lot of mistakes but you might get the idea ;-)

Literature

• Jose C. Pinheiro and Douglas M. Bates, Mixed Effects Models in S and S-Plus. Springer, 2002.
• Julian J. Faraway, Extending the Linear Model with R. Chapman & Hall, 2006.
• John K. Kruschke , Doing Bayesian Data Analysis: A Tutorial with R, JAGS, and Stan. Academic Press, 2nd Edition, 2014.<
• A. C. Davison, D. V. Hinkley, Bootstrap Methods and their Application, Cambridge University Press, 1997
• Bradley Efron and Robert J. Tibshirani, An Introduction to the Bootstrap, Chapman & Hall, 1994

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Software

For our practical examples (during the entire course) we will use the software environment R. I think that it is helpful to coordinate on one environment. R is free, it is very powerful, and it is popular in the field.

• Documentation for R is provided throught the built in help. You also find support on the R Homepage. You might find the following useful:
  • The R Guide, Jason Owen (Easy to read, explains R with the help of examples from basic statistics)
  • Simple R, John Verzani (Explains R with the help of examples from basic statistics)
  • Einführung in R, Günther Sawitzki (In German. Rather compact introduction.)
  • Econometrics in R, Grant V. Farnsworth (The introduction to R is rather compact and pragmatic.)
  • An Introduction to R, W. N. Venables und D. M. Smith (The focus is more on R as a programming language)
  • The R language definition (Concentrates only on R as a programming language.)
  • On the JAGS Homepage you go to the files pages, then to Manuals, to find the JAGS user manual.
• You can download R from the homepage of the R-project.

  Installing R with Microsoft Windows:

  Download and start the Installer. Install R on your local drive. Installing on a network drive or in the cloud (Dropbox, Onedrive,...) is possible but not recommended.

  Installing R with GNU-Linux:

  Follow the advice to install R for your distribution.

  Installing R with MacOS X:

  Here is a guide to install R with MacOS X.

• In the lecture we use RStudio as a front end.
• For the Bayesian parts we will use JAGS. It helps if you have installed R, RStudio, and JAGS on your computer when we start the course.
• We will use the following packages: boot, car, Ecdat, ellipse, foreign, geepack, Hmisc, lattice, latticeExtra, lme4, lmtest, MASS, nlme, nnet, reshape, runjags, SASmixed, survival.

  If, e.g., the command library(Ecdat) generates an error message (Error in library(Ecdat): There is no package called 'Ecdat'), you have to install the package.

  Installing packages with Microsoft Windows:

  With RStudio: Use the tab “Install”. Otherwise: Start Rgui.exe and install packages from the menu Packages / Install Packages).

  Installing packages from GNU-Linux or MacOS X:

  From within R use the command install.packages("Ecdat"), e.g., to install the package Ecdat