Microeconometrics Lab
Instructors: Albrecht Glitz (UPF and Barcelona GSE); Stephan Litschig (UPF and Barcelona GSE); Kurt Schmidheiny (UPF and Barcelona GSE)
The Microeconometrics lab is not a standard course, but a complement to them. In the lab, students will be introduced to four tools for linear regressions which are frequently used in applied research. Each session will present the econometric problem, discuss its theoretical solution and illustrate its implementation in Stata using real world data.
Sessions
1. Bootstrapped Standard Errors (Kurt Schmidheiny)
The bootstrap is an alternative to asymptotic theory to calculate standard errors and confidence intervals for consistent estimators. It is often used in cases where the asymptotic distribution is difficult to derive as e.g. for multi-step estimators.
2. Clustered Standard Errors (Kurt Schmidheiny)
The canonical example (Moulton 1986, 1990) for clustering is a regression of individual outcomes (e.g. wages) on explanatory variables of which some are observed on a more aggregate level (e.g. employment growth on the state level). In this case the usual standard errors of the OLS estimator are not valid any more and cluster-robust standard errors need to be reported. Clustering is also important in difference-in-difference estimations with more than two time observations (Bertrand, Duflo and Mullainathan, 2004)
3. Testing for Weak Instruments (Albrecht Glitz)
The use of instrumental variables that are only weakly correlated with the endogenous regressor(s) of interest leads to inconsistent parameter estimates and invalid standard errors. In this class, we briefly discuss the issue and present strategies to formally test for weak instrumental variables.
4. Regression Discontinuity Design (Stephan Litschig)
The regression discontinuity design is a type of quasi-experimental research design that allows for causal inferences under relatively weak and to some extent testable assumptions. In this class, students will be introduced to the basic ideas, and to some applications from economics and political science.
Albrecht Glitz is Assistant Professor at the Universitat Pompeu Fabra and Affiliated Professor at the Barcelona GSE. He is also Research Fellow at IZA and the Centre for Research and Analysis on Migration (CReAM) in London. His research interests include applied econometrics and labour economics, in particular the economics of immigration. He holds a PhD from University College London.
Stephan Litschig is Assistant Professor at the Universitat Pompeu Fabra and Affiliated Professor at the Barcelona GSE. He earned his PhD from Columbia University. His research and teaching interests include development economics, public economics, and political economy.
Kurt Schmidheiny is Assistant Professor at the Universitat Pompeu Fabra, a Ramón y Cajal Fellow, and Affiliated Professor at the Barcelona GSE. He has received research grants from the Spanish Ministry of Education and Science and, prior to that, the Swiss National Science Foundation. His research interests include urban economics, economic geography, public finance, tax competition, microeconometrics. He holds a PhD from the Universität Bern.
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