Applications of Econometrics
Overview
Objective :
Discussion of several econometric methods (see the syllabus) and of their applications, notably through the replication of published results.
Structure :
Six classes of two hours. Each class will start with short presentations of methodological papers or of papers relying on a given method. Related exercises (using Stata) and issues raised by the practical implementation of the method will follow.
Each paper will be presented by a group of two students. You will choose the paper among the references listed below. Papers can be found here.
Tutorials will be sent in advance so that you can prepare them before the class.
Grading : The grade will be based on your partiticipation during the class (answers to tutorials, papers presentation) and on a guided research project.
Papers allocation: please fill in this document :
https://lite.framacalc.org/Presentations
Stata : the "cheat sheets" provide a nice recap of the main commands you will need.
Papers can be found here :
https://drive.google.com/drive/folders/11O1_lBp38s9VbLtKfnzMZf62qD9H9-E9
Part 1 Introduction, Diff-in-diff, Natural Experiment
References
Yi Chen, Ziying Fan, Xiaomin Gu, and Li-An Zhou, 2020, Arrival of Young Talent : the Sent Down Movement and Rural Education in China, American Economic Review
Gordon B. Dahl, Christina Felfe, Paul Frijters, & Helmut Rainer, 2022, Caught between Cultures: Unintended Consequences of Improving Opportunity for Immigrant Girls, Review of Economic Studies
Tutorial : during class : download data here. Replicate the first column of Table 1 (p 39). The life satisfaction variable is z_ls.
For next class : download questions here.
Part 2 : Regression Discontinuity Design
2.1 Sharp design (Class 2)
2.2 Fuzzy design and kink design (Class 3)
Method :
David S. Lee & Thomas Lemieux, 2010. Regression Discontinuity Designs in Economics, Journal of Economic Literature, American Economic Association, vol. 48(2), pages 281-355, June -->Read p281 to p335
Cattaneo, Idrobo and Titiunik (2019): A Practical Introduction to Regression Discontinuity Designs: Foundations. Cambridge Elements: Quantitative and Computational Methods for Social Science, Cambridge University Press. -->Read p 40 to p50 and p88 to p107
Papers for Class 2
Per Pettersson-Lidbom, 2008, Do Parties Matter for Economic Outcomes? A Regression Discontinuity Approach. Journal of the European Economic Association 6(5): 1037-1056.
Andrew C. Eggers, Anthony Fowler, Jens Hainmueller, Andrew B. Hall and James M. Snyder, 2015. On the Validity of the Regression Discontinuity Design for Estimating Electoral Effects:New Evidence from Over 40,000 Close Races, American Journal of Political Science, Vol. 59, No. 1 (January), pp. 259-274
Papers for Class 3
Sam Asher, Paul Novosad, 2020, Rural Roads and Local Economic Development, American Economic Review 110:3
Landais, Camille. 2015, Assessing the Welfare Effects of Unemployment Benefits Using the Regression Kink Design, American Economic Journal: Economic Policy, 7 (4): 243-78.
Additional references
- for ideas and suitable settings :
Andrew C. Eggers, Ronny Freier, Veronica Grembi and Tommaso Nannicini, 2018. Regression Discontinuity Designs Based on Population Thresholds: Pitfalls and Solutions, American Journal of Political Science, vol. 62(1), pages 210-229, January.
- for practical implementation :
Guido Imbens & Karthik Kalyanaraman, 2012, Optimal Bandwith Choice, Review of Economic Studies
Justin McCrary, 2008, Manipulation of the running variable in the regression discontinuity design : A density test, Journal of Econometrics
Useful Stata commands
https://sites.google.com/site/rdpackages/home
https://eml.berkeley.edu/~jmccrary/DCdensity/
Tutorial :
questions : tutorial 2 - RDD
dataset : tutorial2.dta
dofile : tutorial2.do
For your information :
Source of original data: https://www.aeaweb.org/articles?id=10.1257/app.20120387
dofile for creating tutorial2.dta : tutorial2_prep
Part 3 : Propensity Score Matching
Rajeev H. Dehejia and Sadek Wahba, 1999, Causal Effects in Nonexperimental Studies:Reevaluating the Evaluation of TrainingPrograms. Journal of the American Statistical Association 94(448): 1053-1062.
Toke Aidt and Raphaël Franck, 2015, Democratization Under the Threat of Revolution: Evidence From the Great Reform Act of1832. Econometrica, Volume: 83 Issue 2
David McKenzie, John Gibson and Steve Stillman, 2010. How Important Is Selection? Experimental vs. Non-experimental Measures of the Income Gains from Migration, Journal of the European Economic Association Volume: 8 Issue 4, ISSN: 1542-4766
additional references
Marco Caliendo and Sabine Kopeinig, 2008. Some Practical Guidance for the Implementation of Propensity Score Matching. Journal of Economic Surveys, 22 (1): 31-72.
Part 4 : Grouped patterns of heterogeneity, two-way fixed effects with heterogeneous treatment effects
Stéphane Bonhomme and Elena Manresa, 2015, Grouped Patterns of Heterogeneity in Panel Data, Econometrica
de Chaisemartin d'Haultfoeuille, forthcoming, Two-Way Fixed Effects and Differences-in-Differences with Heterogeneous Treatment Effects: A Survey Econometrics Journal
de Chaisemartin d'Haultfoeuille, 2020, Two-way fixed effects estimators with heterogeneous treatment effects, American Economic Review, vol. 110, no. 9,(pp. 2964-96).
Online references
Scott Cunningham, Causal Inference : the Mixtape.
Impact Evaluation in Practice is a good read if you have a limited background in econometrics/maths and struggle to understand what the various methods do.
Abadie, Cattaneo, 2018, Econometric Methods for Program Evaluation, Annual Review of Economics
Textbooks
Wooldridge, 2010, Econometric Analysis of Cross Section and Panel Data
Angrist and Pischke, Mostly Harmless Econometrics
Wooldrigde, Introductory Econometrics : a Modern Approach (also available in French : Introduction à l'Econométrie)
Papers' replication
The best way to learn how to apply econometric methods is to replicate existing papers. Papers published in top five journals usually provide you with their data and code. You will also find interesting material here:
http://replication.uni-goettingen.de/wiki/index.php/Main_Page
https://dataverse.harvard.edu/
https://ejd.econ.mathematik.uni-ulm.de/