Empirical Methods for Applied Micro
This is a PhD level course in applied econometrics and computational economics, targeted at students conducting applied research (as opposed to econometricians), taught by Rich Sweeney and Charlie Murry. In addition to traditional econometric approaches, this course draws connections to recent literature on machine learning.
BC students should also checkout the syllabus.
Much of the material was (gratefully) forked from Chris Conlon’s micro-metrics repo and other material is based of a PhD course Charlie used to co-teach with Paul Grieco and Mark Roberts at Penn State.
The goal is to provide an overview of a number of topics in Microeconometrics including:
- Best practices for applied research
- Density estimation, k-NN, Kernels, Nadaraya-Watson
- Bootstrap and Cross Validation
- Model Selection and Penalized Regression
- Ridge, Lasso, LAR, BIC, AIC
- Treatment Effects and Selection
- Potential Outcomes, LATE, Diff in Diff, RDD, MTE
- Binary Discrete Choice (including endogeneity)
- MLE, Special Regressors, Control Functions
- Root finding, Optimization
- Differentiation, Integration
- Multinomial Discrete Choice
- Logit, Nested Logit, Mixed Logit
- Bayesian Methods
- Gibbs Sampling
- Data augmentation
- Partial Identification (if time permits)