RUTGERS UNIVERSITY

DEPARTMENT OF ECONOMICS

01:220:401:H2 Advanced Cross-sectional and Panel Econometrics

Fall 2019

Class meetings: Mondays and Wednesdays, 2:50 – 4:10 pm

Academic Building 2200

Instructor: Professor Anne Morrison Piehl

anne dot piehl at rutgers edu

Office Hours: Wednesdays 4:10-5pm AB 2nd floor & by appointment

Course Description and Learning Goals: This course covers applications of econometrics to a
wide variety of research questions in economics. The historical development of economics is
marked by attempts to get a handle on pressing real concerns through simple but useful
models that capture the essential features of what makes an economic system work and how it
can sometimes be manipulated to improve things. Econometrics is the study of measurement
and estimation, both to test theories and to provide stylized facts, that is, to identify the
“essential features” of the economy. Econometrics is useful for providing answers to “big”
questions as well as for a myriad of “smaller” questions that cumulate to be important. The
everyday work of economics that really matters, inside and outside of academia, more often
than not involves econometrics. It is where theory meets reality.

By the end of the course, students will have (1) developed judgment necessary for developing
and critiquing econometric research designs, (2) learned a wide range of econometric tools for
analyzing cross-sectional and panel data, (3) become familiar with various data sources and the
practical skills necessary to access and utilize them, and (4) become facile with at least one
software package for analyzing and displaying statistical and econometric results.

Prerequisites and Co-requisites:

Formal prerequisites are 01:220:320 AND 01:220:321 AND 01:220:322, as well as permission
from the Department of Economics staff.

This is an honors level class and is intended for students who (i) did well in Introductory
Econometrics (grade B+ or higher) and (ii) have a more than passing interest in delving into the
finer points of economic analysis by engaging in rigorous theoretical and empirical study.

You are not required to be writing a senior thesis in economics to take the class. But the class
*is* required for those writing a thesis. If you are doing a senior thesis, you may base your
empirical research project for the class on your senior thesis research. Whether related to
thesis research or not, your paper for this class must be a real econometric analysis of some
question, with data, regressions, and interpretation.

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Required Text: Mastering ‘Metrics: The Path from Cause to Effect
Joshua Angrist and Jorn-Steffen Pischke
(2014, Princeton University Press)
This book will provide the structure for the course. You should buy or rent a copy of this text.
Note that the introduction and chapter 1 are available at this link, useful for the second week of
the course.

The style of this book is more discursive than a typical econometrics text. Many will find that
more approachable and interesting. Others may prefer the terseness of a standard text. In
general, you are encouraged to read multiple discussions of the same topics, both to find the
best approach for your learning style and because much can be learned from comparing
multiple perspectives.

Supplementary text: Introductory Econometrics: A Modern Approach

Jeffrey Wooldridge
Cengage Press
There are 6 editions of the book and editions 2-5 are all fine; they do not change too much. It is
likely possible to find a used or online version of this text.

Other Readings: Other readings for the course are available online. These readings will be
posted weekly on the course website, either directly or through the Rutgers Libraries. (Note
that you have access to the Rutgers Libraries from off-campus simply by logging in on the
Rutgers Libraries homepage.) See the course website for instructions for accessing all readings
other than the textbook. All readings are required unless explicitly stated otherwise. I expect
you to complete the readings prior to the class session in which they are discussed.

Website: I will use the course website on Sakai (http://sakai.rutgers.edu) to make

announcements and to post course materials (including required readings and homework). If
you prefer, you may opt out of receiving email reminders through the Sakai interface.

Econometrics Software: You will need to have independent facility with some econometric
software package in order to do homework assignments and for your empirical research
project. There is no specific required package. However:

Both Stata and Eviews are available in the student computing labs around campus. These are
both comprehensive packages that let you do anything you would want to do in this course. If
you are already comfortable with Eviews, you are free to continue to use that software. I use
Stata and can help with questions with that package. You may wish to consult with your thesis
advisor, though, as working in the same software facilitates technical advice.

Your classmates are also terrific sources of technical advice. We will discuss in class during the
second week which software programs you plan to use. So think about it before then. Using a

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package that is used by at least a handful of other students will greatly ease the burden of
gaining facility with the software.

There is a lot of help available within each software program. But sometimes it is invaluable to
have a broader view of the programming challenges you are facing. The book
Microeconometrics Using Stata, Revised Edition (2010) by A. Colin Cameron and Pravin K.
Trivedi receives very high marks. It is on the expensive side but may save you lots of time.

Method of Evaluation: Your course grade will be determined as follows:

25% Homework
25% Midterm exam (in class)
25% Empirical research project (due beginning of last day of class)
25% Final exam (take home): due Fri December 20 3pm through course website

Attendance: You are responsible for the material covered in class and consistent attendance is
expected. If you will miss more than one or two classes, it is your responsibility to inform the
professor and to make arrangements to make up the missed work. (You may use the University
attendance system to inform me of your absences http://sims.rutgers.edu/ssra, but that does not
absolve you of the responsibility for making a plan for catching up on the missed work.)

Active participation: Active participation will help you learn the material and is necessary for
high-quality independent work. You should be prepared to participate in the activities we do,
which means it is helpful for you to bring a laptop to class most days. Among other things,
seeking and providing feedback on research that is “in progress” is an important skill that will
be honed during these activities.

Homework: Over the course of the semester, homework designed to reinforce and extend the
concepts discussed in class will be assigned. Due dates will be announced in advance in class
and on the course website on Sakai. Homework must represent the independent work of each
student, even if students consult each other for advice. All homework must be turned in at the
beginning of class on the due date unless otherwise directed.

Make-up Exams: If you anticipate missing an exam due to the observance of a religious holiday,
you must notify me by September 20 to arrange to take the exam on another date. If you do
not notify me by that date, you must take the exam as scheduled. If you miss an exam due to
illness or a family emergency, you must contact me within 24 hours of the exam to inform me
of your situation. Please e-mail me directly; do not rely on the absence reporting system if you
miss an exam. Failure to contact me in a timely manner may result in a grade of zero for the
exam.

Extra Credit: No extra credit assignments will be offered. Your grade will be determined solely
as described above.

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Academic Integrity: Any attempt to cheat on an exam or course assignment will be prosecuted.
You may review the University’s Academic Integrity policy at the following website:
http://academicintegrity.rutgers.edu/academic-integrity-policy/

Classroom Behavior: I expect all students to maintain professional behavior during class time. If
you have special circumstances that require you to leave early or to have the ability to receive
messages or calls, please let the professor know at the beginning of class so arrangements can
be made to minimize disruption.

Recording Policy: Audio visual recording, transmission and distribution of class meetings is
forbidden without explicit, prior permission of the professor instructor and notification of other
students in the class.

Academic and Personal Support: Please take advantage of University support services as
appropriate. Here are links for two commonly used departments, counseling
http://health.rutgers.edu/medical-counseling-services/counseling/ and disability
services https://ods.rutgers.edu/

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Rough Schedule of Topics (details to be posted on Sakai)

Week 1: Introduction to applied microeconometrics; regression and causality

Week 2: Regression fundamentals; heterogeneity and nonlinearity; omitted variable bias; and
other details of standard regression analysis (mostly review)

Week 3: Applications of multivariate regression; interactions; dummy variables; practical

considerations such as re-coding, dealing with missing data

Week 4: Instrumental variables and two-stage least squares

Week 5: Panel data; dealing with unbalanced panels

Week 6: Data sources and research designs for independent empirical research projects

Week 7: Differences in differences; “pre-trends”

Weeks 8: Regression discontinuity designs

Week 9: Midterm exam

Week 10: Data sources and research designs for independent empirical research projects

Week 11: Standard error issues in cross-section and panel research designs

Week 12: Limited dependent variable models; presenting results of empirical analyses

Week 13: Sample selection correction models

Week 14: Presentations of empirical research projects