ECON 31720: Applied Microeconometrics

University of Chicago, Fall 2019

Class: Mondays and Wednesdays, 11:00–12:20 in Saieh 103
Section: Thursdays, 5:30–6:20 in Pick Hall 022

Instructor:
Alexander Torgovitsky atorgovitsky@gmail.com
Office, Hours: SHFE 342, M 5:10-6:00

Teaching Assistant:
Eyo Herstad eyoherstad@uchicago.edu
Office, Hours: Booth Cafeteria, Tu 4:00-5:00

Abstract:
This course covers some empirical strategies that are commonly used in applied microe-
conomics. The topics will include control variables (matching and regression), instrumental
variables, regression discontinuity and kink designs, difference-in-differences, synthetic con-
trols, and some popular designs that implement specific versions of strategies. The emphasis
of the course is on issues of identification and practical implementation. The course will also
feature discussions of the shortcomings of commonly used tools, and some coverage of recent
theoretical research aimed at addressing these deficiencies.

Prerequisites:
I assume that you have taken the first year graduate sequence in econometrics. Feel free
to take the course if you haven’t, but know that you may need to do some extra background
reading to understand the material. The assignments require you to be competent with a
programming language suitable for scientific computing, such as Matlab, Julia, Python, or R.

Required Readings:

• A curated list of journal articles that will be provided throughout the course.

• My slides and lectures notes.

Supplemental Readings:

• A curated list of recommended journal articles will be provided throughout the course.

• A good reference for basic treatments of most topics is Econometric Analysis of Cross-
Section and Panel Data (2010) by Wooldridge.

• Another fairly comprehensive reference is Microeconometrics: Methods and Applica-

tions (2005) by Cameron and Trivedi.

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 • Mostly Harmless Econometrics (2009) by Joshua D. Angrist and Jörn-Steffen Pischke
is a handbook–style text that covers many of the topics discussed in this course. The
book is tendentious and, in my view, often informal and/or misleading. However, it
is influential in certain influential crowds, so it is good to know what it contains. I
recommend reading it with a critical mindset.

Evaluation:

• Your course grade is based entirely on 4 equally-weighted problem sets due every 2–3
weeks of the course.

• The problem sets will consist of analytical problems and programming exercises.

• The problem sets are meant to be individual work. You may discuss the problem sets
with your colleagues, but you must prepare and submit your own solutions and code
to every problem.

• All aspects of the problem set, except the code for the programming exercises, must be
typeset in clean LATEX. There are some gentle online (free) services that can help you
with learning LATEX, such as Overleaf. As with all programming languages, there are
great returns to learning how to use LATEXwithout the crutch of a specialized editing
environment. Ultimately, you will need to typeset your dissertation, so it makes sense
to invest in these skills now.

• You will be graded not only on the accuracy of your analysis, but also on the clarity
of your exposition, which includes proof strategies, notation, typesetting (equation
alignment, exceeding margins), grammar, figures, tables, etc. The more difficulty we
have in reading your problem set, the fewer points you will receive. This is good
training for the publication process.

• The programming exercises are designed to be done in Matlab, Python, Julia, or R. If

you prefer another language you can probably use that too, just clear it with me first.
Regardless of what language you use, you may not use high-level statistical commands
(e.g. regression in Matlab, or lm in R), because the point of the programming
exercises is to learn how to implement the estimation procedures. Feel free to ask us
if you are unsure about whether something would be considered high-level.

• Your problem sets should be submitted via Canvas in a single .zip, .tar, or .rar file
before the deadline, which is 10:59AM on the days indicated in the schedule below. If
you are late, then you receive a 0. Late problem sets are not accepted under
any circumstances, so don’t ask, because the answer is going to be no, and it’s just
going to be awkward for both of us.

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Anticipated Course Outline:

Date Topic PS Due

Oct 2 Introduction —
Oct 7 Nonparametric estimation —
Oct 9 Control variables —
Oct 14 Identification theory —
Oct 16 Instrumental variables (IV) —
Oct 21 IV with heterogeneity —
Oct 23 Marginal treatment effects —
Oct 28 Marginal treatment effects 1
Oct 30 Judge designs —
Nov 4 Lottery designs —
Nov 6 Regression discontinuity designs —
Nov 11 Regression kink designs 2
Nov 13 Difference in differences —
Nov 18 Difference in differences —
Nov 20 Event studies —
Nov 25 Synthetic controls 3
Nov 27 No class (Thanksgiving) —
Dec 2 Bartik instruments —
Dec 4 Mover designs —
Dec 12 — 4