EC 607, Spring 2021
Welcome to Economics 607: Econometrics III (Spring 2021) at the University of Oregon (taught by Dr. Ed Rubin).
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Schedule
Lecture Tuesday and Thursday 2:15pm–4:00pm, Zoom (See Canvas)
Lab Friday 12:30pm–1:30pm, Zoom (See Canvas)
Office hours
Ed Rubin TBD, Zoom (See Canvas for link)
- TBD
- TBD
Philip Economides (See Canvas for link)
- Fridays: 1:30pm–2:30pm, Zoom
- TBD
Books
Main texts
We will mainly use two books.
Mostly Harmless Econometrics: An Empiricist's Companion (MHE)
by Angrist and Pischke
Your new best friend. Read it.
Microeconometrics (C&T)
by Cameron and Trivedi
Also very readable and accessible.
Runners up
Econometric Analysis (Greene)
by Greene
The standard—an encyclopedic resource for many of the questions MHE does not answer.
Introduction to Causal Inference (Neal)
by Brady Neal
A free, under-development, causal-inference book targeting folks who come from a prediction (think: machine learning) background.
Also helpful
Causal Inference in Statistics: A Primer (Pearl)
by Pearl, Glymour, and Jewell
Causal Inference: The Mixtape (Mixtape)
by Cunningham
Lecture slides
Note: The linked slides (below) are .html
files that will only work properly if you are connected to the internet. If you're going off grid (camping + metrics?), grab the PDFs. You'll miss out on gifs and interactive plots, but the equations will actually show up. I've removed the within-slide (incremental) pauses in the (no pauses) PDF slides.
The content of the lectures mainly follows MHE and Michael Anderson—with additional inspiration from Max Auffhammer and many other sources.
Another note on the notes: I create the slides with xaringan
in R. Thanks to Grant McDermott for encouraging me to make this switch.
Lecture 01: Research + R + You =
- An introduction to empirical research via applied econometrics.
- R: Light introduction—objects, functions, and help.
Note formats: .html |
.pdf |
.pdf (no pauses) |
.Rmd
Readings: MHE preface + MHE chapter 1
Lecture 02: The Experimental Ideal
- Neyman potential outcomes framework (Rubin causal model)
- Selection bias and experimental variation in treatment
Note formats: .html |
.pdf |
.pdf (no pauses) |
.Rmd
Readings: MHE chapter 2
Lecture 03: Why Regression?
- What's the big deal about least-squares (population) regression?
- What does the CEF tell us?
- How does least-squares regression relate to the CEF?
Readings: MHE chapter 3.1
Lecture 04: Inference and Simulation
- How do we move from populations to samples?
- What matters for drawing basic statistical inferences about the population?
- How can we learn about inference from simulation?
- How do we run (parallelized) simulations in R?
Readings: MHE chapter 3
Lecture 05: Regression Stuff
- Saturated models
- When is regression causal?
- The conditional-independence assumption
Readings: Still MHE chapter 3
Lecture 06: Controls
- Omitted-variable bias
- Good and bad controls
Readings: Still MHE chapter 3
Lecture 07: Matching
- Matching estimators: Nearest neighbor and kernel
- Propensity-score methods: Regression control, treatment-effect heterogeneity, blocking, weighting, doubly robust
Readings: MHE chapter 3 + C&T section 25.4
Lecture 08: Instrument Variables
- General research designs
- Instrumental variables
- Two-stage least squares
- Heterogeneous treatment effects and the LATE
Readings: MHE chapter 4 + C&T sections 4.8–4.9
Lecture 09: Regression Discontinuity
- Sharp regression discontinuities
- Fuzzy regression discontinuities
- Graphical analyses
Readings: MHE chapter 6 + C&T sections 25.6
Lecture 10: Inference: Clustering
- General inference
- Moulton
- Cluster-robust standard errors
Readings: MHE chapter 8
Lecture 11: Inference: Resampling and Randomization
- Resampling
- The bootstrap
- Permutation tests (Fisher)
- Randomization inference (Neyman-Pearson)
Readings: MHE chapter 6 + C&T sections 25.6
Lecture 12: Machine learning (in one lecture)
- Prediction basics
- The bias-variance tradeoff
- In-sample vs. out-of-sample performance
- Hold-out methods (including cross validation)
- Ridge regression and lasso
Readings: Introduction to statistical learning
Lab slides
Philip Economides will walk you through R and applications of the course content. You should attend.
Links coming.
Previous lab slides
Note: From previous iteration of our class.
- Object types/classes/structures
- Package management
- Math and stat. in R
- Indexing
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
Solutions:
.html | .pdf
- Data frames
- Data work with
dplyr
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
Lab 03: RStudio + Data i/o with R
- RStudio
- Getting data into and out of R
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
lm()
andlm
objectsestimatr
andlm_robust()
- Other regressions, e.g.,
glm()
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
- Default
plot()
methods ggplot2
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
- General simulation strategies
- Simulating IV in finite samples
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
Lab 07: Miscellaneous R Tips and Tricks
- The
apply
family for()
loops- Lists
- Logical vectors and
which()
Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
Problem sets
Problem sets combining econometric theory and R.
Problem set 1: Soon.
Project
Building a research project/proposal.
Step 1: Research question (causal relationship of interest) and motivation.
- Assignment: Pitch a project—including the causal question of interest, the motivation, and (optional) how you could answer the question.
- This project should be something you could turn into a legitimate research project.
- Length: Between 2 sentences and 2 paragraphs (think abstract—read abstracts if necessary).
Due: TBA, (Canvas)
Step 2: Project proposal
Due: TBA, (Canvas)
Step 3: Presentation of project pitch
Due: TBA, (Canvas)
Practice problems
- Inference and simulation
- Matching
- Instrumental variables
- Regression discontinuity
- Inference: Clustering and resampling
Exams
We will have one exam—the final—which will be due by 1PM Pacific on Wednesday, June 9th, 2021.
Grades
As you've hopefully figured out by now, our PhD program is not "about grades." This class is critical to building the intuition and skills that you will rely upon in your own empirical work and in communicating with others about their empirical work. Commit to (and focus on) learning the material—the theory, the intuition, and the programming.
That said, I do have to turn in grades (and there is a GPA requirement to sit for the qualifying exam). I will weight your grades as follows:
- Exams: The exam is worth 45% of your course grade.
- Project: The parts of the group project are jointly worth 25% of your course grade.
- Assignments: Assignments jointly cover the remaining 30% of the grade (may not be weighted equally).
Note: Anything you turn in with your name on it should be legitimately your own work. I encourage you to work with classmates and to get good with Google, but you still need to put things in your own words and understand what you've submitted. Submitting other people's work as your own will result in you failing this course.
Resources
Metrics books
- Hayashi's Econometrics
- Kennedy
- Mastering 'Metrics (undergrad version of Mostly Harmless)
- Stock and Waston
- Wooldridge ("Baby")
- Wooldridge (Adult?)
R resources
- RStudio: Finding Your Way To R
- My EC524 Economics & Machine Learning Course at UO
- Grant McDermott's Data Science of Economists course
- DataCamp's Introduction to R
- R for Data Science
- Advanced R
Metrics and R