Microeconometra:IdentificacinyCausalidadenModelosEmpricos

1. Profesor: StanislaoMaldonado,PhD(c) UniversidaddeCalifornia,Berkeley. Email:smaldonadoz@berkeley.edu 2. Asistentededocencia TaniaLozano MetisGaia Email:tlozano@metisgaia.com 3. Objetivogeneralydescripcinbsicadelcurso. Elobjetivogeneraldelcursoescontribuiralaformacindeinvestigadoresmedianteelentrenamiento enelusointensivodemtodosestadsticosyeconomtricosmodernos.Enesesentido,estecursoes esencialmente metodolgico y pondr especial nfasis en el diseo de investigacin y el uso de la econometracomoherramientaparatestearhiptesiseconmicasdeintersmsqueenladiscusinde laspropiedadestericasdeestimadores.Enesadireccin,losparticipantesdelcursosernentrenados enelusodemtodoseconomtricosavanzadosparalaidentificacindeefectoscausales,aprendern comoimplementarlosmedianteelusodesoftwareespecializadocomoSTATAyR,yaprenderncomo relacionarlosconeldiseodeunainvestigacinespecifica. 4. Duracinyhorario. El curso se dictar los das sbados. El horario de clases ser de 3:00 am a 6:00 pm. Las sesiones prcticassedictarande6:00a7:00pm. 5. Ubicacin. LaquedeterminelaFCEUNMSM. 6. Pblicoobjetivo. Elcursoestdirigidoprioritariamenteaestudiantesdeltimoaoquehayancompletadoloscursosde lasecuenciadeeconometrayseencuentrentrabajandoensusproyectosdetesis. 7. Librosdetexto. Loslibrosdetextosugeridossonlossiguientes: Textosintroductorios: Stock,JamesyMarkWatson(2007).IntroductiontoEconometrics.Pearson/AddisonWesley.(SW) Scott Long, J. (1997). Regression Models for Categorical and Limited Dependent Variables. Sage Publications.(SL) Wooldridge,Jeffrey(2009).IntroductoryEconometrics:AModernApproach.CengageLearning.(JWI) 1

Textosavanzados: Cameron,A.ColinyPravinTrivedi(2005).Microeconometrics.CambridgeUniversityPress.(CT) Wooldridge,Jeffrey(2010).EconometricAnalysisofCrosssectionandPanelData.2ndEdition.MIT Press.(JWII) Lee, MyoungJae (2005). MicroEconometrics for Policy, Program, and Treatment Effects. Oxford UniversityPress.(ML) Rosenbaum,Paul(2010).TheDesignofObservationalStudies.Springer.(PR) Pagan, Adrian and Aman Ullah (1999). Nonparametric Econometrics. Cambridge University Press. (PU) Otrostextosrelevantes: Angrist, Joshua and JornSteffen Pischke (2009). Mostly Harmless Econometrics: An Empiricists Companion.PrincetonUniversityPress.(AP) Morgan, Stephen and Christopher Winship (2007). Counterfactuals and Causal Inference: Methods andPrinciplesforSocialResearch.CambridgeUniversityPress.(MW) Shadish,William;ThomasCookandDonaldCampbell(2002).ExperimentalandQuasiExperimental DesignsforGeneralizedCausalInference.HoughtonMifflinCompany.(SCC) Pearl,Judea(2000).Causality:Models,Reasoning,andInference.CambridgeUniversityPress.(JP) Otraslecturasrelevantes: Angrist, Joshua and Alan Krueger (1999). Empirical Strategies in Labor Economics. Handbook of LaborEconomics,Vol.3.ElsevierScience. Reiss, Peter and Frank Wolak (2007). Structural Econometric Modelling: Rationales and Examples fromIndustrialOrganization.HandbookofEconometrics,Volume6A.ElservierScience. Ravallion,Martin(2008).EvaluatingAntipovertyPrograms.HandbookofDevelopmentEconomics, Volume4.ElservierScience. Heckman, James and Edward Vytlacil (2007). Econometric Evaluation of Social Programs, Part I: Causal Models, Structural Models and Econometric Policy Evaluation. Handbook of Econometrics, Vol6B.ElservierScience. Imbens, Guido and Jeffrey Wooldridge (2009). Recent Developments in the Econometrics of ProgramEvaluation.JournalofEconomicLiterature,March2009. Textosparasesionesempricas: Baum,Cristopher(2006).AnIntroductiontoModernEconometricsusingSTATA.STATAPress. Baum,Cristopher(2009).AnIntroductiontoPrograminginSTATA.STATAPress. Cameron,A.ColinandPravinTrivedi(2009).MicroeconometricsusingSTATA.STATAPress. Kleiber,ChristianandAchimZeileis(2010).AppliedEconometricswithR.Springer. Sheater,Simon(2009).AModernApproachtoRegressionwithR.Springer. Muenchen,Robert(2010).RforSTATAusers.Springer. 2

8. Programa Sesin1:Introduccinalacausalidadeneconometra Sumilla: Introduccinalcurso.Introduccinaldiseodeinvestigacin.Enfoquescausaleseneconoma.Modelos estructuralesversusmodelosdeenfoquespotenciales.Epistemologa.Ejemplos. Bibliografabsica: Holland, P. W. (1986). Statistics and Causal Inference, Journal of the American Statistical Association,81,945970. Heckman,James(2000).CausalParametersandPolicyAnalysisinEconomics:ATwentiethCentury Perspective,QuarterlyJournalofEconomics,115,4597. Hoover, Kevin (2006). Causality in Economics and Econometrics. Paper prepared for the New PalgraveDictionaryofEconomics. CT,Chapter2. Bibliografiasuplementaria: Heckman,James(2005).AScientificModelofCausality,SociologicalMethodology,35,1150. JP,Chapter5. Holmes,Thomas(2009).Structural,ExperimentalistandDescriptiveApproachestoEmpiricalWork inRegionalEconomics.Mimeo. Sesin2:Diseosexperimentales Sumilla: Experimentos y el enfoque de resultados potenciales. Problemas con experimentos. Experimentos y regresin.Introduccinamodelosdeseleccinsobreobservables. Bibliografabsica: Deaton, Angus (1997). The Analysis of Household Surveys: A Microeconomic Approach to DevelopmentPolicy.TheWorldBankPublications. Duflo, Esther; Rachel Glannester and Micheal Kremer (2008). Using Randomization in Economic DevelopmentResearch:AToolkit.HandbookofDevelopmentEconomics,Vol.4,ElservierScience. Banerjee,AbhijitandEstherDuflo.TheExperimentalApproachtoDevelopmentEconomics.NBER WorkingPaper14467. Freedman, David (2008). On Regression Adjustment to Experimental Data. Advances in Applied Mathematics,40,180193. Freedman, David (2006). Statistical Models for Causation. What inferential leverage do they provide?.EvaluationReview,30,691713. 3

Bibliografiasuplementaria: LaLonde, Robert (1986). Evaluating the Econometric Evaluations of Training Programs with ExperimentalData,AmericanEconomicReview,76,604620. Heckman, James (1995). Assessing the Case for Social Experiments, Journal of Economic Perspectives,9,85110. SSC,Chapter1. Bruhn, Miriam and David McKenzie (2009). In Pursuit of Balance: Randomization in Practice in DevelopmentFieldExperiments."AmericanEconomicJournal:AppliedEconomics,1,200232.

Cartwright,Nancy(2010).Whatarerandomizedcontrolledtrialgoodfor?.PhilosophicalStudies, 147,5970. SW,Chapter13. AP,Chapter2y3.13.2. MW,Chapter5.

Sesin3y4:Revisindeeconometrabsica,seleccinsobreobservablesymtodosderegresin Sumilla: RevisindeMCO.PropiedadesdeestimadoresMCO.Propiedadesdemuestrapequea.Introduccina la teora de muestras grandes. Consistencia y eficiencia asinttica. Problemas con MCO. Funcin de expectativascondicionadasyregresincomoherramientaestadstica. Bibliografabsica: JWI,chapter4. SW,chapters4y5. CT,Sections4.14.4. Sesin5y6:Econometranoparamtricaymtodosdeemparejamiento(matching) Sumilla: Introduccinalaeconometranoparamtrica.Estimacindedensidades.Sesgoyvarianza.Introduccin a los mtodos de emparejamiento. Mtodos basados en el propensity score. Matching gentico. Coarsenedexactmatching.Otrosmtodosdeemparejamiento. Bibliografabsica: AP,Chapter3.13.2. MW,Chapter4. PU,Chapter2and3. Imbens,Guido(2004).NonparametricEstimationofAverageTreatmentEffectsUnderExogeneity: AReview,ReviewofEconomicsandStatistics,86,429. 4

Stuart,Elizabeth (2010).Matching MethodsforCausalInference:AReview andaLookForward. StatisticalScience,25,121. Abadie, Alberto and Guido Imbens (2010). BiasCorrected Matching Estimators for Average TreatmentEffects.JournalofBusinessandEconomicStatistics,Forthcoming. Dehejia, Rajeev and Sadek Whaba (2002). Propensity ScoreMatching Methods for NonExperimentalCausalStudies.TheReviewofEconomicsandStatistics,84,151161. Diamond, Alexis and Jasjeet Sekhon (2010). Genetic Matching for Estimating Causal Effects: A General Multivariate Matching Method for Achieving Balance in Observational Studies. Mimeo, DepartmentofPoliticalScience,UCBerkeley. Iacus,Stefano;GaryKingandGiuseppePorro(2009).CausalInferenceWithoutBalanceChecking: CoarsenedExactMatching.Mimeo.HarvardUniversity.

Bibliografiasuplementaria: Dehejia,RajeevandSadekWahba(1999).CausalEffectsinNonExperimentalStudies:Reevaluating theEvaluationofTrainingPrograms,JournaloftheAmericanStatisticalAssociation,94,10531062. Smith, Jeffrey and Petra Todd (2005). Does Matching Overcome LaLondes Critique of Non experimentalMethods?,JournalofEconometrics,125,305353. Arceneaux, Kevin; A. S. Gerber and D. P. Green (2006). Comparing Experimental and Matching MethodsUsingaLargeScaleVoterMobilizationExperiment,PoliticalAnalysis,14,3762. Sesin7y8:Variablesinstrumentalesymtodosderegresindiscontinua Sumilla: Introduccinalasvariablesinstrumentales.Problemasconinstrumentosdbiles.Efectosheterogneos de tratamiento. Estimador local de efectos promedios del tratamiento (LATE). Introduccin a los mtodosderegresindiscontinua.Regresionesdiscontinuasparamtricasynoparamtricas. Bibliografabsica: JW,Chapter5. AP,Chapter4. MW,Chapter7. Angrist, Joshua; Guido Imbens and Donald Rubin (1996). Identification of Causal Effects Using InstrumentalVariables,JournaloftheAmericanStatisticalAssociation,91,444455. Heckman,James(1997).InstrumentalVariables:AStudyofImplicitBehavioralAssumptionsinOne WidelyUsedEstimator.JournalofHumanResources,32,441462. CT,Section25.6 AP,Chapter6. Hahn,J.,P.Todd,andW.vanderKlaauw(2001).EstimationofTreatmentEffectswithaRegression DiscontinuityDesign,Econometrica,69,201209. Imbens,GuidoandThomasLemieux(2008).RegressionDiscontinuityDesigns:AGuidetoPractice, JournalofEconometrics,142,615635. 5

Bibliografasuplementaria: Imbens, Guido W. and Joshua Angrist (1994). Identification and Estimation of Local Average TreatmentEffects,Econometrica,62,467475. Angrist,Joshua(2004).TreatmentEffectHeterogeneityinTheoryandPractice,EconomicJournal, 114,C52C83. Bound, J., D. Jaeger, and R. Baker (1995). Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variables is Weak, JournaloftheAmericanStatisticalAssociation,90,443450. Lee, David and Thomas Lemieux (2009). Regression Discontinuity Design in Economics. NBER WorkingPaper14723. Card, David (1993). Using geographic variation in college proximity to estimate the return to schooling.WorkingPaper4483,NationalBureauofEconomicResearch. Sesin9:Regresionescuantilicasyefectoscausales Sumilla: Introduccin a las regresiones cuantilicas. Efectos de tratamiento por cuantiles bajo exogeneidad. Regresoresendgenosysolucionesdevariablesinstrumentales. Bibliografabsica: Abadie, A., J. Angrist, and G. Imbens (2002). Instrumental Variables Estimates of the Effect of SubsidizedTrainingontheQuantilesofTraineeEarnings,Econometrica,70,91117. Koenker,Roger,andG.Bassett(1978).RegressionQuantiles,Econometrica,46,3350. Koenker, Roger and Hallock, Kevin F (2001). Quantile regression. The Journal of Economic Perspectives,15,143156. Firpo, Sergio (2007). Efficient Semiparametric Estimation of Quantile Treatment Effects, Econometrica,75,259276. Chernozhukov, Victor and Christian Hansen (2005). An IV model of quantile treatment effects, Econometrica,73,245261. Sesin10y11:Mtodosdediferenciasendiferencias,modelosdeefectosfijosycontrolessintticos Sumilla: Introduccinalosmtodosdeseleccinsobrenoobservables.Experimentosnaturales.Introduccina los datos de panel. Efectos fijos y efectos aleatorios. Introduccin a paneles dinmicos. Mtodos de diferenciasendiferencias.Controlessintticos.Extensiones:matchingydiferenciasendiferencias. Bibliografabsica: AP,Chapter5. CT,Chapter21. JW,Chapter10. 6

Meyer, Bruce (1995). Natural and QuasiNatural Experiments in Economics, Journal of Business andEconomicStatistics,13,151161. Abadie, Alberto (2005). Semiparametric difference in difference estimators, Review of Economic Studies,72,119. Abadie, Alberto; Alexis Diamond and Jens Hainmueller (2011). Synthetic Control Methods for ComparativeCaseStudies:EstimatingtheEffectofCalifornia'sTobaccoControlProgram.Journalof AmericanStatisticalAssociation,105,493505.

Bibliografiasuplementaria: ML,Sections4.54.6. Rosenzweig, Mark and Kenneth Wolpin (2000). Natural "Natural Experiments" in Economics. JournalofEconomicLiterature,38,827874. Sesin12y13:Modelosdevariabledependientelimitada Sumilla: Revisin de aproximaciones estndar a los modelos de variable dependiente limitada. Implicaciones causales.Probit,logits.Censuraytruncamiento. Bibliografabsica: Angrist,Joshua(2001).EstimationofLimitedDependentVariableModelswithDummyEndogenous Regressors: Simple Strategies for Empirical Practice, Journal of Business and Economics Statistics, 19,216. Horowitz,JoelandN.E.Savin(2001).BinaryResponseModels:Probit,LogitsandSemiparametrics, JournalofEconomicPerspectives,15,4356. AP,Section3.4.2. JWII,Chapter15. SL,Chapters3,7and8. Sesin14:Erroresestndar,clusteringybootstrap Sumilla: Correccindeloserroresestndar.Cluster.Mtodosdebootstrap. Bibliografabsica: AP,Chapter8. CT,Chapter24. Wooldridge,Jeffrey(2003),ClusterSampleMethodsinAppliedEconometrics,AmericanEconomic Review,93,133139. Moulton,B.R.(1990).AnIllustrationofaPitfallinEstimatingtheEffectsofAggregateVariableson MicroUnits,ReviewofEconomicsandStatistics,72,33438. 7

Cameron,ColinandDouglassMiller(2010).RobustInferencewithClusteredData,forthcomingin theHandbookofEmpiricalEconomicsandFinance. Cameron,Colin;JonahB.Gelbach,andDouglasL.Miller(2008).Bootstrapbasedimprovementsfor inferencewithclusterederrors.ReviewofEconomicsandStatistics,90,414427. Bertrand, Marianne; Esther Duflo and Sendhil Mullainathan (2004). How Much Should We Trust DifferencesinDifferencesEstimates?QuarterlyJournalofEconomics,119,249275. Deaton, Angus (1997). The Analysis of Household Surveys: A Microeconomic Approach to DevelopmentPolicy.WorldBankPublications.Chapter1and2.

Sesin15:Controversiasrecientes Sumilla: Resultados potenciales versus modelos estructurales. Criticas estructuralistas a aproximaciones de formareducida. Bibliografabsica: Keane, Micheal (2010). Structural vs atheoretic Approaches to Econometrics. Journal of Econometrics,156,320. Deaton,Angus(2009).InstrumentsofDevelopment:RandomizationintheTropics,andtheSearch fortheElusiveKeystoEconomicDevelopment.NBERWorkingPaper14690. Heckman, James and Sergio Urzua (2010). Comparing IV With Structural Models: What Simple IV CanandCannotIdentify.JournalofEconometrics,156,2737. Imbens,Guido(2010).BetterLATEThanNothing:SomeCommentsonDeaton(2009)andHeckman andUrzua(2009).JournalofEconomicLiterature,48,399423. 9. Sesionesprcticas. Lassesionesprcticasincluirnladiscusindeaspectostericoscomplementariosyeltrabajocondatos empricos en STATA y R. Los contenidos se definirn en funcin al progreso mostrado por los participantesenclase. Adicionalmente, cada estudiante deber presentar un artculo durante las sesiones prcticas. Dichos artculos contienen aplicaciones de los mtodos cubiertos en clase. Estos podrn ser elegidos del siguientelistado. Diseosexperimentales Schultz, T. Paul (2004). School Subsidies for the Poor: Evaluating the Mexican Progresa Poverty Program.JournalofDevelopmentEconomics.June,199250. Olken,Ben(2007).MonitoringCorruption:EvidencefromaFieldExperimentinIndonesia.Journal ofPoliticalEconomy,115,200249. Chattopadhyay,RaghabendraandEstherDuflo(2004).WomenasPolicyMakers:Evidencefroma RandomizedPolicyExperimentinIndia.Econometrica,72,14091443.

Gerber,AlanS.,andDonaldP.Green(2000).TheEffectsofCanvassing,DirectMail,andTelephone ContactonVoterTurnout:AFieldExperiment.AmericanPoliticalScienceReview,94,65363. Miguel,EdwardandMichealKremer(2004).Worms:IdentifyingImpactsonEducationandHealth inthePresenceofTreatmentExternalities,Econometrica,72,159217.

Seleccinsobreobservables,regresinymatching Krueger, Alan (1993). How Computers Have Changed the Wage Structure: Evidence from Microdata,19841989QuarterlyJournalofEconomics,108,3360. DiNardo, John E and Pischke, JornSteffen (1997). "The Returns to Computer Use Revisited: Have PencilsChangedtheWageStructureToo?"TheQuarterlyJournalofEconomics,112,291303. Jalan,JyotsnaandMartinRavallion(2003).DoesPipedWaterReduceDiarrheaforChildreninRural India?.JournalofEconometrics.January,153173. Gilligan,MichaelJ.andErnestJ.Sergenti(2008)"DoUNInterventionsCausePeace?UsingMatching toImproveCausalInference",QuarterlyJournalofPoliticalScience,3,89122. Persson,TorstenandTabellini,Guido(2007).TheGrowthEffectofDemocracy:IsItHeterogenous andHowCanitBeEstimated?.NBERWorkingPaper14723. Almond, Douglass; Kenneth Chay and David Lee (2005). The Cost of Low Birth Weight, Quaterly JournalofEconomics,120,10311083. Variablesinstrumentalesyregresionesdiscontinuas Angrist,Joshua(1990)."LifetimeEarningsandtheVietnamEraDraftLottery:EvidencefromSocial SecurityAdministrativeRecords,"AmericanEconomicReview,80,313336. Miguel, Edward; S. Satyanath and E. Sergenti (2004). Economic Shocks and Civil Conflict: An InstrumentalVariablesApproach,JournalofPoliticalEconomy,112,725753. Acemoglu,Daron,SimonJohnsonandJamesRobinson(2001).TheColonialOriginsofComparative Development:AnEmpiricalInvestigation,AmericanEconomicReview,91,13691401. Chay, Kenneth and Michael Greenstone (2005). Does Air Quality Matter? Evidence from the HousingMarket,JournalofPoliticalEconomy,133,376424. Manacorda, Marco, Edward Miguel, and Andrea Vigorito (2011). "Government Transfers and PoliticalSupport."AmericanEconomicJournal:AppliedEconomics,3(3):128. Angrist,JoshuaandVictorLavy(1999).UsingMaimonides'RuletoEstimatetheEffectofClassSize onScholasticAchievement,QuarterlyJournalofEconomics,114,533575. Lee,David;EnricoMorettiandMatthewButler(2004)."DoVotersAffectorElectPolicies?Evidence fromtheU.S.House",QuarterlyJournalofEconomics,119,807859. Dell, Melissa (2010). The Persistent Effects of Peru's Mining Mita, Econometrica, 78 (6), 1863 1903. PetterssonLidbom, Per and Bjrn Tyrefors (2008). The Policy Consequences of Direct versus RepresentativeDemocracy:ARegressionDiscontinuityApproach,Mimeo. Angrist, Joshua D. and Alan B. Krueger (1991). Does compulsory school attendance affects schoolingandearnings?QuarterlyJournalofEconomics,106,9791014. Duflo,EstherandRohiniPande(2007).Dams.QuarterlyJournalofEconomics,May,601646.

Diferenciasendiferenciasyexperimentosnaturales Card,D.andA.Krueger(1994).MinimumWagesandEmployment:ACaseStudyoftheFastFood Industry,AmericanEconomicReview,84,772793. Galiani,Sebastian,Gertler,PaulJ.andSchargrodsky,Ernesto(2005).WaterforLife:TheImpactof the Privatization of Water Services on Child Mortality. Journal of Political Economy, 113, pp. 83 120. Levitt, Steven (1994). "Using Repeat Challengers to Estimate the Effect of Campaign Spending on ElectionOutcomesintheU.S.House."JournalofPoliticalEconomy,102,77798. Di Tella, Rafael, and Ernesto Schargrodsky (2004). "Do Police Reduce Crime? Estimates Using the AllocationofPoliceForcesafteraTerroristAttack."AmericanEconomicReview,94,115133. Di Tella, Rafael, Sebastian Galliani, and Ernesto Schargrodsky (2007). The Formation of Beliefs: EvidencefromtheAllocationofLandTitlestoSquatters.QuarterlyJournalofEconomics,122,209 41. 10. Materiales. Losmaterialesdelcursoserndistribuidosatravsdecorreoelectrnicoalosalumnosmatriculadosy enunapginawebdiseadaparatalfin. 11. Evaluacin. Elnfasisdelcursoeseneldiseodeinvestigacinemprica.Portalrazn,50%delanotafinaldelcurso consistirenunapropuestadeinvestigacin.El50%restanteserdivididoentrabajosprcticosconuso dedatos(40%)ylapresentacindeunartculoacadmicoconaplicacionesdelastcnicasdiscutidasen clasedurantelassesionesprcticas. Estudiantes libres son bienvenidos en clase. El nico requisito para ello ser la presentacin de un artculoenlassesionesprcticas.

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