Applied Microeconometrics II

2026/2027

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Департамент экономики

Статус:

Курс обязательный

Когда читается:

3-й курс, 4 модуль

Преподаватель

Рубин Александр Юрьевич

Course Syllabus

Abstract

This course provides students with skills in basic microeconometrics with applications in empirical corporate finance. Students will learn the limitations of the most widely used methods and should be able to apply them for analytical exercises. The course is oriented for prospective doctoral students.

Learning Objectives

• 1. To be able to find data for the econometric analysis. 2. To be able to read and understand econometric reports (empirical papers). 3. To be able to estimate microeconometrics models using STATA.

Expected Learning Outcomes

• be able to choose between Pooled OLS, RE, FE models
• be able to detect potential problems in the regression model using simulation approach
• be able to detect whether an instrument weak or strong for panel regression models
• be able to estimate FE and RE models
• be able to estimate marginal effects
• be able to estimate panel probit models
• be able to evaluate the goodness of fit for panel probit models
• be able to explain reasons to use a variable as an instrument
• be able to explain reasons to use instruments for panel regression models
• be able to forecast time-series in STATA
• be able to import panel data in STATA
• be able to import time series data in STATA
• be able to interpret OLS coefficients
• be able to interpret outputs for binary regression models
• be able to predict binary outcome variable
• be able to run OLS regressions for time-series data
• be able to simulate OLS models in STATA
• be able to use OLS regression in STATA
• be able to verify whether an instrument weak or strong
• to know IV approach theory

Course Contents

• Linear Regression Basics
• Linear Regression Basics: Simulation
• Instrumental Variables
• Time Series
• Binary outcome models (Discrete choice)
• Linear Panel Models. Basics
• Linear Panel Models. Extensions
• Non-linear Panel Models

Assessment Elements

• Final exam
• In-class participation
• Test

Interim Assessment

• 2026/2027 4th module
  0.25 * In-class participation + 0.55 * Final exam + 0.2 * Test

Bibliography

Recommended Core Bibliography

• Statistics and Causality : Methods for Applied Empirical Research, edited by Wolfgang Wiedermann, and Eye, Alexander von, John Wiley & Sons, Incorporated, 2016. ProQuest Ebook Central, https://ebookcentral.proquest.com/lib/hselibrary-ebooks/detail.action?docID=4530803.

Recommended Additional Bibliography

• Badi H. Baltagi. (2011). Econometrics. Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.spr.sptbec.978.3.642.20059.5

Authors

• Brodskaia Natalia Nikolaevna
• Butukhanov Aleksandr Vladimirovich