ECONOMETRICS

Scientific publications in management science are increasingly relying on program evaluation techniques, which therefore need to be part of the standard training of graduate management students.

The course will endow the students with the basic tools to deal with causal questions. The students will familiarize with the most used program evaluation techniques and more in general will be able to address the identification and estimation issues arising in the quasi- experimental and non-experimental context.

Maths, probability, statistics.

1. The experimental ideal and the selection problem, [AP] pp. 11-24.
2. The anatomy of linear regression, [AP] pp. 27-48.
3. Using the linear model to describe causal relationship, [AP] pp. 51-68.
4. Regression meets matching, [AP] pp. 69-77.
5. The fundamental role of propensity score in observational studies, [AP]
pp. 80-91.
6. Instrumental variables and causality, [AP] pp. 113-121.
7 . Two-stage least squares, [AP] pp. 121-127, [AP] pp. 138-147, [AP] pp.
190-192, [AP] pp. 205-216.
8. The Wald Estimator, [AP] pp. 127-133.
9. Instrumental variables with heterogeneous potential outcome, [AP] pp.
150-172.
10. Fixed effects, [AP] pp. 221-227 and [SS].
11. Diff-in-diff and event studies design, [AP] pp. 227-243.
12. RD design, [AP] pp. 251-267.

[AP] Angrist J.D. and S. Pischke, Mostly Harmless Econometrics: An Empiricist’s Companion, 2009, Princeton University Press.
de Chaisemartin, C., & D'Haultfœuille, X. (2020). Two-way fixed effects estimators with heterogeneous treatment effects. American Economic Review, 110, 2964–2996.
Schmidheiny, K. and S.Siegloch, On event studies and distributed-lags in two-way fixed effects models: Identification, equivalence, and generalization, Journal of Applied Econometrics, in press.
Wooldridge, J.M. , Econometric Analysis of Cross Section and Panel Data, 2002, The MIT press.

Written exam

In person lecturing

written