Welcome to Economics 607: Econometrics III (Spring 2022) at the University of Oregon (taught by Dr. Ed Rubin).

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Lecture Monday and Wednesday 10:00am–11:20am, 410 PLC

Lab Friday 12:00pm–12:50pm, 202 Chapman Hall

Office hours (see Canvas for Zoom links)

Ed Rubin: Wednesdays, 4p–5p, Zoom

Kyutaro Matsuzawa: Thursdays, 4p–5p, Zoom

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.

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.

Causal Inference in Statistics: A Primer (Pearl)
by Pearl, Glymour, and Jewell

Causal Inference: The Mixtape (Mixtape)
by Cunningham

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.

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 = 💖

1. An introduction to empirical research via applied econometrics.
2. R: Light introduction—objects, functions, and help.

Note formats: .html | .pdf | .Rmd

Readings: MHE preface + MHE chapter 1

Lecture 02: The Experimental Ideal

1. Neyman potential outcomes framework (Rubin causal model)
2. Selection bias and experimental variation in treatment

Note formats: .html | .pdf | .Rmd

Readings: MHE chapter 2

Lecture 03: Why Regression?

1. What's the big deal about least-squares (population) regression?
2. What does the CEF tell us?
3. How does least-squares regression relate to the CEF?

Note formats: .html | .pdf | .Rmd

Readings: MHE chapter 3.1

Lecture 04: Inference and Simulation

1. How do we move from populations to samples?
2. What matters for drawing basic statistical inferences about the population?
3. How can we learn about inference from simulation?
4. How do we run (parallelized) simulations in R?

Note formats: .html | .pdf | .Rmd

Readings: MHE chapter 3

Lecture 05: Regression Stuff

1. Saturated models
2. When is regression causal?
3. The conditional-independence assumption

Note formats: .html | .pdf | .Rmd

Readings: Still MHE chapter 3

Lecture 06: Controls

1. Omitted-variable bias
2. Good and bad controls

Note formats: .html | .pdf | .Rmd

Readings: Still MHE chapter 3

Lecture 07: DAGs

1. Defining graphs
2. Underlying theory for DAGs
3. Building blocks
4. Examples

Note formats: .html | .pdf | .Rmd
Readings: Brady Neal's book, chapters 1–3 (especially 2–3)

Extras: dagitty and ggdag

Lecture 08: Matching

1. Matching estimators: Nearest neighbor and kernel
2. Propensity-score methods: Regression control, treatment-effect heterogeneity, blocking, weighting, doubly robust

Note formats: .html | .pdf | .Rmd
Readings: MHE chapter 3 + C&T section 25.4

Lecture 09: Instrument Variables

1. General research designs
2. Instrumental variables (IV)
3. Two-stage least squares (2SLS)
4. Heterogeneous treatment effects and the LATE

Note formats: .html | .pdf | .Rmd
Readings: MHE chapter 4 + C&T sections 4.8–4.9

Lecture 10: Regression Discontinuity

1. Sharp regression discontinuities
2. Fuzzy regression discontinuities
3. Graphical analyses

Note formats: .html | .pdf | .Rmd
Readings: MHE chapter 6 + C&T sections 25.6

Lecture 11: Inference: Clustering

1. General inference
2. Moulton
3. Cluster-robust standard errors

Note formats: .html | .pdf | .Rmd

Readings: MHE chapter 8

Lecture 12: Inference: Resampling and Randomization

1. Resampling
2. The bootstrap
3. Permutation tests (Fisher)
4. Randomization inference (Neyman-Pearson)

Note formats: .html | .pdf | .Rmd

Readings: MHE chapter 6 + C&T sections 25.6

Lecture 13: Machine learning (in one lecture)

1. Prediction basics
2. The bias-variance tradeoff
3. In-sample vs. out-of-sample performance
4. Hold-out methods (including cross validation)
5. Ridge regression and lasso
6. Decision trees
7. Ensembles (of trees)

Note formats: .html | .pdf | .Rmd

Readings: Introduction to statistical learning

Kyutaro Matsuzawa will walk you through R and applications of the course content. You should attend.

Note: From previous iteration of our class.

Lab 01: R Intro/Review

1. Object types/classes/structures
2. Package management
3. Math and stat. in R
4. Indexing

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd
Solutions: .html | .pdf

Lab 02: Data in/and R

1. Data frames
2. Data work with dplyr

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Lab 03: RStudio + Data i/o with R

1. RStudio
2. Getting data into and out of R

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Lab 04: Regression in R

1. lm() and lm objects
2. estimatr and lm_robust()
3. Other regressions, e.g., glm()

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Lab 05: Plotting in R

1. Default plot() methods
2. ggplot2

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Lab 06: Simulation in R

1. General simulation strategies
2. Simulating IV in finite samples

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Lab 07: Miscellaneous R Tips and Tricks

1. The apply family
2. for() loops
3. Lists
4. Logical vectors and which()

Note formats: .html | .html (no pause) | .pdf | .pdf (no pause) | .Rmd

Problem sets combining econometric theory and R.

Problem set 1
Due: 07 April 2022 (submit on Canvas)

Problem set 2
Due: 18 May 2022 (submit on Canvas)
Key

Problem set 3
Due: 29 May 2022 (submit on Canvas)
Key

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.
• This project should be something you could turn into a legitimate research project.
• Length: 100–200 words

Due: 14 April 2022

Step 2: Project proposal

Due: 25 May 2022

1. Inference and simulation
2. Matching
3. Instrumental variables
4. Regression discontinuity
5. Inference: Clustering and resampling

Your responses to the take-home final are due by 1PM Pacific on Friday, June 10th, 2021.

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.

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

• Website from 2020
• Website from 2019
• Section notes from a previous PhD-level class.
• Lecture notes from a previous undergrad class.

More

• David Card's Nobel acceptance speech, the related paper, and some slides