Syllabus(课程计划)

Intro ’Metrics, Spring 2025

Course Description

This course introduces students to modern causal inference methods for analyzing data in economics and other social sciences. The goal is to help you develop a solid theoretical background in introductory level econometrics, the ability to implement modern econometric methods, and the critical thinking about empirical studies in economics and other social sciences. Specifically, we will learn seven modern econometric research design techniques that aim to estimate causal effects credibly and make predictions scientifically on economic and social relationships:

  • Randomized Controlled Trial(RCT)

  • Regression(OLS)

  • Matching

  • Instrumental Variables(IV)

  • Regression Discontinuity Designs(RDD)

  • Fixed Effects Model(FE)

  • Differences-in-Differences(DID)

At the end, students will use at least one of them above to finish an empirical research proposal.

Evaluation

  • Participation（\(10\%\)）

  • Homework (\(10\%\times3=30\%\))

  • Final exam (\(40\%\))

  • Team project: A research proposal (\(20\%\))

Textbooks

Econometrics

  • James H. Stock and Mark W. Watson, Introduction to Econometrics, 3rd Edition, Addison-Wesley, 2012. (中译本《计量经济学》 詹姆斯·H·斯托克和马克·W·沃森 著 格致出版社)

  • Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach, 5th Edition, South-Western College, 2013.(中译本《计量经济学导论：现代观点》 杰弗瑞·M·伍尔德里奇 著 格致出版社)

  • Joshua Angrist and Jorn-Steffen Pischke, Mastering ’Metrics: The Path from Cause to Effect, Princeton press, 2015. (中译本《精通计量：因果之道》 约书亚·安格里斯特和约恩-斯特凡·皮施克 著 格致出版社)

  • Scott Cunningham, Causal Inference: The Mixtape, Yale University Press, 2021. (中译本《因果推断》 斯科特·坎宁安 著 中国人民大学出版社)

Computing Softwares： Stata and R

  • 任意一本关于Stata或R的中文书

Additional Readings

  • Steven D. Levitt and Stephen J. Dubner, Freakonomics: A Rogue Economist Explores the Hidden Side of Everything, 2005. (中译本《魔鬼经济学》 斯蒂夫·列维特和斯蒂芬·都伯纳著，广东经济出版社，2006年1月。)

  • Steven D. Levitt and Stephen J. Dubner, SuperFreakonomics: Global Cooling, Patriotic Prostitutes, and Why Suicide Bombers Should Buy Life Insurance, 2009.（中译本，《超爆魔鬼经济学》，斯蒂夫·列维特和斯蒂芬·都伯纳著，中信出版社，2010年1月。）

  • Ian Ayres, Super Crunchers: Why Thinking-By-Numbers is the New Way To Be Smart, 2007. (中译本《超级数字天才》，伊恩·艾瑞斯著，中国青年出版社，2008年1月。)

  • 李井奎，《大侦探经济学：现代经济学中的因果推断革命》，中信出版社，2021年7月。

Outline

(Preliminary, to be adjusted possibly)

  1. Introduction

  • What the course is about? What is the benefit if we learn it? How to learn it?

    • Stock and Watson (2012): Chapter 1.
    • Wooldridge (2013): Chapter 1.
    • Angrist and Pischke (2014): Chapter 1.
    • Angrist and Pischke (2008): Chapter 1.

  • Probability and Statistics Review

    • Stock and Watson (2012): Chapter 2-3.
    • Wooldridge (2013): Appendix A, B & C.
    • Cunningham (2021): Chapter 2
  1. Causal Inference in Social Science and Randomized Experiment

  • Stock and Watson (2012): Chapter 1 & 13

  • Angrist and Pischke (2014): Chapter 1

  • Angrist and Pischke (2008): Chapter 1-2

  • Probability and Statistics Review

    • Stock and Watson (2012): Chapter 2-3.
    • Wooldridge (2013): Appendix A, B & C.
    • Cunningham (2021): Chapter 2
  1. Regression (I): Simple OLS-Estimation

  • Stock and Watson (2012): Chapter 4-5, 17

  • Wooldridge (2013): Chapter 2

  • Angrist and Pischke (2014):Chapter 2

  • Angrist and Pischke (2008): Chapter 3

  1. Regression (II)- Multiple OLS-Estimation

  • Stock and Watson (2012): Chapter 6-7

  • Wooldridge (2013): Chapter 3,

  • Angrist and Pischke (2008): Chapter 3

  • Angrist and Pischke (2014): Chapter 2

  1. Regression (III): Hypothesis Test in OLS

  • Stock and Watson (2012): Chapter 6-7

  • Wooldridge (2013): Chapter 4-5

  1. Regression Review (IV): Nonlinear Regression Functions

  • Stock and Watson (2012): Chapter 8-9

  • Wooldridge (2013): Chapter 6-8

  1. Regression Review (V): Discrete Dependent Variables

  • Stock and Watson (2012): Chapter 11

  • Wooldridge (2013): Chapter 9 & 17

  1. Assessing Studies: Internal Validity (I)

  • Stock and Watson (2012): Chapter 11

  • Cunningham (2021): Chapter 3 & 5

  • Angrist and Pischke (2014): Chapter 3

  1. Assessing Studies: Internal Validity(II)

  • Stock and Watson (2012): Chapter 11

  • Cunningham (2021): Chapter 3 & 5

  • Angrist and Pischke (2014): Chapter 3

  1. Instrumental Variables (I)

  • Stock andWatson (2012): Chapter 12

  • Wooldridge (2013): Chapter 15

  • Angrist and Pischke (2014): Chapter 3

  • Angrist and Pischke (2008): Chapter 4

  • Cunningham (2021): Chapter 7

  1. Instrumental Variables (II)

  • Stock and Watson (2012): Chapter 12

  • Wooldridge (2013): Chapter 15

  • Angrist and Pischke (2014): Chapter 3

  • Angrist and Pischke (2008): Chapter 4

  1. Regression Discontinuity (I)

  • Angrist and Pischke (2008): Chapter 4

  • Angrist and Pischke (2014): Chapter 4

  • Cunningham (2021): Chapter 6

  1. Regression Discontinuity (II)

  • Angrist and Pischke (2008): Chapter 4

  • Angrist and Pischke (2014): Chapter 4

  • Cunningham (2021): Chapter 6

  1. Fixed Effect and Difference in Differences (I)

  • Angrist and Pischke (2014): Chapter 5

  • Stock and Watson (2012): Chapter 10

  • Wooldridge (2013): Chapter 13

  • Cunningham (2021): Chapter 8 & 9

  1. Fixed Effect and Difference in Differences (II)

  • Angrist and Pischke (2014): Chapter 5

  • Stock and Watson (2012): Chapter 10

  • Wooldridge (2013): Chapter 13

  • Cunningham (2021): Chapter 8 & 9

  1. Final Review