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Summary

ECON0019 Quantitative Economics and Econometrics Term 2 Summary UCL 21/22

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A summary of Term 2 Quantitative Economics and Econometrics UCL 21/22 taught by Dennis Kristensen & Aureo de Paula. Topics include: potential outcomes, instrumental variables, binary response models, censoring, truncation, time series, and serial correlation. Final mark: 76%

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Potential outcomes and experiments


causality




u I treated
Let u betreatment
y u 0 nottreated

outcome w treatmentforperson i
y bethefaggoting Yai
f

is
onlyoneofyo or y isrealised




I ESTIMANDSOFINTEREST
AugTreatmentEffect ATE1
CAUSAL

E Yi yo

howmuchydiffers iftreated
forsamepersonacrossstates averagedacrosspop



Treated ATTI
AugTreatmentEffecton
E yi yo u 1 1

howmuchydiffersamongthosechoosingtoparticipate

, REGRESSIONESTIMANDS


y Bo t pin t a


Bois E y u 1l E y u o


Coutuyl
Boes var ul



Yi i
Pli pl E y u 1l E y u of
pl i pl
Bois E y u 1l E y u o




Bois E ly u 1 E yo u o

E ly u 11 E yo u 11 E yo1 u 11 E yo u 01
AugTreatmentEffect att
selectionbias
Treated
on
negativeif
selfselected c untreated
y y

i Given
yoismean independentof u
E yo u 1 E yo u 0 O
holdsittreat s
Bois E ly Yo u 1 I randomlyassignedin
randomizedcontrolledtrial Rct
AugTreatmentEffect Att
onTreated
v

i u h yo y l
ye
treatment u control
Bois E ly yo u 11 similaronpotential
outcomes
E ly yoI yo y
ATT ATEI
n is notindependent

, eg




CONTROLVARIABLES



y potBasu paw tu

w is predetermined or G w causallyaffectedby u

u k yo ya w u yo yall W
Boos still Ely yo I
justu andEInt
residuals
OVERCONTROLLING

controllingforw t Var a o vB


um



Yi Yai ni t yo l mil
Yo t Yai Yailui
Be t Baini t ai
EEyo I causaleffect
outcome
wo
treatment



ifcausaleffectsareconstantacrosspop Bai B1
if E ui ui 0 ELYoilwit ELYoil


NB onlyforATEW HETEROGENOUSEFFECTS

, ISATIONBASEDONCO
RANDOM VARIATES


controlVARIABLES covariates w I are
moreimportantif randomisation isbased
on w'svalues




reg y on u has
selectionbias


yo mean independentof u isn'treq
u k y mayberelatedto w
similarly

unconfoundness holds


u Yo yall W

reggroupbygroup
t

Ely yo I w
groupspecificATE
removesselectionbias


OR

controlforallnon experimentaldeterminants oftreatment u




I
addsgroupdummies
groupfixed
effects
groupspecificintercepts

if wi u
I wi u I
if wi t U


B1 weightedaverageofgroupspecificATE

Ely yo I w u

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Number of pages
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Written in
2021/2022
Type
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