Program Pascasarjana Ilmu Ekonomi (Magister)

Fakultas Ekonomi dan Bisnis

Universitas Indonesia

SILABUS
Mata Kuliah : ECES801303 Ekonometrika 2
Jadwal : Rabu, 09.00 – 11.30
Dosen : Rus’an Nasrudin/Prani Sastiono
Term, Tahun Akademik : Term 2 2020/2021

I. Deskripsi

Melanjutkan MK Ekonometrika 1 (ECES801301), mata kuliah ini mengajarkan metode dasar untuk
melakukan estimasi dan melakukan pengujian hipotesis pada model statistik ekonomi yang menggunakan
data panel dan cross section. Perkuliahan dibedakan menjadi dua bagian. Bagian pertama fokus pada
model ekonomi empiris untuk data cross section, diberikan pada bagian pertama semester (kuliah 1-5).
Bagian kedua fokus pada model ekonomi empiris dengan data panel (kuliah 7-14).

Pada bagian pertama, mahasiswa diberikan review tentang teknik estimasi dengan Maximum Likelihoods
Estimation, kemudian diikuti dengan berbagai macam metode yang menggunakan MLE untuk struktur
data cross section. Beberapa metode untuk data cross section yang menggunakan MLE yang akan dibahas
adalah Probit/Logit, dan berbagai model untuk unordered discrete choice (Multinomial Logit, Conditional
Logit, Nested Logit). Pada bagian kedua, mahasiswa akan diajarkan diajarkan teknik estimasi dengan data
panel. Dependent variable yang dibahas bersifat continuous, binary, count, dan truncated/censored.
Untuk masing-masing jenis dependent variable, pembahasan dimulai dengan teknik estimasi saat strict
exogeneity assumption terpenuhi, kemudian dilanjutkan dengan teknik estimasi saat ada pelanggaran
asumsi strict exogeneity.

II. Tujuan

Setelah mengikuti mata kuliah ini mahasiswa diharapkan mampu mengidentifikasi dan merancang
spesifikasi model empiris, prosedur estimasi, dan prosedur pengujian hipotesis terkait suatu proses
stokastik, yang diperlukan untuk suatu disain penelitian empiris dengan data panel dan cross section.

III. Referensi

BUKU
Angrist, J. D., & Pischke, J.-S. (2009). Mostly Harmless Econometrics. Mostly Harmless Econometrics.
Greene, W. W. H. . (2018). Econometric Analysis 8th Ed. Pearson.
Wooldridge, J. M. (2002). Econometric Analysis of Cross Section and Panel Data.

ARTIKEL
Arellano, M., & Bond, S. (1991). Some Tests of Specification for Panel Data: Monte Carlo Evidence and
an Application to Employment Equations. The Review of Economic Studies.
https://doi.org/10.2307/2297968
Callaway, B., & Sant’Anna, P. H. C. (2019). Difference-in-Differences with Multiple Time Periods. Working
Paper.
Chen, S., Geldsetzer, P., & Bärnighausen, T. (2020). The causal effect of retirement on stress in older
adults in China: A regression discontinuity study. SSM - Population Health.
https://doi.org/10.1016/j.ssmph.2019.100462
Feinstein, J. S. (1990). Detection Controlled Estimation. The Journal of Law and Economics.
https://doi.org/10.1086/467205
Feinstein, J. S. (1991). An Econometric Analysis of Income Tax Evasion and Its Detection. The RAND
Journal of Economics. https://doi.org/10.2307/2601005
Goodman-Bacon, A. (2018). Difference-in-Differences with Variation in Treatment Timing. National
Bureau of Economic Research. https://doi.org/10.3386/w25018

IV. Penilaian: UTS 35%, UAS 35%, Tugas 30%

V. Outline Perkuliahan
Session Topics Reading(s)
1-3 Review on Maximum Likelihood Estimation Handout
The likelihood function and identification of parameters
The principle of maximum likelihood
Review on binary choice model: Logit and probit model Greene
Random utility and index function model Chapter 17
Functional form and probability
Maximum likelihood estimation
Marginal effects (PEA and APE) and inference
Computer exercises with Stata
Ordered response and multinomial response model Greene
Random utility model and index function model and Chapter 18
Ordered probit model
Multinomial logit model: alternative-invariant and alternative-variant
independent variables, multinomial and conditional logit model,
marginal effects (PEA and APE), Independence from irrelevant
alternatives (IIA) assumption
Multinomial probit model
Nested Logit model
Computer exercises with Stata
4-5 Truncated and censored regression models: Greene
Truncation, truncated distribution, moments of the truncated normal Chapter 19
distribution, and the truncated regression
Censored data, the censored normal distribution, the censored
regression (Tobit) model
Computer exercise with Stata
Model with sample selection bias correction (If time allows)
Model’s representation
The Heckman two-step estimation method,
Marginal effect of Heckman selection model
Computer exercise with Stata
6-7 Static linear panel data model with unobserved individual effects Cameron &
Static models with individual fixed effects and random effects Trivedi
Fixed effect estimators (FE/Within estimator, LSDV estimator, FD (2005,
estimator) 2010);
Random effect estimator (GLS) Handout
Pooled model
Hausman specification test
Computer exercise with Stata.
Mid-term Exam
8-11 Dynamic linear model with panel data (DPD) Cameron &
Dynamic panel bias (Nickell’s bias) Trivedi
IV approach (Anderson-Hsiao estimator) (2005,
Constructing instruments from data
 Generalized Method of Moments approaches (Arellano-Bond GMM 2010);
estimator, Arellano-Bover GMM estimator, Blundell & Bond System Handout
GMM estimator)
Types of regressors (strictly exogenous, pre-determined,
endogenous)
Specification tests (the test of zero autocorrelation in first-
differenced errors, the test of overidentifying restrictions)
Dynamic linear panel data with a moving-average (MA) error process
of low order
Computer exercises with Stata.
12 Panel data analysis with discrete dependent variable Wooldridge
Pooled Probit/Logit Chapter 15
Random Effect Probit
Fixed Effect Logit
Dynamic unobserved effects models
Example of Application
13-14 Panel data analysis with count/censored data Wooldridge
Data Structure Chapter 16,
Review of characteristic of Poisson and Tobit model for cross section 19
data
Poisson, Tobit
Example of Application
Computer exercise with Stata
Final-term Exam