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Advanced Courses in Economic Analysis: Microeconometrics: Discrete Choice and Panel Data Models


1.     The context

The Department of Economic Analysis: Economic Theory and Economic History at the Universidad Autónoma de Madrid (UAM) wants to offer a series of modular workshops (1 or 2 weeks) to address key methodological issues of interest for researchers in economics. Different courses will be presented under a common title of "ADVANCED COURSES IN ECONOMIC ANALYSIS". Within this generic name, each year there will be specific courses that will take the form of a Continuing Education Course at the UAM.

The courses will be taught primarily in English, by a combination of local scholars from the UAM as well as invited professors from national and international leading institutions. These courses are offered to the graduate students from the UAM, as well as to all graduate students, researchers, young scholars and professional economists working in national and international institutions.

Within this general context, this document describes the specific content of the course entitled: ADVANCED COURSES IN ECONOMIC ANALYSIS: MICROECONOMETRICS: DISCRETE CHOICE AND PANEL DATA MODELS.

Specific objetives

-         The course's main objective is promoting the advanced knowledge in econometric analysis techniques with a practical and "learn by doing" approach.

-         The workshop has the following secondary objectives:

o    The workshop aims to provide the basic theoretical and computational skills necessary to implement the main econometric techniques and advanced topics about discrete choice models in the panel data context.


o    To Promote learning in the presentation of scientific results in the format of an academic journal, posing hypotheses, designing experiments and models needed by selecting the appropriate variables and presenting the results effectively.

To Promote interaction between students and local and invited scholars, creating a comfortable atmosphere for scientific consultations, and encouraging the development of joint research and specific research approach and future doctoral dissertations.


PART 1: Rocio Sánchez-Mangas (UAM).  Basic econometric methods with Stata (18th May)  

-         Session 1. Monday (3 hours):

o    Basic econometric methods:

§  Cross section and panel data

§  Regression model

§  Estimation


PART 2: William Greene (NYU). Advanced Topics in Choice Modeling (19th – 22th May)

-         Session 2. Tuesday  (3 hours):

o    Panel data methods

§  Regression and nonlinear models

§  clustering

§  Fixed and random effects

§  Panel data and nonlinear models

-         Session 2. Wednesday  (3 hours):

o    Discrete choice models

§  Probit, logit, binary choice

§  Ordered Choice

§  Models for count data

§  Multinomial choice

-         Session 3. Thursday (3 hours):

o    Discrete choice modeling and panel data :

§  Modeling heterogeneity

§  Random parameters and simulation based estimation

§  Latent Class Models

-         Session 4. Friday (3 hours):

o    Advanced topics


-         Computer demos (18th – 22th May, 5 hours):

Problem sets where students will put into practice the topics taught in the course using the computer software NLOGIT.  These exercises will introduce the concepts to develop in the second part of the course.

-         Take home practice: students will have one additional week to apply the concepts learned during the course, either through the analysis of an original question, or reproducing the results of a relevant paper in the literature previously studied in the course.




In-class hours

Out-of-class hours

1st part

Full syllabus described in Section 2.

-         Course: 5 days. [3 hours] = 15 hours

-         PC tutorials = 5 hours

Additionally, the student will have to work on the computer demonstrations, which imply a working load of 30 hours up to a total of 50 hours.  Problem sets will be handed in and graded.



-         Total course: 20 in-class hours





Grading will be based on the following criteria:



Problem sets (a series of problem sets for the application of the programming techniques to a real economic problem, with subsequent grading of the results obtained):


Attendance, punctuality and participation in class:




-         Course directors:

Inmaculada Álvarez. Associate Profesor at the Departamento de Análisis Económico: Teoría Económica e Historia Económica.

Rocio Sánchez-Mangas. Associate Professor at the Departamento de Análisis Económico: Economía Cuantitativa.

-         Course coordinators:

Carlos Llano. Coordinator of the Master in International Economics at the UAM. Associate Profesor at the Departamento de Análisis Económico: Teoría Económica e Historia Económica.

Andres Maroto. Coordinator of the Master in International Economics at the UAM. Associate Profesor at the Departamento de Análisis Económico: Teoría Económica e Historia Económica.


-         Potential students must have completed Bachelor's degree in Economics or Business (or any other discipline with high skills in mathematical and statistical analysis), with a good academic record. Preferably, students should have or be doing postgraduate studies in Economics or Business. Special focus will be put on their qualifications in subjects related to the module, and capabilities related to the quantitative analysis and the macroeconomic and microeconomic analysis skills.

-         All students must have a high level of written and spoken English, since most of the materials and the course are in English.

-         Exceptionally, some undergraduate students, who have already obtained more than 200 credits ECTS, and have a good record

Number of slots offered (according to our estimates for 2014-2015): Max. 50 students.


The course addresses different rates depending on the category of the attendants and their affiliation:

-         All students enrolled in Department of Economic Analysis: Economic Theory and Economic History (DAETEeHE) post-graduates, who have already paid the tuition will be awarded scholarships by 100% the cost of the course. This grant is justified by the economic contribution made by the Department's funds. This full-fee grant will also be applied to attendants from Sponsor institutions (the number of attendants sent by each sponsoring institutions will be agreed in advance).

This structure gives rise to the following final prices.



10th May 2015

-         Students from the MEI-UAM or the Doctorate program coordinated by the Economic Analysis Department.

-         Attendants from sponsoring institutions

0 €

Other people from the UAM or associated programs

200 €

People from other Universities or Academic Institutions (students and scholars)

300 €

People from other institutions

400 €



Visiting profesors (60% of teaching load)

o    William H. Greene is Robert Stansky Professor at the Department of Economics and Senior Research Fellow at the Stern School of Business, at the New York University (USA). He is considered an expert in econometrics of international renown, focusing his research on micro econometrics, discrete choice models and stochastic frontier analysis. He is the editor in journals of high quality, such as Journal of Productivity Analysis and Foundations and Trends: Econometrics, among others, and has published articles in journals and books of special relevance in econometrics, which are a reference point for all researchers conducting applied research in the field of econometrics in general, and panel data econometrics, in particular.

UAM faculty (40% of teaching load including grading, etc):

o    Rocio Sánchez-Mangas.  Associate Professor at the Department of Economic Analysis: Quantitative Economics at the UAM. She has extensive experience in research based on analysis of empirical evidence on the use of econometric techniques of panel data, applied to the area of Health, Labour and Productivity. She has also taught courses about microeconometrics and panel data analysis in posgraduate at the UAM.


o    Teaching Assistants: Javier Barbero and Nuria Gallego. PhD researchers at the Departamento de Análisis Económico: Teoría Económica e Historia Económica at the UAM. They will assist the Directors of the course on the organization and development of the program.

Características básicas

  • Modalidad: Mixta
  • Vigencia: 19/12/2014 - 10/05/2015
  • Fechas del curso: 18/05/2015 - 22/05/2015
  • Precio: From 0 to 400 €

Enlaces de interés

Más información

Directors: Inmaculada Álvarez y Rocio Sánchez-Mangas


Place: The course will take place at the Facultad de Ciencias Económicas y Empresariales (UAM)

Room: to be appointed

Schedule: 16:00-20:00.