Training Calendar

Instrumental Variables and Structural Equation Modelling using Stata - Online

Online 2 days (11th January 2021 - 12th January 2021) Stata Introductory
Econometrics, Medical statistics, Policy analysis, Statistics

Overview

This course provides participants with the essential tools, both theoretical and applied, for a proper use of instrumental variables (IV) and structural equation models (SEM) for statistical causal modelling using Stata. Although IV and SEM are often treated separately in standard courses, they are indeed strictly linked approaches, with IV more focused on a reduced form (IV), and SEM on a structural one. After attending the course, the participant will be able to master articulated causal designs, by identifying, estimating and testing both direct and indirect causal effects in the presence of unobservable endogeneity, selection bias, measurement error, and simultaneity.

Participants will obtain extensive hands-on experience by working on real datasets examples from different social and biomedical sciences. Technical treatment of the subjects will be set out only to properly address real-world applications.

The course will demonstrate visual intuitive graphical representations of causal links, as well as on traditional algebraic approach. The course will enable them to recognise IVs and design causal paths in their own studies, by understanding underlying assumptions in different fields of application.

The practical sessions will use the Stata commands ivregress and sem/gsem.

Course Agenda

Day 1

Session 1: IV and causal modelling

  • Introduction to causal modelling
  • IV model set-up and endogeneity
  • Identification
  • Instrument validity and relevance
  • Types of IV estimators: IV, 2SLS, and GMM
  • IV estimation of an exactly identified model
  • IV estimation of an over-identified model
  • Testing for regressor endogeneity
  • Tests of over-identifying restrictions
  • Weak instruments
  • Small and large IV sample properties with weak instruments

Session 2: IV applications using Stata

  • The ivregress command: syntax and use
  • Test for weak instruments with estat firststage
  • Test for endogeneity with estat endogenous
  • Test for over-identified model with estat overid
  • Better inference with weak instruments
  • LIML estimator
  • Jackknife IV estimator
  • Comparison of 2SLS, LIML, JIVE, and GMM
  • 3SLS systems estimation
  • IV treatment effect with ivtreareg

Day 2

Session 1: An introduction to SEM

  • Structural equation modelling for path models
  • Path-model terminology and notation
  • Exogenous predictor, endogenous outcome, and endogenous mediator variables
  • Mediation and moderation
  • Identification and estimation of direct, indirect, and total effects
  • Recursive and nonrecursive models
  • Estimation of a full structural equation model
  • Tests for SEM reliability and goodness-of-fit

Session 2: SEM applications using Stata

  • Use of the Stata SEM packages sem and gsem
  • Using the SEM Builder: an example
  • Fitting, modifying and constraining a SEM with sem and gsem


Principal texts for pre-course reading:

  • Acock A.C., Discovering Structural Equation Modeling Using Stata, Stata Press, Revised Edition, 2013.
  • Cameron, A.C., & Trivedi P.K. (2005). Microeconometrics: Methods and Applications. Chapter 25. Cambridge: Cambridge University Press.
  • Wooldridge, J.M. (2010). Econometric Analysis of cross section and panel data. Chapter 21. Cambridge: MIT Press.

Principal texts for pre- and post-course reading

  • Cerulli, G. (2015), Econometric Evaluation of Socio-Economic Programs: Theory and Applications, Springer.
  • Cameron, A.C., & Trivedi P.K. (2005). Microeconometrics: Methods and Applications. Chapter 25. Cambridge: Cambridge University Press.

Prerequisites

  • Knowledge of basic statistics: notion of regression model and related properties; point and interval estimation; maximum likelihood estimation.
  • Basic knowledge of the Stata software.

Terms & Conditions

  • Student registrations: Attendees must provide proof of full time student status at the time of booking to qualify for student registration rate (valid student ID card or authorised letter of enrolment).
  • Additional discounts are available for multiple registrations.
  • Cost includes course materials, lunch and refreshments.
  • Delegates are provided with temporary licences for the software(s) used in the course and will be instructed to download and install the software prior to the start of the course. (Alternatively, we can also provide laptops for a small daily charge).
  • If you need assistance in locating hotel accommodation, please notify us at the time of booking.
  • Payment of course fees required prior to the course start date.
  • Registration closes 5-calendar days prior to the start of the course.

    • 100% fee returned for cancellations made over 28-calendar days prior to start of the course.
    • 50% fee returned for cancellations made 14-calendar days prior to the start of the course.
    • No fee returned for cancellations made less than 14-calendar days prior to the start of the course.

The number of delegates is restricted. Please register early to guarantee your place.

  •  CommercialAcademicStudent
    2-Day Pass - 11th & 12th December, 2021 (11/01/2021 - 12/01/2021)

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