Advanced Econometrics

Description

This course builds up on the course Econometrics I. Its goal is to make students acquainted with some fundamental concepts of estimation and inference for linear and nonlinear econometric models. The course aims at providing students with the necessary theoretical background for further courses in econometrics. The tutorials consist of theoretical exercises, empirical applications and an introduction to the programming language Matlab.

  1. Asymptotic Theory
  2. IV Estimation
  3. ML and Pseudo-ML-Estimation
  4. Generalized Method of Moments
  5. Bootstrapping
  6. Shrinkage

Prerequisites

Econometrics I (or equivalent course).

Helpdesk Advanced Econometrics:

      When? Thursday, 11:45-13:15, starting on Thursday, November 9th

      Where? Room Z1003

      Tutor? Mr. Christian Mücher

Introductory Literature

Anatolsev, S. and Gospodinov, N. (2011): Methods for Estimation and Inference in Modern Econometrics, Chapman & Hall.

Cameron, A.C. and Triverdi, P.K. (2006): Microeconometrics: Methods and Applications, Cambridge University Press (Cambridge).

Gourieroux, C. and Monfort, A. (1995): Statistics and Econometric Models, Vol. 1 and 2, Cambridge University Press (Cambridge).

Hansen, B.E. (2014): Econometrics, current manuscript, www.ssc.wisc.edu/~bhansen/econometrics.

Hayashi, F. (2002): Econometrics, Princeton University Press.

Mittelhammer, R.C., Judge, G.G. and Miller, D.J. (2000): Econometric Foundations, Cambridge University Press (Cambridge).

Ruud, Paul A. (2000): An introduction to classical econometric theory, Oxford Univ. Press

Wooldridge, Jeffrey M. (2009): Introductory econometrics : a modern Approach, South Western Cengage Learning (4.ed.)

Wooldridge, Jeffrey M. (2010): Econometric analysis of cross section and panel data, MIT Press (2. ed.)

Form of Assessment

Grading is based on the Midterm Exam (20 %), 2 Take-Home Assignments (10 % each) and the Final Exam (60 %).

The Midterm exam takes place on Friday, December 8th from 15:15-16:45 in the rooms R711 and R712.

Participation in the Midterm exam is compulsory.

There will be an oral exam for those students who cannot attend the midterm exam due to illness, which takes place on Thursday, December 21st .

Preparation Course

New msc economics students have the opportunity to visit a voluntary preparation course.
Dates and Rooms can be taken from below, see here for more detailed information.

Wednesday11/10/201613:30 - 16:45C336
Thursday12/10/201613:30 - 16:45A703
Friday13/10/201613:30 - 16:45C336
Monday16/10/201613:30 - 16:45G201

Tuesday

17/10/201613:30 - 16:45

A704 / BS 217 (CIP Pool)

Lecture & Tutorial Dates

Schedule for the Lectures and Tutorials

Lecture

Thursday

8:15-9:45

A 703

W. Pohlmeier

Friday

8:15-9:45

A 702

W. Pohlmeier

Please note that the lecture ends on 26.01.2017.

Tutorials (during the weeks without scheduled Computer Tutorials)

Group ATuesdaybeginning on: 31/10/17 15:15-16:45G 309J. Mareckova/ A. Morozova/ L. Shkoza
Group BWednesdaybeginning on: 01/11/1715:15-16:45E 404J. Mareckova/ A. Morozova/ L. Shkoza

Please note that both first tutorials got shifted on Thursday, 2.11.17 and Friday 3.11.17 respectively, since there are public holidays on Tuesday and Wednesday.

Computer Tutorials

Group ATuesday 21/11/1615:15-16:45G 309T. Dimitiradis/ C. Mücher
Tuesday19/12/16 15:15-16:45G 309T. Dimitiradis/ C. Mücher
Tuesday16/01/1715:15-16:45G 309T. Dimitiradis/ C. Mücher
Group BWednesday22/11/1615:15-16:45E 404T. Dimitiradis/ C. Mücher
Wednesday20/12/1615:15-16:45E 404T. Dimitiradis/ C. Mücher
Wednesday17/01/1715:15-16:45E 404T. Dimitiradis/ C. Mücher
Group CThursday23/11/1613:30–15:00G 310T. Dimitiradis/ C. Mücher
Thursday21/12/1613:30–15:00G 310T. Dimitiradis/ C. Mücher
Thursday18/01/1713:30–15:00G 310T. Dimitiradis/ C. Mücher

Course Materials

Please register for the lecture using ILIAS. The ILIAS password will be announced in the first lecture. Once you are registered, you get all news via mail and you can download the course material.