Advanced Econometrics

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 Python.

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


Due to the coronavirus pandemic, this course will be taught in hybrid form. Until Christmas, the lectures will be recorded and can be viewed online. Additionally, we offer live Q&A sessions for the lectures online via Zoom. After Christmas, the lectures will take place on campus. The tutorials will be recorded throughout the whole semesters and the Q&A sessions will have a hybrid format, i.e. you can attend them on campus or via Zoom. 

The course material, including the recordings of lectures and tutorials, will be provided on the Advanced Econometrics page on ILIAS. Please register for the course using ZEUS. The registration on ZEUS is open from October 11 until November 1. Please register for both, the course and the tutorial. Once you are registered, you will automatically be registered for ILIAS. Via ILIAS you will get all news and can access the course material.

We also offer a Preparation Course. See below for details.

For questions on basics of Econometrics that are necessary for the understanding of the course, but are assumed to be known, and for basic questions about programming in Python, we provide a help desk.

The course schedule for lectures, tutorials and the help desk, including also the Q&A sessions, is presented below.

Course Schedule


New material will be uploaded every Monday. There will be live Q&A sessions via Zoom every Friday. 

Monday Upload of new material Pohlmeier 25.10.21 - 24.01.22  
Friday Q&A via Zoom Pohlmeier 29.10.21 - 28.01.22 8:15 - 9:45


New material will be uploaded every Monday. There will be 7 weeks with theory tutorials and 4 weeks with computer tutorials. The live Q&A sessions will take place every Tuesday via Zoom.

Monday Theory Shkoza / Fechteler 25.10.21 - 24.01.22  
Monday PC 1 Fechteler 25.10.21  
Monday PC 2 Fechteler 22.11.21  
Monday PC 3 Fechteler 13.12.21  
Monday PC 4 Fechteler 17.01.22  
Tuesday Q&A via Zoom Shkoza / Fechteler 26.10.21 - 08.02.22 13:30 - 15:00


The tests will be biweekly on the material up to (and including) the week of the test with a focus on the new material since the preceding test. The test dates are as follows.

Test 1 Friday, Nov 5, 8am - Sunday, Nov 7, 8pm
Test 2 Friday, Nov 19, 8am - Sunday, Nov 21, 8pm
Test 3 Friday, Dec 3, 8am - Sunday, Dec 5, 8pm
Test 4 Friday, Dec 17, 8am - Sunday, Dec 19, 8pm
Test 5 Friday, Jan 21, 8am - Sunday, Jan 23, 8pm
Test 6 Friday, Feb 4, 8am - Sunday, Feb 6, 8pm

Take Home Exams

There will be two take home exams with the following dates.

Take Home 1 Friday, Dec 17 - Monday, Jan 10
Take Home 2 Friday, Jan 21 - Monday, Feb 7

Help Desk

We provide a help desk, where you can ask elementary questions on Econometrics and Python. The help desk will take place on campus. If you would like to meet online, please write an E-Mail to beforehand.

Wednesday on campus (H303) Nüsing 03.11.21 - 09.02.22 13:30 - 15:00

Preparation Course

New MSc Economics students have the opportunity to visit a voluntary online preparation course. You can access the material via the page PREP 1: Econometrics I on Ilias. You have to register for the Preparation course using ZEUS. The registration on ZEUS is open now. After successful registration, you can access the material via ILIAS. We also uploaded tests from introductory econometrics on ILIAS to support your preparation. 

The live Q&A sessions will take place on

Thursday, 07.10.2021, 17:00 - 18:30,
Tuesday, 12.10.2021, 17:00 - 18:30,
Monday, 18.10.2021, 17:00 - 18:30.

You find the zoom links in the folder "4_Q&A Sessions" on the PREP 1: Econometrics I page on Ilias. Find more information here.

Course Material

Please register for the course using ZEUS. You can register for the Preparation Course now. The registration for Advanced Econometrics is open from October 11 until November 1. Please register for both, the course and the tutorial. You will then be automatically registered for ILIAS and can access the corresponding ILIAS folders:

PREP 1: Econometrics I
Advanced Econometrics

Once you are registered, you get all news via mail and you can download the course material.


Grading is based on 2 Take-Home Assignments (10 % each), 6 biweekly Ilias Tests (10% in total) and the Final Exam (70 %).

Note: Results from tests or take homes only count for a given semester. I.e., you cannot use results from previous semesters, but have to participate in tests and take homes again.


Econometrics I (or equivalent course).

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,

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.)