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

Organization

The course material, including the recordings of computer 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 17 until November 4. 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.

The course schedule for lectures and tutorials is presented below.

Course Schedule

Lecture

Tutorials

There will be 7 weeks with theory tutorials and 4 weeks with computer tutorials.

On the week of a Computer Tutorial there will be no Theory Tutorial. The Computer Tutorials will not take place in presence, but there will be video recordings. The videos of the Computer Tutorials will be uploaded on: 

Midterm

The Midterm exam will take place on 09.12.2022 at 11:45 - 13:15 in Audimax. Participation in the midterm is compulsory, no registration for the midterm is necessary. In case of illness, you have to inform verena.kretz@uni-konstanz.de informally via email before the midterm exam. If you are absent without valid reason, you obtain a 5.0 for the midterm. Written excuses from a physician have to be handed in at Prof. Pohlmeier’s secretary (Verena Kretz, F329) no later than Monday, 12 December 2022, 15:30.

Note that the use of the department’s official form is required:
https://www.uni-konstanz.de/studieren/im-studium/pruefungen/aktuelle-informationen-und-formulare-des-zentralen-pruefungsamtes-zpa/

If you are sick and have a doctoral excuse for the midterm, an oral exam (as a midterm retake) will be held on the 16.12.2022.

Take Home Exams

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

 Exam

The Advanced Econometrics final Exam will take place on Thursday, February 16th from 08:20 – 09:50 in A703

Preparation Course

New MSc Economics students have the opportunity to visit a voluntary preparation course. 

The Preparation Course will take place on:

Course Material

Please register for the course using ZEUS. Economics Master students will be registered automatically for the Preparation Course. The registration for Advanced Econometrics is open from October 17 until November 4. 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

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

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

Prerequisites

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, www.ssc.wisc.edu/~bhansen/econometrics.

Hayashi, F. (2002):

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.)