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


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 19 . 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.

Prof. Zubanov is offering a Preparation Course. See below for details.

The course schedule for lectures and tutorials is presented below.

Course Schedule


Tuesday, G530 8:15 - 9:45
Wednesday, G530 8:15 - 9:45


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

Group A Tuesday F428 13:30 - 15:00 L. Nüsing
Group B Wednesday F428 13:30 - 15:00 R. Schüssler

Preparation Course

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

The Preparation Course is held by Prof. Nick Zubanov for details please follow the link to Professor Zubanovs Website

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.

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


Econometrics I (or equivalent course).

Introductory Literature

Bühlmann and van de Geer (2011), Statistics for High-Dimensional Data:
Methods, Theory and Application, Springer
Hansen, Bruce E. (2022) Econometrics, Princeton University Press
Anatolyev, S. and N. Gospodinov (2011) Methods for Estimation and Inference in
Modern Econometrics, CRC Press
Cameron A.C. & P.K. Trivedi (2005) Microeconometrics Methods and Applications.
Cambridge University Press.
Gourieroux, C. & A. Monfort (1995) Statistics and EconometricModels, Vol. 1 and
2, Cambridge University Press.
Hayashi, F. (2000) Econometrics, Princeton University Press.
Mittelhammer, R.C., G.G. Judge, and D.J. Miller (2000) Econometric Foundations,
Cambridge University Press.
Hansen, Bruce E. (2022) Probability and Statistics for Economists, Princeton University Press