AEP-50806 Advanced Econometrics

Course

Credits 6.00

Language of instruction:

English

Expected knowledge on:

Econometrics (AEP-21306)

Continuation courses:

MSc thesis (various groups)

Contents:

The course is designed for students at MSc and PhD level with an interest in applied quantitative research. The course also provides a background for evaluating applied work done by other researchers. Besides lectures on various econometric techniques, students learn when and how to apply these techniques during intensive practical sessions. Subjects that are covered include: linear regression models; misspecification; heteroskedasticity and autocorrelation; endogeneity, instrumental variables and Generalised Methods of Moments; Maximum Likelihood estimation and specification tests; models with limited dependent variables; univariate time series models; multivariate time series models; models for analysing panel data. The course fulfils one of the basic requirements for the PhD Network of General Economics (NAKE).

Aims:

- understanding important topics in econometric theory;
- learning and using different econometric estimation approaches;
- acquiring skill in using various econometric techniques with different data structures.

Activities:

Every week two lectures of two hours each are devoted to a topic in econometric theory. A central element of the course is the two-hour weekly practical session that follows the lectures. In these sessions, students working in pairs carry out assignments using the software package Stata. These assignments are connected to the theory discussed that week and deal with relevant problems in the field of social sciences. Students must register for and attend the practical sessions.

Examination:

i) Every week each student pair has to hand in the assignment from the practical. The average of the marks for the assignments counts for 75% of the final mark.
ii) There is a 2-hour written examination at the end of the course. The mark for this examination counts for 25% of the final mark. Students must pass this examination in order to pass the course.

Literature:

Verbeek, M. (2004). A guide to modern econometrics.Second edition. Wiley.