AEP-60306 Advanced Econometrics

Course

Credits 6.00

Language of instruction:

English

Mandatory knowledge:

AEP-21306

Contents:

This course provides a basis for doing econometric analyses independently. 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 Generalized Method of Moments; Maximum Likelihood estimation and specification tests; multiple equation estimation; models with limited dependent variables; univariate and multivariate time series modeling; panel data estimation. The course fulfils one of the basic requirements for the PhD Network of General Economics (NAKE).

Learning outcomes:

At the end of this course the student is expected to be able to:
- understand important topics in econometric theory;
- understand and apply different econometric estimation techniques;
- select and use appropriate econometric techniques with different types of data and model structures.

Activities:

- attending lectures and practical sessions and studying the material; - carrying out assignments in pairs using the software package Stata.

Examination:

Weekly assignments.
Written exam.

Literature:

Verbeek, M. (2008). A guide to modern econometrics. Wiley. 3rd edition