AEP-60306 Advanced Econometrics

Course

Credits 6.00

Language of instruction:

English

Assumed knowledge on:

AEP-21306 Econometrics or equivalent.

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 modelling; panel data estimation.

Learning outcomes:

After successful completion of this course students are expected to be able to:
- explain important problems and solutions in econometric theory;
- apply correct econometric estimation techniques given the structure of the data and the theoretical model;
- evaluate econometric analyses performed by others;
- propose improvements for performed econometric analyses;
- construct economic models and estimate them using appropriate econometric techniques.

Activities:

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

Examination:

- seven weekly assignments (50%);
- written exam with 24 closed questions and 4 open questions (50%);
To pass a minimum mark of 5.5 for the written exam is required.

Literature:

Verbeek, M. (2012). A guide to modern econometrics. Wiley. 4th ed. 514p. ISBN-10: 1119951674.