YSS-34306 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. Moreover, the use and interpretation of econometric models is discussed. 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; 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:

- six 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.