YSS-34306 Advanced Econometrics

Vak

Studiepunten 6.00

OnderwijstypeContacturen
Lecture36
Tutorial24
Independent study0
Course coordinator(s)dr. ir. C Gardebroek
Lecturer(s)dr. ir. Y de Mey
dr. ir. C Gardebroek
Examiner(s)dr. ir. Y de Mey
dr. ir. C Gardebroek

Language of instruction:

EN

Assumed knowledge on:

AEP-21306 Econometrics or equivalent

Contents:

The course is designed for MSc students with an interest in applied quantitative research. The course also provides a background for evaluating work done by other researchers. 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 appropriate 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. (2017). A guide to modern econometrics. Wiley. 5th ed. 508p.

OpleidingFaseSpecialisatiePeriode
Verplicht voor: MMEManagement, Economics and Consumer StudiesMScC: Spec. C - Economics and Governance2AF