Uni-Logo
Sie sind hier: Startseite Lehre / Teaching Sommersemester 2016 Intermediate Econometrics
Artikelaktionen

Intermediate Econometrics

 Instructors


Lectures

  • Wednesday, 18:00–19:30, HS 2121, KG II
  • Thursday, 16:00–17:30, HS 2006, KG II

 

Exercise Session

  • Friday, 08:30–10:00, HS 1015, KG I

 

Additional Tutorials

  • Monday, 14:00–16:00, HS 1139, KG I
  • Tuesday, 08:00–10:00, HS 1231, KG I
  • Wednesday08:00–10:00, HS 1015, KG I
  • Friday, 16:00–18:00, HS 3219, KG III

 

Retake exam

  • Friday,  20 January 2017, 08:00–11:00, Audimax

 

Credits

  • 10 ECTS (M.Sc. VWL PO 2011 & M.Sc. in Economics)
  • 6 ECTS (M.Sc. VWL PO 2014)


The first part of the course involves a review of the methods taught in the statistics and econometrics courses in the Bachelor of Science in Volkswirtschaftslehre (Economics). This part is mandatory for the students in the M.Sc. in Economics and M.Sc. VWL PO 2011. The review part is not mandatory for the students in the M.Sc. VWL PO 2014.

 

Grade

  • 100% Final Exam, 90 minutes for 6 ECTS, 120 minutes for 10 ECTS 

 

Course Material

Course material for the first two sessions can be downloaded at the department’s website.(HERE). For further material, updates, and relevant information, please keep checking ILIAS (https://ilias.uni-freiburg.de/login.php). The access password will be announced during the first lecture on April 20th, 2016 and the first exercise session on April 29 th,2016 ! 

 

Prerequisites

Knowledge of calculus, linear algebra, statistics, probability theory, and econometrics as taught in the first three semesters of the bachelor program in economics for the students in the M.Sc. VWL PO 2014. There is a review of the main concepts which is mandatory for the students in the M.Sc. in Economics and M.Sc. VWL PO 2011.

 

Qualification Target

The course enables students to develop a deep understanding of linear regression methods and involves an intuitive and applied presentation of applied econometrics with reference to examples used in the Economics literature. Additionally, analysis of cross-sectional data and time series data at the graduate level will be presented.

Course Description

The course provides an up-to-date introduction into econometrics at the level of Wooldridge's textbook on “Introductory Econometrics – A Modern Approach”. The course will review basic concepts from calculus, statistics and probability theory, and matrix algebra. Then, the course will give an introduction into regression analysis based on cross sectional data, time series data, and panel data. The course will also cover selected topics in time series analysis and microeconometrics.

Outline

Part 1: Review of material covered in Bachelor of Science in Economics

1.       Basics    (First lecture mandatory for all students)

1.1     Sums and products

1.2     Statistics and probability theory (WO App. B–C)

1.3     Matrix algebra (WO App. D)

2.       Introduction to Econometrics (WO chapter 1)

3.       Regression analysis with cross-sectional data (WO chapters 2–4, 7-8)

3.1     The simple regression model (WO chapter 2)

3.2     Multiple regression analysis: Estimation (WO chapter 3)

3.3     Multiple regression analysis: Inference (WO chapter 4)

3.4     Multiple regression analysis with qualitative information: Binary (or dummy) variables (WO chapter 7)

3.5     Heteroskedasticity (WO chapter 8)

 

Part 2: Mandatory part for all students

4.       Regression analysis with cross-sectional data (WO chapters 3–9, App. B–C)

4.1     Asymptotic analysis and conditional expectations (App. B-C)

4.2     The simple regression model

4.2     Multiple regression analysis: Estimation (WO chapter 3)

4.3     Multiple regression analysis: Inference (WO chapter 4)

4.4     Multiple regression analysis: OLS asymptotics (WO chapter 5)

4.5     Multiple regression analysis: Further issues (WO chapter 6)

4.6     Multiple regression analysis with qualitative information: Binary (or dummy) variables (WO chapter 7)

4.7     Heteroskedasticity (WO chapter 8)

4.8     More on specification and data issues (WO chapter 9)

5.       Regression analysis with time series data (WO chapters 10–12, 18)

5.1     Basic regression analysis with time series data

5.2     Further issues in using OLS with time series data

5.3     Serial correlation and heteroskedasticity in time series regressions

5.4     Advanced time series topics

6.       Microeconometrics (WO chapters 13, 15, 17)

6.1     Pooling cross sections across time: Simple panel data methods

6.2     Instrumental variable estimation and Two-Stage Least Squares (2SLS)

6.3     Limited dependent variable models and sample selection

 

 

The mandatory material for the students in M.Sc. VWL PO 2014 involves the first lecture on April 20th, 2016 and all the lectures and exercise sessions related to part 2 of the lecture. The mandatory material for the students in M.Sc. VWL PO 2011 and the Master of Economics comprises the entire course (Parts 1 and 2) including the review part. The review part is also highly recommended for students in M.Sc. VWL PO 2014. Part 2 of the course will build on the reviewed material in part 1. The lectures will start on Wednesday, April 20th, 2016. The exercise sessions will start on Friday, April 29 th,2016.

 

Main References

  • GR: Greene, W. (2008): Econometric Analysis, 6th ed., International Edition, Prentice Hall.
  •  WO: Wooldridge, J. M. (2013): Introductory Econometrics – A Modern Approach, 5th ed., South Western, Cengage Learning. Please note that the current EMEA adaptation of the book (Introductory Econometrics EMEA Edition 2013) and old book editions are acceptable as well.

 

Further Information

The course is a required 6 ECTS course in the first year of the M.Sc. VWL PO 2014 and a required 10 ECTS course in the first year of the M.Sc. VWL PO 2011 and of the Master in Economics. It can be chosen as an elective course in some elective areas of the Diploma studies. In the elective area „Empirische Wirtschaftsforschung und Ökonometrie“ the course „Intermediate Econometrics“ can replace the course „Einführung in die empirische Wirtschaftsforschung“ or „Ökonometrie 1“.

 

 

Kontakt

Abteilung für Empirische Wirtschaftsforschung und Ökonometrie

Raum 2309

Platz der Alten Synagoge

D-79085 Freiburg

Tel.: 0761 203-2338

Fax: 0761 203-2340

Benutzerspezifische Werkzeuge