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Intermediate Econometrics

Instructors

  • Dr. Florian Neumeier (Lectures)

  • Amiran Gelantia (Exercise Sessions)
  • Anar Karimli (Computer Exercise Sessions)
  • Lucas Finke (Additional Tutorial General)
  • Haoyu Zhang (Additional Tutorial AEEC)


Lectures (HS 2004)

  • Wednesday, 6:00-7:30 pm
  • Thursday, 12:15-1:45 pm

 

Exercise Session (HS 2006)

  • Monday, 12:15-1:45 pm

Students have to take part in the exercise session. The first exercise session will take place on April 29, 2019.

 

Computer Sessions (Pool 3, Werthmannstr. 4)

Computer sessions are offered in exchange with the regular exercise sessions. Please register for the computer sessions on ILIAS and choose the same slot throughout the semester.

  • Monday, 12:15-1:45 pm: 20 May, 3 June, 17 June, 24 June, 1 July
  • Monday, 2:15-3:45 pm: 20 May, 3 June, 17 June, 24 June, 1 July
  • Tuesday, 8:30-10:00 am: 21 May, 4 June, 18 June, 25 June, 2 July
  • Tuesday, 10:15-11:45 am: 21 May, 4 June, 18 June, 25 June, 2 July
  • Wednesday, 8:30-10:00 am: 22 May, 5 June, 19 June, 26 June, 3 July
     
     


Additional Tutorials

  • General tutorial (held in English): Monday, 8:30-10:00 am (HS 1224)
  • AEEC tutorial (held in Chinese): Monday, 10:15-11:45 am (HS 1243)
    Please note that only participants in the AEEC cooperation project may take part in the AEEC tutorial.
     

The additional tutorials start in the third week of the semester (6 May 2019). Their purpose is it to support students who have difficulties following the lectures. This means that the additional tutorials repeat things that have been discussed in the lectures, but do not present new material.

 

Schedule

schedule

 

Exam (120 mins for 10 ECTS and 90 mins for 6 ECTS)

  • 7 August 2019, 11:00 am
    Period for registration and deregistration: 1 June 2019 until 8 July 2019.
  • Retake: Saturday, 29 February 2020, 9:00 am, Audimax
    Period for registration and deregistration: 20 December 2019 until 20 January 2020.
     


Credits

  • 10 ECTS (M.Sc. in Economics)
  • 6 ECTS (M.Sc. VWL, M.Sc. BWL)

 

Grading

  • 100% final exam: 90 minutes for 6 ECTS, 120 minutes for 10 ECTS 


Requirements

Knowledge of mathematics and statistics as taught in the first three semesters of the bachelor program in economics.

Qualification Target

After completing this course, students should be able to carry out empirical research projects on their own. They should have profound knowledge of linear regression methods, including their strengths and limitations, and know how to translate economic theory into an empirical model. Students should also have basic command of econometric software and know how to apply econometric tools in practice. Finally, upon successful completion of this course, students should be familiar with the concept of causality and the conditions for the identification of causal effects.

 

Content

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 give an introduction into regression analysis based on cross sectional data, time series data, and panel data. In addition, the course will cover selected advanced econometric tools that are common in quasi-experimental designs.

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), as well as some further content. This part is mandatory for all students. In the second part, there will be further advanced topics only mandatory for students writing the exam for 10 ECTS points (Master in Economics).

 

Outline 


Part 1: Mandatory part for all students

1.   Organizational remarks
2.   Introduction to econometrics (WO chapter 1)
3.   Regression analysis with cross-sectional data (WO chapters 2-9)
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: OLS asymptotics (WO chapter 5)
3.5. Multiple regression analysis: Further issues (WO chapter 6)
3.6. Multiple regression analysis with qualitative information: Binary variables
       (WO chapter 7)
3.7 Heteroskedasticity (WO chapter 8)
3.8 Specification and data issues (WO chapter 9)
4.   Regression analysis with time series data (WO chapters 10–12)
4.1 Basic regression analysis with time series data (WO chapter 10)
4.2 Further issues in using OLS with time series data (WO chapter 11)
4.3 Serial correlation and heteroskedasticity in time series regressions (WO chapter 12)
5.   Panel data methods (WO chapters 13 and 14)


Part 2: Mandatory part for 10 ECTS

6.   Limited dependent variable models (WO chapter 17)
7.   (Quasi-)Experimental designs and identification of causal effects
      (WO chapter 15 and own slides)
7.1 Randomized control trials (own slides)
7.2 Difference-in-difference estimation and matching estimators (own slides)
7.3 Instrumental variables estimation and two stage least squares (WO chap-ter 15)
7.4 Regression discontinuity design

 

Target group

The course is a required 10 ECTS course in the Master in Economics and a required 6 ECTS course in the first year of the M.Sc. VWL. It can be chosen as an elective 6 ECTS course in the first year of the M.Sc. BWL.

 

Additional Information

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), as well as some further content. This part is mandatory for all students. In the second part, there will be further advanced topics only mandatory for students writing the exam for 10 ECTS points (Master in Economics).

 

Main References

  • Wooldridge, J. M. (2015): Introductory Econometrics – A Modern Approach, 6th 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.
  • Angrist, J. D., and J.-S. Pischke (2009): Mostly Harmless Econometrics – An Empiricist’s Companion, Princeton University Press.
  • Further references will be given throughout the course.

 

Course Material

Course material can be downloaded from ILIAS (https://ilias.uni-freiburg.de/login.php). For further material, updates, and relevant information, please keep checking ILIAS. The access password will be announced during the first lecture and the first exercise session.

 

Benutzerspezifische Werkzeuge