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Advanced Topics in Econometrics

Due to the corona pandemic, the teaching of this course for the Winter Semester 2020/21 will begin on November 2, 2020 and it will be offered exclusively in digital form, i.e. the lectures and the exercise sessions will be recorded and uploaded on ILIAS.

 

Registration
for the lecture

Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.

Registration for the exam

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the
examination office.

ILIAS

In ILIAS, the course can be accessed without a password until November 9, 2020, 08:59 am. Starting with November 9, 2020, 9:00 am, a password will be required in order to access the course material, the recorded videos of lectures and exercises sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on November 9, 2020 at 9:00 am.

Instructors
Language

English

Exercise Sessions

The exercise sessions include theoretical and computer sessions. The computer sessions are offered in exchange with the theoretical exercise sessions.

Credits

6 ECTS

Requirements

Statistics, Mathematics, Econometrics (the level of Intermediate Econometrics)

Qualification Target

This course aims at endowing students with advanced knowledge in econometric techniques necessary for sound empirical analyses.

Contents

The course builds up on the course Intermediate Econometrics and provides deeper knowledge on econometric fundamental concepts and on the econometric techniques related to non-linear modelling and estimation (such as maximum likelihood, generalized method of moments, non-parametric techniques, Monte Carlo simulations, bootstrapping, Kalman filter, etc.). Thus, the course provides students with the necessary theoretical background in undergoing elaborate empirical research in economics, but also in other fields. The exercise sessions cover theoretical exercises and empirical applications by using the programming language Python.

Main References
  • Cameron A. C. and P. K Trivedi (2005): Microeconometrics: Methods and Applications, Cambridge University Press.
    Available at the Library of the Economics Department and the University Library.
  • Gourieroux, C. and A. Monfort (1995): Statistics and Econometric Models, Vol. 1 and 2, Cambridge University Press.
    Available at the Library of the Economics Department .
  • Hamilton (1994): Time Series Analysis. Princeton University Press.
    Available at the Library of the Economics Department and the University Library.
  • Hansen, B. (2015): Econometrics, current manuscript
  • Hayashi, F. (2000): Econometrics, Princeton University Press.
    Available at the Library of the Economics Department and the University Library.
  • Mittelhammer, R. C., G. G. Judge, and D. J. Miller (2000): Econometric Foundations, Cambridge University Press.
    Available at the Library of the Economics Department.

VPN access is required for the eBooks.

Exam

Please do not forget to bring with you to the exam your student ID and your ID card.
In the exam you are allowed to take with you a non-programmable pocket calculator and a hardcopy of a German−English dictionary book as well as one A4 hand-written cheat sheet (one side only!).

Grading

100% final exam (90 minutes)

Target Group

The course can be chosen as an elective 6 ECTS course in:

  • M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik)
  • M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
  • M.Sc in Economics.
  

 

 

 

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