S321 Applied Econometrics (BSc)
Details
| Lecturer: | Prof. Dr. Martin Biewen, Miriam Sturm, M.Sc., Marian Rümmele, M.Sc. | |
| Profiles: | B.Sc. in Economics and Business Administration B.Sc. in International Economics B.Sc. in International Business Administration | |
| Prerequisites: | Quantitative Methods in Economics and Business Administration recommended | |
| Language: | English | |
| Time and Place: | Online videos + live sessions Live session Mon 17-18 (lectures) Live session Wed 17-18 (practical sessions) | |
| Start: | Mon 19.04.2021, Introductory live session 17-18 | |
| Exam: | Written Exam (60 Min.) | |
| Credits: | 6 ECTS |
Course Outline
1) The Nature of Econometrics and Economic Data
PART 1: REGRESSION ANALYSIS WITH CROSS-SECTIONAL DATA
2) The Simple Regression Model
3) Multiple Regression Analysis: Estimation
4) Multiple Regression Analysis: Inference
5) Multiple Regression Analysis: OLS Asymptotics
6) Multiple Regression Analysis: Further Issues
7) Multiple Regression Analysis with Qualitative Information
8) Heteroskedasticity
9) More on Specification and Data Issues
PART 2: REGRESSION ANALYSIS WITH TIME SERIES DATA
10) Basic Regression Analysis with Time Series Data
11) Further Issues in Using OLS with Time Series Data
12) Serial Correlation and Heteroskedasticity in Time Series Regressions
PART 3: ADVANCED TOPICS
13) Pooling Cross Sections across Time: Simple Panel Data Methods
14) Advanced Panel Data Methods
15) Instrumental Variables Estimation and Two Stage Least Squares
16) Simultaneous Equations Models
17) Limited Dependent Variable Models and Sample Selection Correction
18) Advanced Time Series Topics (Unit Roots, Cointegration, VAR)
Practical Sessions/Exercises
The solution to the problem sets will be presented in the practical session videos. We urge you to (at least try to) solve the problem sets before the corresponding practical session takes place. It is only in this way that you will be properly prepared for the exam.
| Week 26.04.2021 | Introduction to Stata, Problem Set 1 |
| Week 10.05.2021 | Problem Set 2 |
| Week 31.05.2021 | Problem Set 3 |
| Week 14.06.2021 | Problem Set 4 |
| Week 28.06.2021 | Problem Set 5 |
| Week 12.07.2021 | Problem Set 6 |
| Week 26.07.2021 | Problem Set 7 |
Course Materials
Course materials can be accessed in Ilias. Log on with your university account, register for the course and click through all the folders. Download all documents to your personal computer as you might not always have access to the internet.
We post one lecture video (1x 2h) each week plus one video per practical session (1x 2h) every second week. The videos will be available from the Saturday in the preceding week onwards. In weeks without problem sets, there will be two lecture videos (2x 2h). You can watch the videos anytime.
If you have questions, please ask them in the live sessions (Mon 17-18 for the lectures, Wed 17-18 for the practical sessions). You will receive a Zoom invitation for each live session if you are registered for the course. If possible send a scan/photo of your question before the live session.
Literature
Wooldridge: Introductory Econometrics, A Modern Approach, International Student Edition
Angrist/Pischke: Mostly Harmless Econometrics: An Empiricist's Companion
Baum: An Introduction to Modern Econometrics Using Stata, Stata Press
Heiss: Using R for Introductory Econometrics