Statistics, Econometrics and Quantitative Methods

S410 Advanced Econometrics (Microeconometrics)


Lecturer:Prof. Dr. Martin Biewen
Profiles:M.Sc. Accounting and Finance
M.Sc. in European Economics
M.Sc. in European Management
M.Sc. in General Management
M.Sc. in International Economics and World Regions
M.Sc. in International Economics and Finance
Prerequisites:Basic knowledge of probability theory, linear algebra and econometric methods
Time and Place:

Mon 10:15-11:45, E09, Mohlstr. 36
Tue 08:30-11:00, E09, Mohlstr. 36

Practical sessions/Exercises: Mon, starting 18.04.2011

Session Mon, 18.04. will take place in room 332, Mohlstr. 36

Exam:Written Exam (90 Min.)
Credits:7,5 ECTS

Course Outline

1) Conditional Expectations and Linear Projections

2) Basic Asymptotic Theory

3) Single Equation OLS estimation

4) Single Equation IV estimation

5) Systems of Equations OLS/GLS estimation

6) Systems of Equations IV estimation

7) Linear Unobserved Effects Panel Data Models

8) M-estimation, Nonlinear Regression, and Quantile Regression

9) Generalized Method of Moments and Maximum Likelihood Estimation

10) Discrete Response Models

11) Corner Solutions, Censoring, and Selection Models

12) Duration Analysis

Course Materials

Course materials will be made available through Ilias.


Wooldridge, J.: Econometric Analysis of Cross Section and Panel Data

Cameron, A.C., P.K. Trivedi: Microeconometrics, Methods and Applications

Cameron, A.C., P.K. Trivedi: Microeconometrics Using Stata