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