Statistics, Econometrics and Quantitative Methods

S321 Applied Econometrics (BSc)

Details

Lecturer: Prof. Dr. Martin Biewen, Madalina Tapalaga, 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:

Tue, 12-14 HS 23, Kupferbau
Wed, 08-10 HS 24, Kupferbau

Practical sessions/Exercises: see below

Start:Tue, 25.04.2017
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

Tue 13.06.2017 Introduction Stata, Problem Set 1
Wed 14.06.2017 Problem Set 2
Tue 20.06.2017 Problem Set 3
Wed 28.06.2017Problem Set 4
Wed 12.07.2017Problem Set 5
Tue 25.07.2017Problem Set 6
Wed 26.07.2017 Problem Set 7

Course Materials

Course materials will be made available through Ilias.

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