Statistics, Econometrics and Quantitative Methods

S422 Advanced Microeconometrics

Details

Lecturer:Prof. Dr. Martin Biewen, Madalina Tapalaga, MSc
Profiles:M.Sc. Accounting and Finance
M.Sc. Economics and Finance
M.Sc. in European Economics
M.Sc. in European Management
M.Sc. in General Management
M.Sc. in International Business
M.Sc. in International Economics
M.Sc. in Managerial Economics
M.Sc. in Quantitative Economics
Ph.D. Studies
Prerequisites:Basic knowledge of probability theory, linear algebra and econometric methods
Language:English
Time and Place:

Tue 16:00-18:00, Room E03, Mohlstr. 36 (except 06.05.2014, room 332)
Wed 08:30-10:00, Room E04, Mohlstr. 36 (except 23.04.2014, room E09)
Wed 12:15-13:45, Room: E04, Mohlstr. 36 (except 23.04.2014, room E09)

Start:08.04.2014
Exam:Written Exam (90 Min.)
Credits:9 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 Schedule

If not indicated otherwise, a given session will be a lecture.

Practical Sessions:

13.05.2014 (16:15) Problem Set 1

14.05.2014 (08:30) Problem Set 2

14.05.2014 (12:15) Problem Set 3

20.05.2014 (16:15) Problem Set 4

21.05.2014 (12:15) Problem Set 5

28.05.2014 (12:15) Problem Set 6

04.06.2014 (12:15) Problem Set 7

18.06.2014 (12:15) Problem Set 8

25.06.2014 (12:15) Problem Set 9

02.07.2014 (12:15) Problem Set 10

09.07.2014 (12:15) Problem Set 11

16.07.2014 (12:15) Problem Set 12

No Lecture or practical session:

29.04.2014 (16:15)

10.06.2014 (16:15)

11.06.2014 (08:30)

11.06.2014 (12:15)

Course Materials

Course materials will be made available through Ilias.

Literature

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