Statistics, Econometrics and Quantitative Methods

S421 Multivariate Methods


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

Tue 08:30-10:00, E03, Mohlstr. 36
Wed 08:30-10:00, E04, Mohlstr. 36

Exam:Written Exam (90 Min.)
Credits:6 ECTS

Course Description

Introduction to the most commonly used methods of multivariate statistics. Motivation, derivation, and practical illustration of the different methods. The focus of the course is on the derivation and the theoretical properties of the different methods, but students will also learn how to employ econometric software to implement them in practical applications.

Course Outline

1) Introduction

2) Linear Algebra

3) Multiple Linear Regression

4) Multivariate Distributions

5) Theory of Estimation and Testing

6) Principal Components Analysis

7) Factor Analysis

8) Cluster Analysis

9) Discriminant Analysis

10) Correspondence Analysis

11) Canonical Correlation

12) Multidimensional Scaling

13) Conjoint Measurement

Course Materials

Course materials will be made available through Ilias. The Password to register for the course will be announced in the first session.

Practical sessions

13./14.11.2012 Stata + Problem Set 1

27./28.11.2012 Problem Set 2

15./16.01.2013 Problem Set 3

05./06.02.2013 Problem Set 4


Härdle/Simar: Applied Multivariate Analysis

Rencher: Methods of Multivariate Analysis

Hair/Black/Babin/Anderson: Multivariate Data Analysis

Kohler/Kreuther: Data Analysis Using Stata