S321 Applied Econometrics
Details
| Lecturer: | Prof. Dr. Martin Biewen; Miriam Sturm, 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, 08-10, Wiwi Seminar Mohl, Seminarraum E02 Practical sessions/Exercises: see below | |
| Start: | Tue 18.04.2023 | |
| Exam: | Written Exam (60 Min.) After the exam, you will have the opportunity to inspect your marked exam papers at our offices at a specific date which will be posted on our webpage. If you want to use this opportunity, please watch our webpage after the exam. There will be no other possibility to inspect your exam (no other date or other ways such as online). | |
| 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. 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.
| 10.05.2023 | Problem Set 1 |
| 17.05.2023 | Problem Set 2 |
| 14.06.2023 | Problem Set 3 |
| 28.06.2023 | Problem Set 4 |
| 12.07.2023 | Problem Set 5 |
| 19.07.2023 | Problem Set 6 |
| 26.07.2023 | 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.
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