S311 Applied Econometrics
| Lecturer | Prof. Dr. Joachim Grammig |
| Level | 3. Year B.Sc. 1. Year M.Sc. |
| Profiles | B.Sc. International Economics, M.Sc. in International Economics and Finance, |
| Language | English |
| Time and Place | Monday 8 - 10 a.m. and Thursday 8 - 10 a.m. HS23, Kupferbau; start: April 16, 2012 |
| Exam | written exam |
| Credit Points | 7.5 ECTS 7 LP |
| Course Ref. No. | S311 |
Content
The course gives both a rigorous and applied introduction to modern econometrics. How regression makes sense: What is the justification for linear regressions in the first place? Theory-based regression, conditional expectation function, prediction and causal model. The algebra of least squares. Classical assumptions and large sample results. Specification issues (omitted variables and multicollinearity). Generalized Least Squares. Endogeneity: Reasons and solutions. Instrumental Variables. Generalized Method of Moments, Two-Stage Least Squares. The course tries to balance intuitive understanding with rigorous treatment. The course "Quantitative Methods in Economics and Business" (or comparable) is a prerequisite.
Note on the relation to "SQ457 Computational Econometrics with GRETL"
In summer 2012, the chair also offers the SQ-course "Computational Econometrics with GRETL/EViews" which - upon successful participation - is denoted with 4 ECTS credits that can be used as part of the composite course "Applied Computational Econometrics". Albeit it is not mandatory for participants of "Applied Econometrics " to choose SQ457 as well, enrolling in SQ457 "Computational Econometrics with GRETL" may be useful to practically apply for yourself some of the methods presented in course S311.
Please note that registration is required. More information regarding the SQ-course may be found here.
Course material
The first slides of lecture notes can be downloaded here