Statistics, Econometrics and Quantitative Methods

S422 Advanced Microeconometrics (MSc)


Lecturer:   Prof. Dr. Martin Biewen, Marian Rümmele, MSc
Profiles:   M.Sc. Accounting and Finance
M.Sc. Data Science in Business and Economics
M.Sc. Quantitative Data Science Methods
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 Management and Economics
M.Sc. in Economics
Ph.D. Studies
Prerequisites:   Basic knowledge of probability theory, linear algebra and econometric methods
Language:   English
Time and Place:  

Online videos + weekly live sessions
Live session Mon 11-12 a.m. (lectures)
Live session Wed 11-12 a.m. (practical sessions)

Start:   19.04.2021, Introductory live session Mon 19.04.2021, 11-12 a.m.
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) Evaluation of Treatment Effects

13) Duration Analysis

Course Schedule

The solution to the problem sets will be presented in the practical session videos. 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.

Week 03.05.2021 Problem Set 1
Week 10.05.2021 Problem Set 2
Week 17.05.2021 Problem Set 3
Week 31.05.2021 Problem Set 4
Week 07.06.2021 Problem Set 5
Week 14.06.2021 Problem Set 6
Week 21.06.2021 Problem Set 7
Week 28.06.2021 Problem Set 8
Week 05.07.2021 Problem Set 9
Week 12.07.2021 Problem Set 10
Week 19.07.2021 Problem Set 11
Week 26.07.2021 Problem Set 12

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.

We post two lecture videos (2x 2h) each week plus one video per practical session (1x 2h). The videos will be available from the Saturday in the preceding week onwards. In weeks without problem sets, there will be three lecture videos (3x 2h). You can watch the videos anytime.

If you have questions, please ask them in the live sessions (Mon 11-12 for the lectures, Wed 11-12 for the practical sessions). You will receive a Zoom invitation for each live session if you are registered for the course. If possible send a scan/photo of your questions before the live session.


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