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:  

Mon, 12:15-13:45, HS 09, Neue Aula

Tue,   8:30-10, HS S320 Hölderlinstr./Sigwartstr.

Wed, 12:15-13:45, HS 09, Neue Aula

Start:   19.04.2022
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 sessions. 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.

The practical sessions will take place on the following days. All other days are lecture days.

Mon 02.05.2022 Problem Set 1
Mon 16.05.2022 Problem Set 2
Wed 25.05.2022 Problem Set 3
Mon 13.06.2022 Problem Set 4
Tue 14.06.2022 Problem Set 5
Wed 15.06.2022 Problem Set 6
Wed 22.06.2022 Problem Set 7
Wed 29.06.2021 Problem Set 8
Wed 06.07.2021 Problem Set 9
Wed 13.07.2021 Problem Set 10
Wed 20.07.2021 Problem Set 11
Wed 27.07.2021 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.


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