S321 Applied Econometrics (BSc)
Details
Lecturer: | Prof. Dr. Martin Biewen, Matthias Seckler, 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: | Mon, 12-14, Kupferbau, HS 23 Practical sessions/Exercises: see below | |
Start: | Tue, 15.04.2019 | |
Exam: | Written Exam (60 Min.) | |
Credits: | 6 ECTS |
Course Outline
NOTE: Topics 6) and 12) are for self-study and will not be covered in the lecture. However, they are relevant for both the practical sessions and the exams.
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
Mon 24.06.2019, Wed 26.06.2019 | No lecture or practical session |
Mon 13.05.2019 | Introduction Stata, Problem Set 1 |
Wed 15.05.2019 | Problem Set 2 |
Mon 03.06.2019 | Problem Set 3 |
Wed 05.06.2019 | Problem Set 4 |
Wed 03.07.2019 | Problem Set 5 |
Mon 22.07.2019 | Problem Set 6 |
Wed 24.07.2019 | Problem Set 7 |
Course Materials
Course materials will be made available through Ilias.
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