Advanced Econometrics

Lecture Summer Term 2017

Advanced Econometrics


Robert Stelzer

Class  Teacher:

Imma Curato

Master Economics.



 The First lecture will take place on Thursday 20th April at 8:30



Time and Venue:
  • Lecture: Monday, 10:15-11:45, He18 220
  • The first lecture will take place the 20th April
  • Exercise class: Thursday, 8:30-10:00, He18 220
  • The first exercise class will take place the 27th April

Final Exam:




written exam 31st July, 10-12 Uhr, H1,

retake written exam 18th October , 14-16 Uhr, E60

post exam review 27th October, 10 Uhr




 Authorized Auxiliaries:

  • one A4 sheet (both-sides)
  • calculator  

     Authorized Auxiliaries:


2h lectures + 2h exercises ( 7 credits).



Stochastik und Wirtschaftsstatistik



  1. Overview OLS & IV
        - Properties and problems

        - Asymptotics

        - robust covariance estimation

        - endogeneity, causality, IV

    2. Panel Regressions

       - Pooled vs. Fixed effects vs. Random effects

      - Robust covariance estimation

   3. Restricted dependent variables

      - Logit / Probit

     - Tobit

    - Selection effects

  • Wooldridge, Jeffrey. Introductory econometrics: A modern approach . Cengage Learning, 2012.
  • Westhoff, Frank. "An Introduction to Econometrics: A Self-contained Approach." MIT Press Books  1 (2013).
  • Murray, Michael P. Econometrics: A modern introduction . Pearson Higher Education, 2005
  • Greene, W. Econometric Analysis, 7th edn.,Prentice Hall, 2011 
  • Davidson, Russell, and James G. MacKinnon. Econometric theory and methods. Vol. 5. New York: Oxford University Press, 2004.

Exercise sheets:


Lecture notes:

 Can be downloaded on Moodle.


 Can be downloaded on Moodle.