Advanced Econometrics

Content

The students shall deepen their skilly in econometric model building and application, recapitulate linear regression models and get to know new aspects. The shall get acquainted with nonlinear regression models in detail and understand their theory, application, problems and limitations. They shall be able to apply statistical methods to economic data Furthermore they shall master die selection of appropriate econometric methods and their application to economic data as well as the presentation and interpretation of the results

 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

Lecture

The lectures will work as follows:

  •  There will be a weekly chat session on Thursday 9:00. It will last at most until 10:00 depending on your questions. The lecturer will be online at least until 9:15 (even if no one attends/has questions).
    For the moment this chat will be in Zoom. Please enter the Lecture Hall below.
  • Every week you are expected to read a certain part of the lecture slides and listen to the recording of the related lectures. 
  • Short questions etc. can be discussed in the weekly chat. For longer questions it is preferable to use the forum of the lecture. It may be that questions raised in the forum will be answered in the online chat or in additional videos produced at most weekly.
  • Questions related to a certain part of the lecture notes should be at the latest raised in the online chat at the end of the week in which this part of the book was the topic.
  • Please discipline yourself and follow a weekly working routine as similar as possible to a normal semester.
  • Any feedback is highly welcome! We also miss the personal contact with you! And we cannot see your happy or questioning faces to judge what was comprehensible and what not!

All materials will be available on Moodle.

Exercise Class

The Exercise Class will work as follows:

  • Every week you are expected to solve an exercise sheet which will contain theoretical exercises and exercises that have to be solved in R.
  • There will be a weekly chat session in Zoom on Monday 10:15. During this chat session you can ask questions regarding the solution of the exercise sheet. It will last at most until 11:15 depending on your questions. The exercise class teacher will be online until 10:30 (even if no one attends/has questions).
  • The solutions to the exercise sheet will be uploaded the day before the chat session takes place, i.e. every Sunday.
  • Short questions etc. can be discussed in the weekly chat. For longer questions it is preferable to use the forum of the Exercise Class. It may be that questions raised in the forum will be answered in the online chat or in additional videos produced at most weekly.
  • Questions related to a certain exercise sheet should be at the latest raised in the online chat at the end of the week in which this exercise sheet was the topic.
  • There are "Introduction to R"-videos available from the previous course on Econometrics. Unfortunately the videos are just available in German. 
  • In addition there is a .R file available including the most important commands used in R. This introduction is also available in English.

All materials will be available on Moodle.

Literature

Helpful literature (Semesterapparat):
https://ulm.ibs-bw.de/aDISWeb/app?service=direct/0/Home/$DirectLink&sp=SOPAC00&sp=SWI00001319&noRedir
At least some books are available electronically!

People

Lecturer
Robert Stelzer

Class teacher
Bennet Ströh

 

Time

  • Lecture: Thursday 9:00
  • Exercises: Monday 10:15

Exam

Form, time and details of the exam will be announced as soon as it is fully clear when and under which conditions exams can again be held. A further factor determining the form of the exam is the number of students who intend to take the exam.
If the number of students permits to do this efficiently (certainly the case if at most 20 students take the exam) and the "Coronasatzung" still allows to deviate from the module description regarding the form of the exam, we tend to do the exams orally (in a seminar room or maybe by video conferencing).

ORAL EXAM DURATION: approx. 20min

Type

Master Economics

Prerequisites

Stochastik und Wirtschaftsstatistik