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Lecture & Tutorial Applied Econometrics

  • Course Information

    Applied Econometrics is a course offered in the MAGKS inter-university programme.
    The course is taught in English and comprises lectures as well as tutorials.
    Please check the date for the next lecture Applied Econometrics at Courses – MAGKS.

  • Prerequisites

    It will be very helpful to have a basic understanding of algebra, statistics and econometrics.

  • Course Description

    This course is targeted towards students interested in applying empirical methods as part of their research projects or as a solid preparation for an advanced technical course on econometrics. In the lecture part of the course, we do cover econometric theory, after all, this is a PhD level course, but typically based on intuition rather than rigour. During the tutorials you learn to apply many concepts discussed in the lecture to real-world data using an econometrics software program (Stata).
    The course provides a broad overview of key areas of econometrics as used in many economic applications.
    Thus, it covers many issues, which implies that, given the time constraint, speed of delivery will be high and depth of discussion on each individual issue has to be limited. However, there is always time for questions!
    The course combines lectures with practical applications based on real-world data.
    Typically, there will be intense hours of lecturing in the morning followed by practical applications in the afternoon. Since many issues cannot be discussed in (sufficient) depth, please consult the detailed lecture slides and/or follow up using the provided references if you are interested in a particular topic.

  • Content/Syllabus

    I. Introduction: Some Principles of Empirical Research

    II. Bivariate and Multivariate Regression Models
    1. Desirable Characteristics of Estimators
    2. Method of Ordinary Least Squares
    3. Hypothesis Testing
    4. Multivariate Regression
    5. Diagnostic Testing
    6. Dummy Variables

    III. More General Methods
    1. Restriction Testing and Estimation
    2. Maximum-likelihood Estimation
    3. Alternative Test Principles (Wald, LM, LR-tests)
    4. Instrumental Variable Estimation

    IV. Time-Series Econometrics
    1. Stationary Time Series
    2. Dynamic Econometric Models
    3. Nonstationary Time Series

    V. Discrete Choice Models
    1. Introduction
    2. Probit/Logit Models
    3. Model Evaluation
    4. Ordinal Probit/Logit Model

    VI. Panel Data Models
    1. Pooling Data
    2. Fixed Effects Estimator
    3. Random Effects Estimator

    VII. Econometric Methodology
    1. The ‘Classical’ Approach to Econometrics
    2. Leamer’s Critique: Robust Bounds
    3. Sims’ Critique: VAR
    4. Hendry’s Critique: General-to-Specific Modelling
    5. Angrist and Pischke’s Critique: Empirical Research Design