This course covers the core topics of modern econometrics: linear and nonlinear regression, generalized least squares, instrumental variable estimation, GMM and ML estimation, multivariate and panel data models, limited dependent variable models, time series analysis, and specification tests.

This course provides an introduction to the analysis of economic data using advanced econometric methods. After having taken the course, students should be able to understand empirical studies published in scientific journals and carry out advanced econometric work by themselves.

i) Exercises: 20%

ii) Mid-term exam: 40%

iii) Final exam: 40%

A positive joint mid-term and final test (50% threshold of total points) is required for passing the course.

Students should have a sound knowledge of statistics and mathematics (matrix algebra in particular).

jesus.crespo.cuaresma@wu.ac.at

Supplementary Literature

Baltagi, B. (2008). Econometrics, New York: Springer.

Baltagi, B. (2008). Econometric Analysis of Panel Data, Chichester: Wiley & Sons.

Davidson, R. and MacKinnon, J.G. (1993). Estimation and Inference in Econometrics. New York: Oxford University Press.

Enders, W. (2010). Applied Econometric Time Series. 3rd edition, Hoboken, NJ: Wiley.

Greene, W. H. (2008). Econometric Analysis, 6th edition, New Jersey: Prentice Hall.

Hayashi, F. (2000). Econometrics. Princeton: Princeton University Press.

Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, NewYork: Springer.

Wooldridge, J. (2010). Econometric Analysis of Cross Section and Panel Data, 2nd edition. Cambridge, Mass: MIT Press.