The econometrics teaching program is offered in a cycle over 3 terms. In Econometrics I, the foundations of the subject are dealt with: causality, correlation, assumptions of the linear regression model, OLS estimation, asymptotic tests, misspecification, outliers, heteroskedasticity and an introduction to E-views. In Econometrics II, advanced subjects are covered: Time series analysis, endogeneity, instrumental variable estimation, panel data and limited dependent variable models.

In Applied Econometrics, a deeper analysis of selected topics is offered and students are required to write an empirical, applied-econometric essay. The course is covering the following topics: Instrumental Variables approach, Panel Data Analysis, Regression Discontinuity Design, Treatment Effects Estimation

Lectures, Essay, Homeworks

i) Exam (positive exam is required to pass the course): 50%

ii) Essay: 25% (up to 5 pages, details will be provided in class)

iii) Homeworks: 25% (2 or 3)

We take for granted that students have visited Econometrics I and II and that the content of these courses have been understood (Wooldridge, 2009, chapters 1-10, appendices A-E).

Software

Carrying out empirical work is part of the content of the course. As standard software package we will use STATA, which is available in the PC classrooms.

Supplementary Literature

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

Greene, W. (2003). Econometric analysis, 5^th ed., U.S.River, N.J.: Prentice Hall.

Gujarati, D.N., Porter, D.C. (2009). Basic Econometrics, New York: McGraw Hill.

Hackl, P. (2005). Einführung in die Ökonometrie. München: Pearson Studium.