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, functional forms, heteroskedasticity and an introduction R, Stata or E-views.
In Econometrics II, we will cover the following topics:
· Asymptotic properties of OLS estimator.
· Further issues: Omitted variable bias and proxy variables, endogeneity from non-random sampling and measurement errors, and outliers.
· Instrumental variables and 2SLS: derivation, properties and tests.
· Simultaneous Equations Models.
· Limited Dependent Variable Models: Probit and Logit, Poisson, Tobit, Censored, truncation and incidental truncation models.
This course provides an introduction to the analysis of economic data using econometric methods. After having taken the course, students should be able to understand empirical studies published in scientific journals and carry out econometric work by themselves. The course complements and expands the subjects dealt with in Econometrics I.
The course consists of lectures where the theoretical frameworks are presented and practical units where students assess the methods using real data.
i) Exercises + class participation: 30% ii) Midterm exam: 30% iii) Final exam: 40%
A positive combined midterm and final exam (50% threshold) is a prerequisite for passing the course.
Please notice that the final exam is planned to take place on the 15th of January. This will be the last official day of the course.
Students must have successfully passed Econometrics I
Maths (optimization, derivatives, sum operators and matrix) and Statistics (distributions, moments, and properties)
Institut für Makroökonomie