Brush-up of basic econometrics:
multivariate least squares regression, inference and asymptotics

IV and 2SLS, GMM

Estimation with panel data

Limited Dependent Variables

The goal of this course is to convey a solid understanding of econometric concepts and assumptions. Students will learn to make sense of the results of various tests and regression analysis methods. At the end of the semester, students will understand state-of-the-art econometric research methods and be able to assess their appropriateness in the context of current research papers.

Attendance is mandatory, max. 2 absences without valid excuse

The course consists of 10 lecturing units and 2 pure examination units. Lectures will mainly cover chapters 4-7 of Marno Verbeeks textbook, with some deepening based on other textbooks. Lectures will focus on implementation of concepts in programming language R, rather than presenting concepts in formally rigorous manner.

3 exams with a total of 100 points:

1.  exam: 4th unit, 18 points, 30 minutes
2.  exam: 7th unit, 36 points, 60 minutes (cumulative examination material)
3.  exam: 11th unit, 46 points, 90 minutes (cumulative examination material)

Substitute date for one of the above exams (chosen freely): 12th unit

Verbeek, chapters 1-3  and appendices A and B (or equivalent):

basic statistics, regression modelling, least squares (LS) estimation,
interpretation of LS estimators,  testing of restrictions,
finite sample vs. asymptotic properties of LS estimators

individual appointment