This course covers econometrics methods beyond linear models. We discuss time series data with a focus on stationarity and non-stationarity. ARMA and ARIMA models are introduced and their application to estimation and forecasting is being illustrated. In the second part of the course, we cover limited dependent variable models (logit and probit models) as well as count data regression. If time allows, we also look into instrumental variables regression as a means to deal with endogeneity.

After this course, students are able to critically discuss empirical studies using the econometric methods covered in this course. Moreover, students can independently conduct their own analyses of economic data.

IMPORTANT:

This course is offered in a fully online format. A lecture video will be posted every week and the meeting time on the calendar would be an optional QA session. For this reason, no attendance requirements are enforced.

In-class, content is presented using the whiteboard and presentation slides. Moreover, the methods are illustrated via case studies using EViews and R. To ensure the in-depth applicability of the material presented, the students will work in groups on three extensive case studies and on a project.

The solutions must be handed in in form of written reports. The project will be presented in form of an oral presentation during the last two lectures.

Attendance is mandatory.

Grading scheme:

1: 72 – ∞

2: 64 – 71.99

3: 56 – 63.99

4: 48 – 55.99

5: 00 – 47.99

Successful completion of Econometrics I.