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Learning Objectives
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After the course, students must be able to:
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demonstrate knowledge of the concepts, models, methods and tools of econometrics as discussed during the course (when to apply what and why)
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read and understand international research papers that employ econometric methods
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Must perform an econometric analysis including identification of the problem, formulation of the theoretical background, specification of a suitable econometric model, proper estimation of the model , and relevant hypothesis testing and inference.
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evaluate an empirical study conducted by another person/researcher.
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Examination
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Econometrics
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The exam in the subject consists of two parts:
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Midterm exam:
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Weight
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25%
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Assessment
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Written Exam
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Marking Scale
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7-step scale
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Censorship
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No censorship
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Exam Period
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Autumn Term
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Aids
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Closed Book
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Duration
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2 Hours
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The midterm will cover all material covered to that point in the course. Questions can be both theoretical and applied of nature.
Approved calculators alloved. |
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Final exam:
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Weight
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75%
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Assessment
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Oral with Written Assignment
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Marking Scale
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7-step scale
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Censorship
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External examiners
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Exam Period
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December/January
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Aids
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Please, see the detailed regulations below
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Duration
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20 Minutes
| Student are expected to form groups (3-4 individuals) which will work together to replicate a research paper. This replication will entail understanding the paper on which the replication is performed, gathering the data utilized in the paper, and programming in Stata. Student will then, as a group, hand in the research paper in early December. In and of itself, the paper is not graded. However, the quality of this paper/replication will dictate the level of questioning students receive in their oral exam. The higher the quality of the submitted paper, the higher the likelihood that students will receive a high grade during their oral defense. Submission of this paper is a requirement for passing the course. Much more detail regarding the process of writing this replication will be provided under separate cover.
Your final oral exam will be split into two sections of equal length. One section will be dedicated to a defense of your group based research paper. The other half will be based on drawing random exam questions taken from the course material.
Make-up exam
If a student is ill during the writing of the research paper and did not contribute to the research paper, the make-up exam can be written individually or in groups (provided that other students are taking the make-up exam).
Re-take exam
If you did not pass the regular exam, you will be required to write and submit an additional 3 page extension of the replication (details provided under separate cover). Students who do not submit this extension will not be permitted to re-take the final exam.
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Course Content
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The aim of the course is to provide the students with an understanding of models, estimation methods within the field of econometrics. Cross sectional, time series and panel data sets will be used to analyze various economic models. The course will provide both a theoretical and an applied (hands on) angle on the topic. The course consists of four parts, the first of which is a (high level) introduction. Here concepts like causality, conditional expectation and some necessary asymptotic theory will be discussed. Secondly, we discuss the use of single equation regression models with an emphasis on endogeneity problems and instrumental variable estimation. This discussion is mainly based on cross sectional data set. Next, we focus on the analysis of panel data sets – their merits, special problems, estimation methods etc. Another possible topic relates to sample selection problems and in the end focus is placed on discrete response models. Finally, the course will focus on time series analysis. The course builds on a standard introductory course in econometrics. A good understanding of mathematics and statistics is also advantageous. The students need to be familiar with matrix notation. |
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Teaching Methods
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Lectures and computer based exercise classes.
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Student Workload
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Further Information
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Part of this course may also be taken as a Phd course for a limited number of Phd students.
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Literature
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Indicative:
- Jeffrey Wooldridge (2002), "Econometric Analysis of Cross Section and Panel Data", MIT Press
- Ruey S. Tsay, ”Analysis of Financial Time Series”, 3rd Edition, Wiley
- Optional Text, Wooldridge’s “Introduction to Econometrics” (this is an introductory text, but many students find some of the more intuitive explanations helpful)
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