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2012/2013  KAN-OE15  Econometrics

English Title

Course information

Language English
Exam ECTS 7.5 ECTS
Type Mandatory
Level Full Degree Master
Duration One Semester
Course period Autumn
Time Table Please see course schedule at e-Campus
Max. participants 25
Study board
Study Board for MSc in Advanced Economics and Finance
Course coordinator
  • Moira Daly - Department of Economics
Rikke Glahn
Main Category of the Course
  • Economics, macro economics and managerial economics
Last updated on 30-04-2013
Learning objectives
After the course, students must be able to:
  • Explain the various econometrics techniques presented in class, in particular when it is (and is not) appropriate to use various techniques
  • Define the conditions under which estimators are desirable, and rigorously prove statistical properties of all estimators
  • Read international research papers that employ econometrics methods and assess their strengths and weaknesses from an econometric perspective and their relevance to the students’ own research project
  • Perform and econometric analysis, including the programming necessary to achieve it, which includes identification of the problem, a description of the theoretical model, proper estimation of the model and all relevant hypothesis testing and inference
This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for this programme. The course has 60 confrontation hours and there is a high level of interaction betw. lecturer and students, and in general a high work load.

To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to oecon.eco@cbs.dk no later than14 May 2013. Please also remember to sign up through the online registration.
The exam in the subject consists of two parts:
Midterm exam:
Weight 50%
Type of test Oral Exam
Marking scale 7-step scale
Second examiner External examiner
Exam period Autumn Term
Aids Please, see the detailed regulations below
Duration 30 Minutes
The midterm exam, a 30 min. oral exam, will cover the microeconometrics portion of the class. The oral exam will be divided between a prepared presentation in electronic format and random questions that are more theoretical in nature. The prepared presentation in electronic format will be based on (non-graded) assignments conducted during the semester.  

No aids are allowed except for the prepared presentation in electronic format.
Final exam:
Weight 50%
Type of test Written Exam
Marking scale 7-step scale
Second examiner External examiner
Exam period December/January
Aids Closed Book
Duration 4 Hours
The second exam, a four hour written exam, will cover the time series portion of the class only.

No aids, however approved calculators are allowed.
Course content

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.

Teaching methods
Lectures and computer based exercise classes.
Further Information
Part of this course may also be taken as a PhD course for a limited number of PhD students.
Expected literature
  • 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)
Last updated on 30-04-2013