2013/2014
KAN-OECON_OE39 Econometrics II: Advanced Topics
| English Title |
| Econometrics II: Advanced
Topics |
|
|
| Language |
English |
| Exam ECTS |
7.5 ECTS |
| Type |
Elective |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Course period |
Autumn
Changes may occur.
Monday 8.00-9.40 week 36-41 og 43-48 |
| Time Table |
Please see course schedule at e-Campus |
| Max. participants |
50 |
| Study board |
Study Board for MSc in Advanced Economics and
Finance
|
| Course
coordinator |
- Moira Daly - Department of Economics (ECON)
|
| Administration: Ida
Lyngby - il.eco@cbs.dk |
| Main academic
disciplines |
- Economics, macro economics and managerial
economics
|
|
Last updated on
18-03-2013
|
| Learning objectives |
After the course the students shall
be able to:
- rigorously prove the consistency (and sometime efficiency) of
estimators covered in class
- demonstrate knowledge of the concepts, models, methods and
tools of econometrics as discussed during the course (when to apply
what and why)
- read and understand international research papers that employ
econometric methods
- 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
- evaluate an empirical study conducted by another
person/researcher.
- Conduct statistical analysis using Stata and/or
R
|
| Course prerequisites |
1. Econometrics from the cand. oecon
program or similar curriculum; or acceptance to the Economics or
Finance Ph.D. program
2. Send in a 1 page application arguing why you want to participate
and how you would contribute to the course through discussions and
presentations, a 1 page CV, and a 1 page graduate grade transcript.
Send this to: oecon.eco@cbs.dk no later than14 May 2013. Please
also remember to sign up for the course through the online
registration. |
| Examination |
|
Written sit-in
exam:
|
| Examination form |
Written sit-in exam |
| Individual or group exam |
Individual |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Winter Term and December/January |
| Aids allowed to bring to the exam |
Closed Book: no aids |
| Make-up exam/re-exam |
Same examination form as the ordinary exam
If the number of registered candidates for the make-up
examination/re-take examination warrants that it may most
appropriately be held as an oral examination, the programme office
will inform the students that the make-up examination/re-take
examination will be held as an oral examination
instead.
|
|
| Course content and
structure |
|
The aim of the course is to extend their knowledge within the
field of Econometrics beyond that which was taught in Econometrics
I. Panel and time series 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.
Specifically, students will be expected to understand notions of
consistency and efficiency. That is, they will be expected to be
able to prove that various estimators are consistent in a rigorous
way (i.e. proofs at the level presented in Wooldridge 2010). Matrix
notion will often be used in the presentation of the
estimators.
The course will be organized as two quarter classes. The first of
these will concentrate on time series methods , specifically the
following topics:
(1) Multivariate VARs and Cointegration
(2) State‐Space Methods
(3) Principal Component Analysis
(4) Markov Switching Models
Time allowing, one or several of the following topics may be
covered. Spectral Analysis, Dynamic Linear models, Dynamic Factor
Models, Nonparametric methods for time series, Estimation of
Taylor‐Rule type models using GMM, and Non‐linear time series
models.
The second part of the course will concentrate on more advanced
topics in microeconometrics. Elite students and first year Econ
Ph.D. students will attend classes together. Specifically, we will
cover:
(1) System Estimation by IV
(2) Dynamic Panel Data
(3) Structural Maximum Likelihood Estimation & Behavioral
Econometrics
(4) Estimation of Average Treatment Effects
(5) Nonparametric Techniques
|
| Teaching methods |
| Lectures and in-class
exercises |
| Expected literature |
|
|
Last updated on
18-03-2013
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