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2010/2011  KAN-AEF_AE58  Applied Econometrics

English Title
Applied Econometrics

Course Information

Language English
Point 7,5 ECTS (225 SAT)
Type Mandatory
Level Full Degree Master
Duration One Semester
Course Period Autumn
Time Table Please see course schedule at e-Campus
Study Board
Study Board for MSc in Economics and Business Administration
Course Coordinator
  • Lisbeth La Cour - Department of Economics
Main Category of the Course
  • Economics, macro economics and managerial economics
Last updated on 29 maj 2012
Learning Objectives
The skills developed are valuable and necessary for handling of data and understanding empirical results related to most of the other courses of the concentration.

After this course it is the aim that the students can:
Demonstrate knowledge of the concepts, models, methods and tools of econometrics as discussed during the course (when to apply what and why).
Perform a fairly simple econometric analysis in practice. This implies being able to:
Identify the problem and phrase the purpose of the analysis.
Formulate the theoretical background for solving the problem.
Specify a suitable econometric model including the assumptions of the model.
Estimate the model using an appropriate method.
Discuss and solve any important problems encountered in relation to the analysis (e.g. heteroscedasticity for a cross-sectional data set).
Perform hypotheses testing of both simple and more composite hypotheses.
Apply the model for the purpose it was constructed for (e.g. testing a theory or making forecasts).
Report the results of the analysis both if the reader of the report is an econometrician and if the reader is a non-econometrician (e.g. the CEO).
Conclude upon the analysis.
Evaluate an empirical study conducted by another person/researcher.
Read and interprete output from the SAS computer programme.
Applied Econometrics
Marking Scale 7-step scale
Censorship Internal examiners
Exam Period Autumn Term and December/January
The exam has the form of an individual 4-hour written, open book exam (all written materials and calculators, but no computers, are allowed at the exam) with a preparatory data analysis starting three days before the exam date. Cf. The Regulations for written tests at CBS. The exam is internal and is graded by a teacher, cf. the General Degree Regulation § 25 S. The 4-hour written regular exam takes place in November 2010. Make-up /re-exam takes place in January 2011. Case for the data analyses will be handed out three days before the exam date
Prerequisites for Attending the Exam
Course Content

Some of the main tools of econometrics that are standard when analyzing data from fields such as industrial organization, economics and finance at the graduate level are introduced. Emphasis will be on analysis of economic data by means of statistical models, i.e. regression models and time series models. Some relevant software will be used in handling data introduced for computer based exercises and illustrations. Integration with the other courses at the line will take place via the selection of material for illustrations and exercises.
Some of the topics covered are:
The simple and multiple regression models and their interpretation.
Basic time series models (ARIMA), identification, estimation, testing and forecasting
Time series econometrics. More advanced topics (e.g. ARCH) only at the introductory level.

Teaching Methods
Lectures with PC-based exercises.

Gujarati, D.N. (2003). Basic Econometrics, 5th ed. McGraw-Hill (or latest edition on the market, please check the Syllabus)