• 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

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.

• 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)