2014/2015
KAN-CAEFO1080U Applied Econometrics
| English Title |
| Applied
Econometrics |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Mandatory |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Course period |
Autumn |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Battista Severgnini - Department of Economics (ECON)
- Chandler Lutz - Department of Economics
(ECON)
|
| Main academic
disciplines |
- Economics, macro economics and managerial
economics
|
|
Last updated on
04-07-2014
|
| 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:
- Explain the concepts, models, methods and tools of econometrics
as discussed during the course.
- Perform an academically founded econometric analysis on an
identified problem in practice.
- Select, estimate and apply a suitable econometric model,
including the assumptions, of the model toward solving a problem
founded in practise.
- 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 and conclusion 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).
- Evaluate an empirical study conducted by another
person/researcher and read and interpret output from the SAS
computer programme.
|
| Examination |
|
Applied
Econometrics:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam |
| Individual or group exam |
Individual |
| Assignment type |
Written assignment |
| Duration |
6 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
December/January and February |
| Aids allowed to bring
to the exam |
Limited aids, see the list below and the exam
plan/guidelines for further information:
- Additional allowed aids
- Books and compendia brought by the examinee
- Notes brought by the examinee
- Allowed calculators
- Allowed dictionaries
|
| 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 |
|
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. |
| Expected literature |
|
Literature:
James H. Stock and Mark M. Watson (2012), Introduction to
Econometrics (3rd international edition); Pearson Education
Limited; ISBN:13 978-1-4082-6433-1 / ISBN10:
1-4084-6433-1
|
Last updated on
04-07-2014
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