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2014/2015  KAN-CCMVI2009U  Graduate econometrics

English Title
Graduate econometrics

Course information

Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration Summer
Course period Summer
Timetable Course schedule will be posted at calendar.cbs.dk
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Course instructor - Dr. Carol Stivender, University of North Carolina at Charlotte
    Patricia Plackett - MPP
Main academic disciplines
  • Economics, macro economics and managerial economics
  • Methodology
Last updated on 25-07-2014
Learning objectives
At the end of the course the student should be able to:
  • Critique empirical studies in economics and related fields using articles from leading econometric journals.
  • Perform and explain mathematical derivations of the least squares estimator and its properties.
  • Identify the proper econometric technique to apply to a problem or dataset.
  • Perform econometric analysis by hand and using software (TBD).
  • Properly interpret the results of econometric analysis.
Course prerequisites
Recommended: Principles of Macro and Microeconomics.
Compulsory: Statistics and basic Excel skills
Prerequisites for registering for the exam
Number of mandatory activities: 1
Compulsory assignments (assessed approved/not approved)
Mandatory Mid-term Assignment: The Mid-term Assignment may include multiple choice/True or False questions, derivations, short answer/essay and regression interpretation. The assignment will cover material from the first four chapters.
4-hour Written Examination:
Exam ECTS 7,5
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 Summer Term
Aids allowed to bring to the exam Limited aids, see the list below and the exam plan/guidelines for further information:
  • 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

Econometrics is a sub-discipline of economics and statistics that provides methods for inferring economic structure from data. This course has three goals. The first goal is to give students means to evaluate an econometric analysis critically and logically. Second, students should be able to analyze a data set methodically and comprehensively using the tools of econometrics. Students will be introduced to multiple regression methods for analyzing data in economics and related disciplines, both by hand and using statistical software.  Extensions will include regression with discrete random variables, analysis of qualitative questions, interaction terms, time series analysis and binary choice models. And third, students should be able to perform mathematical derivations of the least squares estimator and its properties in order to fully understand the intuition underlying the estimation process.
The Preliminary Assignment will help students familiarize themselves with statistical software (TBD) and read a sampling of journal articles using various regression techniques. The Mandatory Mid-term Assignment may include multiple choice/True or False questions, derivations, short answer/essay and regression interpretation. The assignment will cover material from the first four chapters.

Teaching methods
Lectures, exercises, group work, article discussions.
Further Information
Preliminary Assignment: To help students get maximum value from ISUP courses, instructors provide a reading or a small number of readings or video clips to be read or viewed before the start of classes with a related task scheduled for class 3 in order to 'jump-start' the learning process.
Expected literature
The course textbook is Wooldridge’s “Introductory Econometrics: A Modern Approach”, 4th edition, published by Cengage Learning (2008). ISBN 10: 0324581629 or ISBN 13: 9780324581621. We will also be reading several peer-reviewed academic research articles that use econometrics to answer interesting questions about the economy, sports, the arts, etc.  Some of those articles are:
“Are Investors Moonstruck? Lunar Phases and Stock Returns”
“Marriage Choices of Movie Stars: Does Spouse’s Education Matter?”
“Warm It Up With Love: The Effect of Physical Coldness on Liking Romance Movies”
“Donorcycles: Motorcycle Helmet Laws and the Supply of Organ Donors”
“Firearm Background Checks and Suicide”
There will be other articles as we move through the course. I will provide those links as necessary. Some articles I will simply present in class.
To facilitate your learning Stata, our statistical software package, I have included links to several very good online resources (*asterisks denote tutorials required for preliminary assignment).
Introduction to Stata, courtesy of Princeton University ( Princeton, NJ)
Selected Video Tutorials on Using Stata, courtesy of Stata Corp (College Station, TX)
                             *Stata basics
Quick tour of Stata interface
Quick help in Stata
PDF documentation in Stata
Example data included with Stata
How to download and install user-written commands in Stata
*Data management
Copy/paste data from Excel into Stata
Import Excel data into Stata
Converting data to Stata with Stat/Transfer
*Linear models
Simple linear regression in Stata
Binary outcomes
Logistic regression in Stata, part 1: Binary predictors
Logistic regression in Stata, part 2: Continuous predictors
Time series
Formatting and managing dates
Line graphs and tin()
Time-series operators
Correlograms and partial correlograms
Introduction to ARMA/ARIMA models
Moving-average smoothers
Using freduse to download time-series data from the Federal Reserve in Stata
Online Stata Tutorial at Princeton, Data and Statistical Services
Stata in 2 Pages, courtesy of University of Michigan
Applied Econometrics Tutorials, courtesy of University of Illinois At Urbana-Champagn (UIUC)
StataCorp YouTube channel
StataCorp – Time Series Analysis
Last updated on 25-07-2014