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2014/2015  KAN-COECO1054U  Econometrics

English Title
Econometrics

Course information
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
Max. participants 50
Study board
Study Board for MSc in Advanced Economics and Finance
Course coordinator
  • Ralf Andreas Wilke - Department of Economics (ECON)
Secretary:
Ida Lyngby
il.eco@cbs.dk
Main academic disciplines
  • Economics, macro economics and managerial economics
Last updated on 15-08-2014
Learning objectives
After the course, students must be able to:
  • Understand econometric methods of estimation and inference for cross section data, panel data, limited dependent variables and time series models.
  • Choose econometric models which are suitable, both to the data and to the economic models;
  • Estimate the model and be able to interpret the estimation results, using appropriate software (STATA and R).
  • Getting practical working experience with a statistical package as preparation of an empirical Master dissertation.
Course prerequisites
This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for this programme. A Math/Stats camp will be offered during the first two weeks of the semester to review the concepts required for this course. The course has 88 confrontation hours and there is a high level of interaction betw. lecturer and students, and in general a high work load.

To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to oecon.eco@cbs.dk no later than 13 May 2014. Please also remember to sign up through the online registration.
Examination
The exam in the subject consists of two parts:
Midterm exam:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual
Assignment typeWritten assignment
Duration4 hours
Grading scale7-step scale
Examiner(s)One internal examiner
Exam periodAutumn Term
Aids allowed to bring to the examLimited 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.
Description of the exam procedure
The midterm exam will cover most of the microeconometrics portion of the class.
Final exam:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual
Assignment typeWritten assignment
Duration4 hours
Grading scale7-step scale
Examiner(s)One internal examiner
Exam periodDecember/January
Aids allowed to bring to the examLimited 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.
Description of the exam procedure
The second exam will cover the remaining part of the microeconometrics portion and the time series portion of the class. The final exam is an exam done on computers.
Course content and structure

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 microeconometric portion of the course consists of four parts, the first of which is a (high level) presentation of ordinary least squares estimation of the linear regression model. Here practical aspects will be discussed and statistical properties will be proved.. Secondly, we discuss the use of single equation regression models with an emphasis on endogeneity problems and instrumental variable estimation based on cross sectional data set. Next, we focus on the analysis of panel data sets – their merits, special problems, estimation methods etc. The last part of the micrcoeconometrics portion covers binary dependent variables models and maximum likelihood estimation.. Finally, the course will focus on time series analysis. The course builds on a standard introductory course in econometrics. Knowledge of fundamental concepts of mathematics and statistics is required. The students need to be familiar with matrix notation.
A Math/Stats camp will be offered during the first two weeks of the semester to review the concepts required for this course.
Teaching methods
Lectures and computer based exercise classes.
Further Information
Part of this course may also be taken as a PhD course for a limited number of PhD students.
Expected literature
Indicative:
Math/Stat camp:
  • Wooldridge’s “Introduction to Econometrics”
Lectures:
  • Jeffrey Wooldridge (2010), "Econometric Analysis of Cross Section and Panel Data", 2nd ed, MIT Press
  • Ruey S. Tsay, ”Analysis of Financial Time Series”, 3rd Edition, Wiley
Last updated on 15-08-2014