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2015/2016  KAN-COECO1054U  Econometrics

English Title
Econometrics

Course information
Language English
Course ECTS 7.5 ECTS
Type Mandatory
Level Full Degree Master
Duration One Semester
Start time of the course 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)
Contact information: https:/​/​e-campus.dk/​studium/​kontakt
Main academic disciplines
  • Economics
Last updated on 14-08-2015
Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors: 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 an econometric model, from those introduced in the course, and explain why it is the suitable model for the specific situation.
  • Interpret estimation results in STATA and R output correctly and comment on appropriateness of their presentation.
  • Relate STATA and R code and STATA and R output to the econometric models introduced in the course.
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. The course has 54 contact hours and there is a high level of interaction between lecturer and students, and in general a high work load.
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
Duration2 hours
Grading scale7-step scale
Examiner(s)One internal examiner
Exam periodAutumn
Aids allowed to bring to the examLimited aids, see the list below:
  • Written sit-in-exam with pen and paper
  • Allowed dictionaries
  • Allowed calculators
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.
The retake exam has the same form at the regular exam, i.e. a 2-hour written exam,
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 periodWinter
Aids allowed to bring to the examLimited aids, see the list below:
  • Written sit-in-exam on CBS' computers
  • Allowed dictionaries
  • Allowed calculators
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.
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.
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:

 

  • Lecture notes
  • Selected scientific articles to be specified during the course
  • Wooldridge, J. (2009), "Introductory Econometrics", 4th ed, South-Western, ISBN 978-0-32478-890-7
  • Further recommended readings, revision material and articles wil be posted in LEARN
  • 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 14-08-2015