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2016/2017  KAN-COECO1058U  Econometrics

English Title
Econometrics

Course information
Language English
Course ECTS 7.5 ECTS
Type Mandatory offered as elective
Level Full Degree Master
Duration One Semester
Start time of the course Autumn
Timetable Course schedule will be posted at calendar.cbs.dk
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 09-06-2017
Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors:
  • Understand econometric methods of estimation and inference for cross section data, panel data and limited dependent variables.
  • Choose an econometric model, form those introduced in the course, and explain why it is the suitable model for the specific situation
  • Interpret estimation results in STATA output correctly and comment on appropriateness of their presentation
  • Relate STATA code and STATA output to the econometric models introduced in the course.
  • Estimate the model and be able to interpret the estimation results, using appropriate software (STATA).
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 48-60 confrontation hours and there is a high level of interaction betw. lecturer and students, and in general a high work load.

The course has a high technical level and is intended for OECON and CMMAT students.

To sign up send a one-page motivational letter and a grade transcript to oecon.eco@cbs.dk no later than 20 June 2017. Please also remember to sign up through the online registration.
Examination
The exam in the subject consists of two parts:
Econometrics:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual exam
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
  • Approved calculators: HP 10bII+ and Texas BA II Plus
  • Dictionaries (only some, see specification below)
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.
NOTE: The retake exam will be a written sit-in exam irrespective of the number of students signed up.
Description of the exam procedure

The midterm exam will mainly cover the first part of the course (multiple linear regression model).

 

Only language dictionaries are allowed.

Allowed calculators are:

• HP 10bII+
• Texas BA II Plus

Econometrics:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual exam
Assignment typeWritten assignment
Duration2 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
  • Approved calculators: HP 10bII+ and Texas BA II Plus
  • Dictionaries (only some, see specification below)
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.
NOTE: The retake exam will be a written sit-in exam irrespective of the number of students signed up.
Description of the exam procedure

The final exam mainly covers the content of the second part of the course (topics in Micro- and Panel Econometrics).

 

The final exam is an exam done on CBS' computers and with STATA access.

 

Only language dictionaries are allowed.

 

Allowed calculators are:

• HP 10bII+
• Texas BA II Plus
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, 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 two parts, the first of which is a (high level) presentation of estimation and inference methods for the multiple linear regression model. Here practical aspects will be discussed and statistical properties will be proved. In the second part we cover several topics from Micro- and Panel Econometrics. In particular, 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. We focus on the analysis of panel data sets – their merits, special problems, estimation methods etc. Finally, we cover binary dependent variable models. The course builds on a standard introductory course in econometrics. Knowledge of fundamental concepts of mathematics and statistics is required. Students need to be familiar with matrix notation.

 
Teaching methods
Lectures and computer based exercise classes.
Student workload
Classes 60 hours
Preparation 95 hours
Preparation for written exam 51 hours
Further Information

Part of this course may also be taken as a PhD course for a limited number of PhD students.
Expected literature

Indicative:

 

Lectures:

  • Lecture notes
  • Selected scientific articles to be specified during the course
  • Further recommended readings, revision material and articles wil be posted in LEARN

 

Textbooks:

  • Wooldridge, J. (2015), "Introductory Econometrics", 6th edition, Cengage, ISBN 978-1-305-27010-7
  • Jeffrey Wooldridge (2010), "Econometric Analysis of Cross Section and Panel Data", 2nd ed, MIT Press
Last updated on 09-06-2017