| 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, a one-page CV, and
a grade transcript to oecon.eco@cbs.dk no later than 24 April 2018.
Please also remember to sign up through the online
registration. |
| Examination |
The exam in the subject consists of two parts:
| Econometrics: | | Sub exam weight | 50% | | Examination form | Written sit-in exam on CBS'
computers | | Individual or group exam | Individual exam | | Assignment type | Written assignment | | Duration | 2 hours | | Grading scale | 7-step scale | | Examiner(s) | One internal examiner | | Exam period | Autumn | | Aids | Limited aids, see the list below:
The student is allowed to bring - Non-programmable, financial calculators: HP10bll+ or Texas BA
II Plus
- Language dictionaries in paper format
The student will have access to - Advanced IT application package
At all written
sit-in exams the student has access to the basic IT application
package (Microsoft Office (minus Excel), digital pen and paper,
7-zip file manager, Adobe Acrobat, Texlive, VLC player, Windows
Media Player). PLEASE NOTE: Students are not allowed to communicate
with others during the exam :
Read more about exam aids and IT application
packages here | | 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). |
| Econometrics: | | Sub exam weight | 50% | | Examination form | Written sit-in exam on CBS'
computers | | Individual or group exam | Individual exam | | Assignment type | Written assignment | | Duration | 2 hours | | Grading scale | 7-step scale | | Examiner(s) | One internal examiner | | Exam period | Winter | | Aids | Limited aids, see the list below:
The student is allowed to bring - Non-programmable, financial calculators: HP10bll+ or Texas BA
II Plus
- Language dictionaries in paper format
The student will have access to - Advanced IT application package
At all written
sit-in exams the student has access to the basic IT application
package (Microsoft Office (minus Excel), digital pen and paper,
7-zip file manager, Adobe Acrobat, Texlive, VLC player, Windows
Media Player). PLEASE NOTE: Students are not allowed to communicate
with others during the exam :
Read more about exam aids and IT application
packages here | | 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). |
|
| 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. |
| Feedback during the teaching period |
After mid-term exam during lectures
Office hours |
| 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
|
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