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2020/2021  KAN-CAEFO1080U  Applied Econometrics

English Title
Applied 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
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Battista Severgnini - Department of Economics (ECON)
  • Natalia Khorunzhina - Department of Economics (ECON)
Main academic disciplines
  • Economics
Teaching methods
  • Blended learning
Last updated on 29-06-2020

Relevant links

Learning objectives
The skills developed are valuable and necessary for handling of data and understanding empirical results related to most of the other courses of the concentration.

After this course it is the aim that the students can:
  • Explain the concepts, models, methods and tools of econometrics as discussed during the course.
  • Perform an academically founded econometric analysis on an identified problem in practice.
  • Select, estimate and apply a suitable econometric model, including the assumptions, of the model toward solving a problem founded in practise.
  • Discuss and solve any important problems encountered in relation to the analysis (e.g. heteroscedasticity for a cross-sectional data set)
  • Perform hypotheses testing of both simple and more composite hypotheses
  • Apply the model for the purpose it was constructed for (e.g. testing a theory or making forecasts).
  • Report the results and conclusion of the analysis both if the reader of the report is an econometrician and if the reader is a non-econometrician (e.g. the CEO).
  • Evaluate an empirical study conducted by another person/researcher and read and interpret output from statistical computer software
Applied Econometrics:
Exam ECTS 7,5
Examination form Home assignment - written product
Individual or group exam Individual exam
Size of written product Please see text below
No maximum number of pages, students have 6 hours to complete the assignment.
Assignment type Case based assignment
Duration Written product to be submitted on specified date and time.
Grading scale 7-point grading scale
Examiner(s) One internal examiner
Exam period Winter
Make-up exam/re-exam
Same examination form as the ordinary exam
Course content, structure and pedagogical approach

Some of the main tools of econometrics that are standard when analyzing data from fields such as industrial organization, economics and finance at the graduate level are introduced. Emphasis will be on analysis of economic data by means of statistical models, i.e. regression models and time series models. Some relevant software will be used in handling data introduced for computer based exercises and illustrations. Integration with the other courses at the line will take place via the selection of material for illustrations and exercises.
Some of the topics covered are:
The simple and multiple regression models and their interpretation.
Basic time series models (ARIMA), identification, estimation, testing and forecasting
Time series econometrics. More advanced topics (e.g. ARCH) only at the introductory level.

Description of the teaching methods
In-class lectures with PC-based exercises.
Feedback during the teaching period
Feedback will be provided both as part of discussions in the class and of exercises.
Student workload
Exam 6 hours
Classes + Exercises 68 hours
Preparation 132 hours
Expected literature

James H. Stock and Mark M. Watson (2012), Introduction to Econometrics (3rd international edition); Pearson Education Limited;  ISBN:13  978-1-4082-6433-1 / ISBN10: 1-4084-6433-1


Last updated on 29-06-2020