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2021/2022  BA-BHAAI1092U  Theory and Mechanics Behind Econometrics and Statistical Programming

English Title
Theory and Mechanics Behind Econometrics and Statistical Programming

Course information
Language English
Course ECTS 7.5 ECTS
Type Elective
Level Bachelor
Duration Summer
Start time of the course Summer
Timetable Course schedule will be posted at calendar.cbs.dk
Min. participants 5
Max. participants 100
Study board
Study Board for BSc in Economics and Business Administration
Course coordinator
  • Ralf Andreas Wilke - Department of Economics (ECON)
For academic questions related to the course, please contact course responsible Ralf Andreas Wilke (rw.eco@cbs.dk).
Main academic disciplines
  • Mathematics
  • Statistics and quantitative methods
Teaching methods
  • Face-to-face teaching
Last updated on 02/12/2021

Relevant links
Learning objectives
At the completion of the course, the students
  • can use mathematically correct language and notation for probability theory, linear algebra and econometric modelling
  • are computationally proficient in probability theory and linear algebra
  • can apply principles of probability theory, linear algebra and econometric modelling to solve problems in economics, finance, and business
  • can state and derive basic properties of probability theory, linear algebra and econometric modelling
  • can use R to illustrate the fundamental concepts of mathematical statistics and econometric modeling, to estimate econometric models and to conduct Monte-Carlo simulation
  • can write user-defined R functions in both scalar and matrix notation
  • can use the R documentation
Course prerequisites
The course is a progression course and bases on BA-BHAAO1593U Statistics or equivalent.

BA-BHAAO1593U Statistics is the compulsory 2 semester long Statistics course of the BSc in Economics and Business Administration (HA alm.) at CBS. Students are expected to have basic knowledge of descriptive statistics, elementary probability calculus, probability distributions, confidence intervals, hypotheses tests, regression analysis and estimation by OLS and maximum likelihood (ML).

Knowledge of the statistical language R is not required.
Examination
Theory and Mechanics Behind Econometrics and Statistical Programming:
Exam ECTS 7.5
Examination form Written sit-in exam on CBS' computers
Individual or group exam Individual exam
Assignment type Written assignment
Duration 4 hours
Grading scale 7-point grading scale
Examiner(s) One internal examiner
Exam period Summer, 4-hour ordinary sit-in exams run from 9:00-13:00 (if not possible from 15:00-19:00) on either 1, 2, 3, 4, or 5 August in the CBS Exam hall.
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
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.
Retake exam: 4-hour sit-in exam
Exam form for 3rd attempt (2nd retake): 72-hour home assignment, max. 10 pages.
Description of the exam procedure

The exam covers the entire course content.

All the learning objectives are relevant for this exam.

 
Course content, structure and pedagogical approach

The course provides the students with a thorough and in-depth understanding of the fundamental tools of probability theory, linear algebra, econometric modeling, and statistical inference that form the basis for the analysis of high dimensional data sets in economics, business, and finance.

 

Hence, the course has a high technical level and can be thought of as a progression course often required for many postgraduate study lines in economics, finance, and other applied statistics areas as well for some of the CBS courses offered on both BSc and MSc level, e.g., BA-BMECV1031U Økonometri, KAN-COECO1058U Econometrics, KAN-COECO1056U Financial Econometrics, KAN-CMECV1249U Panel Econometrics.

 

Moreover, the course introduces the students to R project for statistical computing, including how to code estimation and inference procedures (with and without R built-in standard function), and how to conduct Monte Carlo simulations.
Description of the teaching methods
The course comprises of 32 hours of lectures and 6 hours of exercise classes. Lectures focus on theory, intuition, and examples; exercises classes focus on R, derivations, and problem solving.
Feedback during the teaching period
- Office hours
- Email correspondence
- Exercise classes
Student workload
Lectures and exercise classes 38 hours
Exam 4 hours
Preparation 164 hours
Further Information

Ordinary 6 weeks course

 

Preliminary Assignment: A generic test/assignment will be developed concerning “Nordic Nine”. It will be uploaded on Canvas at the end of May. Students are expected to access this assignment before classes begin. The assignment will not be reviewed in classes.

 

Course and exam timetable is/will be available on https://www.cbs.dk/en/study/international-summer-university/courses-and-exams

 

We reserve the right to cancel the course if we do not get enough applications. This will be communicated on https://www.cbs.dk/en/study/international-summer-university/courses-and-exams in start March.
Expected literature
  • Lecture slides
  • Problem sets discussed during exercise classes

 

Main and supplementary textbooks

1. For matrix algebra:

1.1Linear Algebra and Its Applications, 5th edition

Authors: David C. Lay, Steven R. Lay, Judi J. McDonald

Publisher: Pearson, 2016

Online resources available: My Lab Mat

 

1.2 Linear Algebra:

A modern Introduction, 4th Edition

Author: David Poole

Publisher: Cengage Learning, 2015

Online resources available: WebAssign

 

2. For mathematical statistics:

2.1 Introduction to Mathematical Statistics, Global Edition, 8th Edition

Author: Robert V. Hogg, Joeseph McKean, Allen T. Craig

Publisher: Pearson, 2021

Exercises with data sets that are available in R.

 

2.2 Mathematical Statistics with Applications, 7th Edition

Authors: Dennis D. Wackerly, William MendenHall, Richard L. Scheaffer

Publisher: Thomson Learning

 

2.3 Mathematical Statistics and Data Analysis. 3rd Edition

Author: John A. Rice

Publisher: Cengage Learning

 

3. For econometrics:

3.1 Introduction to Linear Regression Analysis 5th Edition

Authors: Douglas C. Montgomery, Elizabeth A. Peck, G. Geoffrey Vining

Publisher: Wiley

 

3.2 Introductory Econometrics: A Modern Approach 7th edition 

Author: Jeffrey M. Wooldridge,

Publisher: South-Western College Publishers

 

3.3 Causal Inference: The Mixed Tape

Author: Scott Cunningham

Publisher: Yale University Press
Last updated on 02/12/2021