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2022/2023  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
  • Marta Boczon - Department of Economics (ECON)
  • Ralf Andreas Wilke - Department of Economics (ECON)
For academic questions related to the course, please contact course responsibles Ralf Andreas Wilke (rw.eco@cbs.dk) or Marta Boczon (mbo.eco@cbs.dk).
Main academic disciplines
  • Mathematics
  • Statistics and quantitative methods
Teaching methods
  • Face-to-face teaching
Last updated on 25-11-2022

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 rely on R output generated using Monte Carlo simulations to illustrate the fundamental concepts of mathematical statistics and econometric modeling
  • can interpret user-defined R functions in both scalar and matrix notation
  • can advise 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 sit-in exam in week 31 in the CBS Exam hall.
Course and exam timetable is/will be available on https:/​/​www.cbs.dk/​en/​study/​international-summer-university/​courses-and-exams
Aids Limited aids, see the list below:
The student is allowed to bring
  • An approved calculator. Only the models HP10bll+ or Texas BA ll Plus are allowed (both models are non-programmable, financial calculators).
  • 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, new exam question.
Exam form for 3rd attempt (2nd retake): 72-hour home assignment, maximum 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 as for some of the CBS courses offered on both BSc and MSc level , eg, BA-BMECV1031U Econometrics, KAN-COECO1058U Econometrics, KAN-COECO1056U Financial Econometrics, KAN-CMECV1249U Panel Econometrics.

 

Progression route Econometrics at CBS:

 

Basics (BA-BHAAO1593U Statistics) →Foundations (BA-BHAAI1092U Theory and Mechanics Behind Econometrics and Statistical Programming) →Core (Bachelor: HA mat. BMECV1031U Økonometri or Master: Cand. OECON KAN-COECO1058U Econometrics) →Specialisation (KAN-CMECV1249U Panel Econometrics or KAN- COECO1058U Financial Econometrics)

 

Furthermore, the course introduces the students to R projects 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 38 hours of lectures. Lectures focus on theory, intuition, derivations, and problem solving.
Feedback during the teaching period
- Office hours
- Email correspondence
Student workload
Lectures 38 hours
Exam 4 hours
Preparation 164 hours
Further Information

Ordinary 6 week course

 

Preliminary Assignment:  The Nordic-9 pre-course is foundational for the summer university and identical for all bachelor courses. Students will receive an invitation with all details by the end of May. The assignment has two parts. 1.) online lectures and tutorials that student can access at their own time and 2.) one synchronous workshop which will be offered both online and in-person at several dates and times before the official start of the summer university courses. Sign-up is first come first serve. All students are expected to complete this assignment before classes begin.

 

 

 

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 early March.
Expected literature
  • Lecture materials (slides, problem sets, and R scripts)
  • Selected book chapters and exercises from the main textbooks
  • Academic articles

 

Main textbooks

  • Linear Algebra: A Modern Introduction, 4th Edition, David Poole, Cengage Learning, 2015; chapters: 2 and 3 (to be covered in week 1)
  • Mathematical Statistics and Data Analysis,  3rd Edition , John A. Rice, Cengage Learning, 2007; chapters: 2, 4, 5, 8, and 14 (to be covered in weeks 2 through 5)

 
Last updated on 25-11-2022