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2023/2024  KAN-CCMVV2401U  Econometric Analysis of Firm Data

English Title
Econometric Analysis of Firm Data

Course information

Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Semester
Start time of the course Autumn
Timetable Course schedule will be posted at calendar.cbs.dk
Max. participants 80
Study board
Study Board for cand.merc. and GMA (CM)
Course coordinator
  • Ralf Andreas Wilke - Department of Economics (ECON)
Main academic disciplines
  • Finance
  • Economics
Teaching methods
  • Face-to-face teaching
Last updated on 15-02-2023

Relevant links

Learning objectives
  • Detect situations in which the ordinary least squares estimator is not adequate and be able to explain why
  • Choose an econometric model from those introduced in the course and explain why it is the suitable model for the specific situation
  • Interpret estimation results in STATA / R output correctly and comment on appropriateness of their presentation
  • Relate STATA / R code and STATA / R output to the econometric models introduced in the course
  • Work with STATA / R to do econometric analysis with the models introduced in the course
Course prerequisites
"The course is a progressive course. It presupposes that the students possess a thorough knowledge of the linear regression model and its estimation by ordinary least squares (OLS). Students are expected to have the equivalent knowledge of the content of "Applied Econometrics" (KAN-CAEFO1080U), "Quantitative Methods" (KAN-CFIVO1001U ) taught on Master level or "Quantitative Methods" (BA-BHAAV1016U) taught on Bachelor level.
Econometric Analysis of Firm Data:
Exam ECTS 7,5
Examination form Home assignment - written product
Individual or group exam Individual exam
Size of written product Max. 15 pages
Assignment type Project
Release of assignment Subject chosen by students themselves, see guidelines if any
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
* if the student fails the ordinary exam the course coordinator chooses whether the student will have to hand in a revised product for the re- take or a new project.
Description of the exam procedure

Students conduct a short empirical project with intra or cross firm data of their choice. In this project they apply the econometric methods which have been covered in the lectures. Besides conducting the empirical analysis, students are to show an understanding of the methods, justifiy their choice of the econometric models and interpret the results appropriartely. The project is written in parallel with the course and is of 15 A4-pages. The project must be submitted at the end of the teaching term.

Course content, structure and pedagogical approach

With advances in computer technology, electronic systems have replaced paper files to a large extent in most firms. A wealth of data is being produced in operations by all sorts of business units. This includes internal pay roll and personal records in Human Resources and Finance, production data on the amount of in- and output of machines and customer data, including prices and quantity sold. All these data have in common that they are typically large enough in terms of number of observations and number of variables to conduct multivariate statistical analysis. While these data are increasingly available as a side product of operations, their use in firms is often limited because of a lack of quantitative data analytics skills. As a matter of fact the demand of leading international firms for graduates with profound skills in quantitative methods normally exceeds the supply. The goal of this course is to provide students with skills to analyse these data by means of modern econometric techniques. Thus, it will enable them to use these data in practise in order to move towards evidence based decision making within firms. An integral component of the course is therefore hands-on practical work with statistical software and effective presentation of statistical results to a general audience without background in quantitative methods. However, the main goal of the course is to provide a deeper understanding of the underlying econometrics using important subject content topics as motivating examples. These may include:

  • Human Resources Management:


  • Estimation of the determinants of salaries. Are the salaries of top executives mainly related with firm characteristics?


  • It is often observed that females earn less on average than males. It can have important legal consequences for a firm if they pay females systematically lower for the same work only because they are female. We present various ways to estimate whether there is gender discrimination among staff.


  • Larger firms offer various optional benefits such as holiday buy schemes or fitness vouchers to their employees. It is important for planning purposes to understand the determinants for the decision to choose these benefits.


  •  Marketing:


  • Estimating the effect of a marketing initiative on product demand using sales and marketing data.


  • Estimating the determinants for the decision to purchase a product.


  •  Production:


  • Estimation of production or cost functions using input and output data.


  • Estimating the effect of staff training on production output.


 The course will first deepen the understanding of estimation of the linear regression model by Ordinary Least Squares. It will then cover methods which can be used if the key variables of interest are not exogenous, such as instrumental variable techniques or panel data techniques. This is followed by extending the linear model to a model with a limited dependent variable, which is estimated by Maximum Likelihood. It may also cover topics such as decomposition techniques or estimation of systems of equations. The course will provide code for the statistical softwares STATA  and R. Students can choose between R and Stata.


By doing the course a student will

  • practice the work with multivariate data;
  • broaden their repertoire of statistical methods relevant for the analysis of firm data;
  • develop the ability to work practically with multivariate statistical models;
  • become proficient in the use of STATA / R statistical software;
  • obtain the required methods skills to do multivariate analysis in an empirical Master dissertation.
Description of the teaching methods
The course is composed of 12 two-hours lectures and 6 computer classes with one introductory computer class. The following classes will cover each one problem set with hands-on practical work on the computer.
Feedback during the teaching period
1) Office hours
2) Computer classes: students are encouraged to present their solutions to problem sets to receive formative feedback.
Student workload
Preparation 103 hours
Classes 33 hours
Exam (including preparation) 70 hours
Expected literature


    Lecture notes
    Selected scientific articles to be specified during the course
    Further recommended readings, revision material and articles will be posted on Canvas



Wooldridge, J. (2020), "Introductory Econometrics", 7th edition, Cengage, ISBN10: 1-337-55886-9

Last updated on 15-02-2023