Institute of Mathematical Finance

Advanced Econometrics

Lecture Summer Term 2019

Advanced Econometrics

 

 

Lecturer: Robert Stelzer

Class  Teacher:

 Imma Curato
   
Type:

Master Economics.

 

News:

 The First lecture will take place on Thursday 25th April at 8:30, He 18 220

The First exercise class will take place on 29th Monday  at 10:15, He 18 E20

 

 
Time and Venue:
  • Lecture: Monday, 10:15-11:45, He18 E20
  • The first lecture will take place the 25th April
  • Exercise class:Thursday, 8:30-10:00, He18 220

Final Exam:

 

 

Schedule:

6th August 14:00-15:30, H3

10th October 14:15:30, H12

 

 

 

 Authorized Auxiliaries:

  • one A4 sheet (both-sides)
  • calculator  

     

 

 

 

Prerequisites:

Stochastik und Wirtschaftsstatistik

 

Contents:

  
  1. Overview OLS & IV
        - Properties and problems

        - Asymptotics

        - robust covariance estimation

        - endogeneity, causality, IV

    2. Panel Regressions

       - Pooled vs. Fixed effects vs. Random effects

      - Robust covariance estimation

   3. Restricted dependent variables

      - Logit / Probit

     - Tobit

    - Selection effects
   
Literature:
  • Wooldridge, Jeffrey. Introductory econometrics: A modern approach . Cengage Learning, 2012.
  • Westhoff, Frank. "An Introduction to Econometrics: A Self-contained Approach." MIT Press Books  1 (2013).
  • Murray, Michael P. Econometrics: A modern introduction . Pearson Higher Education, 2005
  • Greene, W. Econometric Analysis, 7th edn.,Prentice Hall, 2011 
  • Davidson, Russell, and James G. MacKinnon. Econometric theory and methods. Vol. 5. New York: Oxford University Press, 2004.

Exercise sheets:

 

Lecture notes:

 Can be downloaded on Moodle.

 

 Can be downloaded on Moodle.