Courses Bachelor Display 2019-2020

Course Description To PDF
Course title Econometric Methods II
Course code EBC2120
ECTS credits 6,5
Assessment Whole/Half Grades
Period
Period Start End Mon Tue Wed Thu Fri
4 4-2-2020 5-4-2020 X X X
Level Intermediate/Advanced
Coordinator Denis de Crombrugghe
For more information: d.decrombrugghe@maastrichtuniversity.nl
Language of instruction English
Goals
(1) Thorough understanding of standard econometric models and methods for the analysis of independent data; independent data are typically cross-sectional, as opposed to time series which are sequential and generally serially dependent.
(2) Additionally, some practical experience with the application of the methods, the interpretation of the models, and the evaluation of inferences.
(3) In particular, providing background and warming up for students about to write a Bachelor thesis on an empirical topic.
Description
The course is designed as a follow-up to the second-year course Econometric Methods I (EBC2111), reviewing known methods somewhat more formally before introducing the new ones. The following topics will be covered.
(1) The Normal regression model and Maximum Likelihood (ML)
(2) Endogeneity and Instrumental Variable (IV) methods
(3) Generalised Method of Moments (GMM)
(4) Discrete choice models (LPM, logit, probit etc.)
(5) Censoring and selection (tobit, heckit)
(6) Linear equation systems (SURE, SEM)
(7) Panel data models (POLS, FE, RE, FD ...).
These topics will be treated at a fairly rigorous level, starting from abstract assumptions about a multivariate world described in terms of vectors and matrices.
Literature
Hansen, Bruce E. (2018): Econometrics, University of Wisconsin webpage http://www.ssc.wisc.edu/~bhansen/econometrics/
Greene W.H. (2008): Econometric Analysis, 7th edition, Pearson Prentice Hall.
Davidson R. & J.G. MacKinnon (2004): Econometric Theory and Methods, Oxford University Press.
Wooldridge J.M. (2010): Econometric Analysis of Cross-Section and Panel Data, 2nd edition, MIT Press, Cambridge, MA. (First half).
Cameron A.C. & P.K. Trivedi (2005): Microeconometrics, Cambridge University Press. (First half).
Prerequisites
Linear algebra, mathematical statistics (EBC2107), Econometric Methods I (EBC2111) or the equivalent.
Familiarity with statistical software like Stata or EViews and R.
Teaching methods PBL / Presentation / Lecture / Assignment / Groupwork / Skills
Assessment methods Final Paper / Attendance / Participation / Written Exam / Assignment
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Bachelor Econometrics and Operations Research Year 3 Elective Course(s)