Courses Bachelor Display 2021-2022

Course Description To PDF
Course title Econometric Methods II
Course code EBC2120
ECTS credits 6,5
Assessment Whole/Half Grades
Period Start End Mon Tue Wed Thu Fri
4 31-1-2022 25-3-2022 X X
Level Intermediate/Advanced
Coordinator Martin Schumann
For more information:
Language of instruction English
(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.
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.
Hansen, Bruce E. (2018): Econometrics, University of Wisconsin webpage
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).
Linear algebra, mathematical statistics (EBC2107), Econometric Methods I (EBC2111) or the equivalent.
Familiarity with statistical software like Stata or EViews and R.
Teaching methods (indicative; course manual is definitive) PBL / Presentation / Lecture / Assignment / Groupwork / Skills
Assessment methods (indicative; course manual is definitive) 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 Core Course(s)
Bachelor Econometrics and Operations Research Year 3 Elective Course(s)