Advanced Topics in Econometrics 1 - uni-hohenheim.de [PDF]

Cambridge (MA): MIT Press, second edition. Additional References. Stock James H. and Mark W. Watson (2012). Introduction

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University of Hohenheim  Prof. Dr. Aderonke Osikominu   

Winter Term 2014/15

Advanced Topics in Econometrics 1    Description  This  course  discusses  selected  modeling  techniques  for  the  analysis  of  cross‐section  and  panel  data  on  microeconomic  units  such  as  persons,  households,  firms  or  regions.  The  course  starts  with  an  overview  of  key  concepts  in  Statistics  for  the  analysis  of  microeconometric data. It then discusses important principles of estimation and inference in  Microeconometrics.  We  will  focus  in  particular  on  models  for  panel  data  that  allow  the  analyst  to  incorporate  unobserved  unit  specific  effects.  While  the  course  focuses  on  the  theory  and  implementation  of  econometric  estimators  with  Stata,  we  will  also  discuss  leading economic applications and research papers.  The course consists of weekly lectures combined with occasional exercise sessions (3 SWS, 6  ECTS in total).     Target Audience and Prerequisites  The  course  is  intended  for  doctoral  students  who  want  to  become  familiar  with  modern  econometric  methods  for  the  analysis  of  cross‐section  and  panel  data.  Participants  are  expected  to  have  a  working  knowledge  of  intermediate  Statistics  and  Econometrics  at  the  level of Stock and Watson (2012) or Wooldridge (2013).    Assessment  Grading will be based on a term paper and a presentation on a topic to be chosen from a list  distributed in the first lecture.      

 

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Overview of Topics  1. Introduction   Specific aspects of Microeconometrics   Course outline  2. Key Concepts in Statistics and Econometrics   Probabilistic concepts for microeconometric analysis   Linear regression and Ordinary Least Squares (OLS) estimation   Inference issues: robust variance estimation, bootstrap  3. Basic Liner Panel Data Models   Pooled OLS and pooled Generalized Least Squares (GLS)   Static unobserved effects models   Policy evaluation with panel data  4. Advanced Topics on Linear Panel Data Models   Generalized Method of Moments (GMM)   GMM approaches to dynamic unobserved effects models   Inference issues: clustered data, finite populations    Course Materials and Background Readings  All lecture notes, problem sets, and additional materials will be posted on the ILIAS platform.  The lecture notes summarize the key points covered in class. For a deeper understanding of  the  material  you  should  take  additional  notes  during  class  and  study  the  core  background  readings.  The  main  background  readings  are  the  textbooks by  Cameron  and  Trivedi  (2005)  and Wooldridge (2010). Additional references will be given in class.  Cameron,  A.  Colin  and  Pravin  K.  Trivedi  (2005).  Microeconometrics:  Methods  and  Applications, Cambridge: Camebridge University Press.  Wooldridge,  Jeffrey  M.  (2010):  Econometric  Analysis  of  Cross  Section  and  Panel  Data,  Cambridge (MA): MIT Press, second edition.    Additional References  Stock  James  H.  and  Mark  W.  Watson  (2012).  Introduction  to  Econometrics.  Boston  (MA):  Pearson, third international edition.  Wooldridge,  Jeffrey  M.  (2013).  Introductory  Econometrics:  A  Modern  Approach,  Cincinnati  (OH): Thomson South‐Western, fifth edition.  2   

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