Applied Econometrics

Summer Semester 2012

Time: 17:30 - 20.30
Location: Seminar Room 1, Hohenstaufengasse 9
Start Date: Monday, 5th October 2012

Description:

This course is an advanced course in applied econometrics for Undergraduate and Masters students. The aim is to discuss various econometric methods using examples from microeconomics and macroeconomics, and to apply such methods to real world data. The course will cover a number of topics including: heteroscedasticity, autocorrelation and omitted variable bias; instrumental variables estimation; systems estimation; simultaneous equation models; maximum likelihood estimation; binary response models; ordered response and corner solution models; duration models; and panel data econometrics (fixed and random effects models, hypothesis and specification tests with panel data, non-linear panel models, dynamic panel models, difference-in-difference estimation).

Assessment:

The course will be assessed through a combination of take-home exercises (25%), a final exam (40%) and a group project (35%). Details of the take-home exercises and group project will appear here in due course.

Problem Set 1 and Data

Problem Set 2

Practice Exam

Grades can be found HERE

Reading List:

The main texts will be:

Cameron, A.C. and P.K. Trivedi, 2005. Microeconometrics: Methods and Applications, Cambridge University Press

Wooldridge, J., 2010. Econometric Analysis of Cross Section and Panel Data (2nd ed.), MIT Press.

Statistical Programmes:

Stata (Basic Stata commands)

Tentative Schedule:

5th March: Introduction