Advanced Econometrics



1130502

Course
Advanced Econometrics
Faculty
Ralf A. Wilke, Professor, CBS, Department of Economics
Course Coordinator
Ralf A. Wilke, Professor, CBS, Department of Economics, rw.eco@cbs.dk
Prerequisites
Estimation of and Inference for the multiple regression model (OLS, 2SLS, LPM, F-,t-,LR-,Wald-, LM-tests), Maximum Likelihood Estimation, Regression with Binary Dependent Variable, Matrix Algebra, Basic concepts of asymptotic theory (consistency and asymptotic normality). The course is compulsory for the PhD students of Copenhagen Business School’s Department of Economics, but also open to other PhD students who have the equivalent knowledge in econometrics of an M.Sc. in Economics or Econometrics.
Aim
After the course, students shall be able to: • demonstrate knowledge of the concepts, models, methods and tools of econometrics as discussed during the course (when to apply what and why), • read and understand international research papers that develop or employ econometric methods, • perform an econometric analysis including identification of the problem, formulation of the theoretical background, specification of a suitable econometric model, proper estimation of the model , and relevant hypothesis testing and inference, • and to evaluate an empirical study conducted by another person/researcher.
Course content
Designed for PhD students in Economics and related disciplines who want to deepen their understanding of econometrics and widen their statistical methods repertoire for their thesis and later career. The material is useful for students doing empirical work, research on Econometrics or both. The course covers general econometric methods and methods for cross section data. Topics are illustrated in lectures by empirical examples. Stata and R sample code is made available. Students will be offered the opportunity to deepen their understanding of the material with a number of empirical computer exercises. The course is centered around topics which should be of interest to a wider audience, rather than focusing on very specialized topics. An introduction to Stata will be provided. Topics covered by the course include: General Econometrics: • Nonparametric Density and Regression, Semiparametric Regression • Quantile Regression • Resampling techniques Cross Section Econometrics: • Limited Dependent Variable models (Multiple Valued Discrete Responses, Continuous Dependent Variables) • Policy Analysis (Regression Based, IPW, Matching, Synthetic Control) • Decomposition Methods (Mean, Distribution) • Duration Models (Single and Competing Risks) A final list of topics will be given during the lectures.
Teaching style
Lectures and computer-based exercise classes. Students need to bring their own laptop. Software: STATA licenses are available for CBS students. Students from other universities need to have their own license. R is open source. Maximum number of participants: 18
Lecture plan
To be posted on Canvas, to which accepted students get access to after the registration deadline.
Learning objectives
Please see under AIM.
Exam
Extended essay (up to 10 pages) and student presentation (20 minutes+ 10 minutes discussion) on a topic related to the course content. The topic is chosen by the student and needs approval by the lecturer. Grading scale: 7-point grading scale.
Other
Duration and Dates: The course has 36 lectures and computer sessions (à 45 minutes). These take place 6 hours a day between 9:00-12:00 and 13:00 and 16:00 on 6 days: 25-27 May and 1-3 June 2021. This is followed by at least 6 hours of student presentations on 24 June and possibly more hours on 25 June 2021. An additional contact hour for every two participants is added if the number of course participants exceeds 12. If the number of participants exceeds 14, the student presentations will take place on two adjacent days (24-25 June), otherwise on one day only (24 June). This means the minimum number of contact hours is 42.
Start date
25/05/2021
End date
25/06/2021
Level
PhD
ECTS
7,5
Language
English
Course Literature
Main textbooks: • W2010: Jeffrey Wooldridge (2010), Econometric Analysis of Cross Section and Panel Data, 2nd edition, MIT Press: Cambridge, Mass. • CT2005: A.Colin Cameron, Pravon Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press This is indicative: • Lecture Notes • Jeffrey Wooldridge (2010), Econometric Analysis of Cross Section and Panel Data, 2nd edition, MIT Press: Cambridge, Mass. • A.Colin Cameron, Pravon Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press. • Academic journal articles on topics taught in the course.
Fee
DKK 9.750,- / Euro ~1330,- (incl. exchange fee)
Minimum number of participants
12

Maximum number of participants
18
Location
Copenhagen Business School Porcelænshaven 16A 2000 Frederiksberg Room: 16A 2.80
Contact information
PhD Support Nina Iversen ni.research@cbs.dk Tel: 3815 2475
Registration deadline
07/05/2021

The registration is binding after the registration deadline. If required (due to corona related restrictions) the course will be offered partly or fully online. A final decision on the course format will be made in early 2021.