777707


Course
Advanced Econometrics

Faculty

Professor Ralf A. Wilke, Department of Economics, CBS


Course Coordinator
Professor Ralf A. Wilke

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
Aim of the Course and Learning Objectives
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 partly R sample code is made available. Students will be offered the opportunity to deepen their understanding of the material during a number of computer classes. 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 (STATA)
• Quantile Regression (STATA&R)
• Resampling techniques (STATA&R)

Cross Section Econometrics:
• Limited Dependent Variable models (Multiple Valued Discrete Responses, Continuous Dependent Variables) (STATA)
• Policy Analysis (Regression Based, IPW, Matching, Synthetic Control) (STATA&R)
• Decomposition Methods (Mean, Distribution) (STATA)
• Duration Models (Single and Competing Risks) (STATA&R)

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.

Lecture plan
The course will run on 7 days in the Spring Semester 2018 with 6 hours per day. The first 6 days consists of 4 hours lectures and 2 hours computer sessions, which makes 36 hours. The remaining 6 hours are reserved for student presentations on the last day of the course. In the case of more than 12 participants, an additional contact hour is added per every 2 additional participants.

Course schedule

Tuesday 29 January 2019: 9.00-12.00 and 13.00-16.00

Wednesday 30 January 2019: 9.00-12.00 and 13.00-16.00

Thursday 31 January 2019: 9.00-12.00 and 13.00-16.00

Tuesday 5 February 2019: 9.00-12.00 and 13.00-16.00

Wednesday 6 February 2019: 9.00-12.00 and 13.00-16.00

Thursday 7 February 2019: 9.00-12.00 and 13.00-16.00

Thursday 28 February 2019: 9.00-12.00 and 13.00-16.00

If the course has more than 12 participants, additional slots for student presentations will be added. The number of additional slots will depend on the number of participants:

Thursday 28 February 2019: 16.00-17.00

Friday 1 March 2019: 9.00-12.00 (only if more than 14 participants)
CBS participants will be assigned to the additional slots. To simplify travel arrangements, the external participants can expect that their presentation will not be in one of the additional slots.

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-step scale


Other

Start date
29/01/2019

End date
01/03/2019

Level
PhD

ECTS
7.5

Language
English

Course Literature
This is indicative:Lecture NotesJeffrey 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 - EUR 1,315 (including exchange fee)

Minimum number of participants
6

Maximum number of participants
18

Location
Copenhagen Business School
Department of Economics
Porcelænshaven 16 A - Room PH2.80
Fredriksberg

Contact information

PhD Support

Anja Knudsen

ak.research@cbs.dk 


Registration deadline
10/12/2018

The registration is binding after the registration deadline
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