Advanced Econometrics I
Teacher(s)Charles Bos, Nick Koning
DatesPeriod 2 - Oct 25, 2021 to Dec 17, 2021
Advanced Econometrics I covers the background Econometric Theory and a set of Micro-econometric models.
The course is built up around the book of Cameron & Trivedi, 2005. The first four lectures discuss ordinary least squares and related methods, maximum likelihood, hypothesis and specification testing. An intermezzo on Bayesian modelling is followed by a discussion of some first micro-econometric models, like models for binary and multinomial outcomes. Theoretical exercises are discussed throughout this course. Concepts are illustrated by means of simulations and empirical applications. In class, the Python programming environment is used, though students are free to choose their own programming language.
The theory and practice of this first part of the Advanced Econometrics trilogy will set the stage for expanding towards theory of GMM, Panel and IV, and further micro/macro econometric models in Advanced Econometrics II.
C. Cameron and P. Trivedi (2005). Microeconometrics: Methods and Applications, Cambridge University Press. B. E. Hansen (2017). Econometrics
B. E. Hansen (2019). Econometrics
R. Davidson and J.G. MacKinnon (2004). Econometric Theory and Methods, Oxford University Press