Advanced Econometrics

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1. Target group and prerequisite courses

The course is designed for students at MSc and PhD level with an interest in applied quantitative research. The course also provides a background for evaluating work done by other researchers. Besides lectures on various econometric techniques, students learn when and how to apply these techniques during intensive practical sessions. Subjects that are covered include: linear regression models; misspecification; heteroskedasticity and autocorrelation; endogeneity, instrumental variables and Generalised Method of Moments; Maximum Likelihood estimation and specification tests; multiple equation models; models with limited dependent variables; univariate time series models; multivariate time series models; models for analysing panel data. The course fulfils the basic requirements for the PhD Network of General Economics (NAKE).

It is required that students have knowledge of basic elements of econometrics (Econometrics, AEP-21306 or equivalent).

2. Aims of the course

- to understand the major topics in econometric theory

- to be aware of and be able to use different econometric estimation approaches

- to develop the ability to select and use appropriate econometric techniques with different data and model structures

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