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Intermediate Econometrics

The teaching for this course will begin on October 14, 2024.

As specified below, the course is compulsory for students writing the exam for 6 ECTS points (Master VWL) starting with week 5 (November 11, 2024).

Registration for the Lecture Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.
Registration for the Exam

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office.
ILIAS In ILIAS, the course can be accessed without a password until October 21, 2024, 08:59 a.m. Starting with October 21, 2024, 9:00 a.m., a password will be required in order to access the course material as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on October 21, 2024 at 9:00 a.m.
Instructors
Language
English
Lectures
  • Mondays from 12:00 to 14:00, HS 1098 (KG I)
  • Tuesdays from 12:00 to 14:00, HS 1199 (KG I)
Exercise Sessions
  • Tuesdays from 16:30 to 18:00, HS 3042 (KG III)
  • Wednesdays from 14:30 to 16:00, HS 1015 (KG I)
  • Wednesdays from 16:30 to 18:00, HS 3042 (KG III)
Additional Tutorial

The additional tutorial takes place on Friday from 8:30 to 10:00 in R3 Peterhof, starting in the second week of the semester on October 25, 2024.

It is intented for students who have questions about the material covered in the lecture, especially for students who did not have a proper introduction to econometrics in their Bachelor studies or who have a hard time following the lecture(r). No new material (not yet covered in lectures and exercise sessions) will be presented / discussed! It takes place as a Q&A session. You can also participate online through BBB in ILIAS. Please let the instructor in advance know if you need a BBB appointment.
Credits
  • 10 ECTS (M.Sc. in Economics)
  • 6 ECTS (M.Sc. VWL, M.Sc. BWL)
Work Load
  • Approx. 300 hours (10 ECTS)
  • Approx. 180 hours (6 ECTS)
Requirements
Knowledge of mathematics, statistics, probability theory and inference and hypotheses testing (as taught in any standard bachelor program in economics).
Qualification Target
This course aims at providing students with the basic tools in undergoing empirical research on their own. Upon successful completion of this course, students should be acquainted with the fundamentals of regression analysis and with its strengths and limitations. Moreover, they should be able to apply econometric tools and software to real economic problems and to thoroughly understand and critically interpret empirical findings.
Contents

The course covers the fundamentals of multiple linear regression analysis applied to cross sectional and time series data with emphasis on both theoretical foundations and empirical applications. The course also covers some selected topics in advanced econometrics.
Besides lectures, the course entails exercise sessions, where both theoretical and computer exercises are solved. While the theoretical exercises aim at understanding and deepening the theoretical concepts, the computer exercises aim at providing students with practical skills in undergoing empirical work by using R.
The first part of the course including both lectures and exercise sessions (first 4 weeks) consists of a review of the methods taught in the statistics and econometrics courses in the Bachelor of Science in Volkswirtschaftslehre (Economics) including the bivariate regression analysis. This part is mandatory for the 10 ECTS students, but not for the 6 ECTS students. In the second part (starting with week 5 until the end of the semester), advanced topics, such as: functional forms, heteroskedasticity, instrumental variables, asymptotic theory of OLS and quantal response models, will be covered. This part is compulsory for both students writing the exam for 10 ECTS points (Master in Economics) and students writing the 6 ECTS points (Master VWL).
The 6 ECTS students may visit the course also in the first 4 weeks in order to refresh their pre-requisite knowledge. However, it is required that they visit the first lecture, where organizational issues of the course throughout the semester are presented.
Main References Introductory Literature
  • Wooldridge, J. M. (2019): Introductory Econometrics – A Modern Approach, 7th ed., South Western, Cengage Learning. Please note that old book editions are acceptable as well.
  • Greene, W. H. (2020): Econometric Analysis, 8th ed., Pearson Prentice Hall. Other book editions are acceptable as well. eBook

Additional Literature
  • Stock J. H. and M. W. Watson (2019): Introduction to Econometrics, updated 4th ed., global ed., Pearson. Old book editions are acceptable as well.
  • Angrist J. D. and Pischke J. S. (2009): Mostly Harmless Econometrics – An Empiricist’s Companion, Princeton University Press. eBook
  • Angrist J. D. and Pischke J. S. (2014): Mastering Metrics: The Path from Cause to Effect, Princeton University Press.
  • Heiss F. (2016): Using R for Introductory Econometrics. online version
  • Kleiber C. and Zeileis A. (2008): Applied Econometrics with R, Springer. eBook
  • Hansen B. (2022): Econometrics, Princeton University Press.
  • Hansen B. (2022): Probability and Statistics for Economists, Princeton University Press.
  • Hanck C., Arnold M., Gerber A. and Schmelzer M. (2020), Introduction to Econometrics with R. online version

VPN access is required for the eBooks.

Further references will be given throughout the course.
Exam
  • Date and starting time: 11.02.2025, 12 p.m.
    -   6 ECTS   (90 minutes): tba
    - 10 ECTS (120 minutes): tba
  • A separate registration is mandatory for the exam! Period for registration and deregistration: 16.12.2024 - 16.01.2025
  • Please find further details on the examination office's homepage.
  • The material discussed in the lectures and tutorials is relevant for the exam.
  • In the exam you may use the "Formulas and Tables for Econometrics", which are handed out to you by us at the exam. You may also use a non-programmable calculator and a hardcopy of a German-English dictionary book.
Retake Exam
  • Date and starting time: tba
    -  6 ECTS   (90 minutes): tba
    -  10 ECTS (120 minutes): tba
  • A separate registration is mandatory for the exam! Period for registration and deregistration: tba
  • Please find further details on the examination office's homepage.
  • The material discussed in the lectures and tutorials is relevant for the exam.
  • In the exam you may use the "Formulas and Tables for Econometrics", which are handed out to you by us at the exam. You may also use a non-programmable calculator and a hardcopy of a German-English dictionary book.
Grading
100% final exam
Target Group The course is a compulsory 10 ECTS course in the first year of the Master in Economics and a compulsory 6 ECTS course in the first year of the M.Sc. VWL. It can be chosen as an elective 6 ECTS course in the M.Sc. BWL (Quantitative Methoden).