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Advanced Topics in Econometrics

Due to the corona pandemic, the teaching of this course for the Winter Semester 2020/21 will begin on November 2, 2020 and it will be offered exclusively in digital form, i.e. the lectures and the exercise sessions will be recorded and uploaded on ILIAS.


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, 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.


In ILIAS, the course can be accessed without a password until November 9, 2020, 08:59 am. Starting with November 9, 2020, 9:00 am, a password will be required in order to access the course material, the recorded videos of lectures and exercise sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on November 9, 2020 at 9:00 am.



Exercise Sessions

The exercise sessions include theoretical and computer sessions. The computer sessions are offered in exchange with the theoretical exercise sessions.




Statistics, Mathematics, Econometrics (at the level of Intermediate Econometrics)

Qualification Target

This course aims at endowing students with advanced knowledge in econometric techniques necessary for sound empirical analyses.


The course builds up on the course Intermediate Econometrics and provides deeper knowledge on econometric fundamental concepts and on the econometric techniques related to non-linear modelling and estimation (such as maximum likelihood, generalized method of moments, non-parametric techniques, Monte Carlo simulations, bootstrapping, Kalman filter, etc.). Thus, the course provides students with the necessary theoretical background in undergoing elaborate empirical research in economics, but also in other fields. The exercise sessions cover theoretical exercises and empirical applications by using the programming language Python.

Main References
  • Cameron A. C. and P. K Trivedi (2005): Microeconometrics Methods and Applications, Cambridge University Press.
  • Gourieroux, C. and A. Monfort (1995): Statistics and Econometric Models, Vol. 1 and 2, Cambridge University Press.
  • Hamilton (1994): Time Series Analysis. Princeton University Press.
  • Hansen, B. (2015): Econometrics, current manuscript
  • Hayashi, F. (2000): Econometrics, Princeton University Press.
  • Mittelhammer, R. C., G. G. Judge, and D. J. Miller (2000): Econometric Foundations, Cambridge University Press.
  • Due to the Corona pandemic, the exam on 26 March 2021 will take place online.
  • The retake on 29 July 2021 at 10am will be in person and not online. In the exam you are allowed to take with you a non-programmable pocket calculator and a hardcopy of a German-English dictionary book. It takes place in HS 3044, KG III.


100% final exam (90 minutes)

Target Group

The course can be chosen as an elective 6 ECTS course in:

  • M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik)
  • M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
  • M.Sc in Economics.