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Advanced Topics in Econometrics

Update 21.03.2022:

  • The review of the exam will take place on Tuesday 26.04.2021, 12 - 13 pm. Prior registration on ILIAS is necessary. For further questions you may contact


Due to the corona pandemic, the teaching of this course for the Winter Semester 2021/22 will be offered exclusively in digital form, i.e. the lectures and the exercise sessions will be recorded and uploaded on ILIAS. All information about the online teaching, videos and materials for this class will be available on ILIAS exclusively.


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.


In ILIAS, the course can be accessed without a password until October 25, 2021, 08:59 am. Starting with October 25, 2021, 9:00 am, a password will be required in order to access the course material, the recorded videos of lectures and exercises sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on October 25, 2021 at 9:00 am.

Exercise Sessions

The exercise sessions consist mostly of theoretical, but also some computer sessions.



Live Online Q&A Sessions

Throughout the semester, we will offer Live Online Q&A Sessions on the dates stated below. You can freely enter and ask questions about the material covered in the lectures/exercise sessions. The Q&A Live Sessions take place in BigBlueButton (BBB). The link and the password to the BBB platform will be announced on Ilias.

Day Time     Lecturer/Instructor  
09.11.2021 09:00-10:00 Christian Mücher
25.11.2021 10:00-11:00 Roxana Halbleib
09.12.2021 10:00-11:00 Roxana Halbleib
14.12.2021 09:00-10:00 Christian Mücher
11.01.2022 09:00-10:00 Christian Mücher
20.01.2022 09:30-10:30 Roxana Halbleib
01.02.2022 09:00-10:00 Christian Mücher
09.02.2022 09:00-10:00 Roxana Halbleib



Statistics, Mathematics, Econometrics (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, Monte Carlo simulations, bootstrapping, 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. (2021): Econometrics, current manuscript
  • Hansen, B. (2021): Probability and Statistics for Economists, current manuscript 
  • Hayashi, F. (2000): Econometrics, Princeton University Press.
    Available at the Library of the Economics Department: Frei 10:S10/1357.
  • Mittelhammer, R. C., G. G. Judge, and D. J. Miller (2000): Econometric Foundations, Cambridge University Press.
  • Final written exam (90 minutes): Tuesday, March 8, 2022, 12pm
  • Online as open book
  • Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually.

Retake Exam
  • Date and starting time: Tuesday, August 16, 2022, 10am, HS 1221
  • A seperate registration is mandatory for the exam! Period for registration and deregistration: June 13, 2022 until July 13, 2022
  • Please find further details on the examination office's homepage.
  • The material discussed in the lectures and tutorials is relevant for the exam.
  • The exam will be in presence. In the exam you are allowed to take with you a non-programmable pocket calculator and a hardcopy of a German-English dictionary book.
  • However, if it becomes necessary due to the Corona pandemic, we will decide in time that the exam will take place online as open book. Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually.

100% final exam

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.