3620: Econometrics ( efterår 2010 - 10 ECTS )
Rammer for udbud
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Uddannelsessprog:
engelsk
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Niveau:
COURSE LEVEL: Optional BSc and MSc course
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Semester/kvarter:
SEMESTER FOR WHICH THE COURSE DESCRIPTION APPLIES: Fall 2010
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Timer per uge:
NUMBER OF HOURS PER WEEK: On average: 4 lectures, 1 tutorial in 12 weeks, in total 42 lectures and 12 hours of tutorials (= 48 lecture equivalents)
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Deltagerbegrænsning:
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Undervisningssted:
Århus
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Hovedområde:
Det Samfundsvidenskabelige Fakultet
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Udbud ID:
23444
Formål
LEARNING OBJECTIVES:
The objectives are that the participants can
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Formulate and analyze non-linear regression models and characterize the nonlinear least square estimator and it sample properties.
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Apply likelihood based estimation/inference theory and estimation/inference by general method of moments.
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Identify the need for instrumental variables estimation methods and analyse the sample properties of IV estimators.
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Formulate and analyze limited dependent variable models and apply statistical inference.
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Analyse stationary time series models.
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Describe and apply multiple equation models
Indhold
COURSE DESCRIPTION:
The course extends and advances the tools necessary for conducting more sophisticated econometric analyses both with respect to econometric analysis of time series and cross section data.
COURSE SUBJECT AREAS:
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Introduction/brush up.
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Non-linear regression.
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General method of moments.
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Instrumental variables estimation.
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Limited dependent variable models.
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Stationary time series.
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Trends and seasonality.
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Multiple equation models
Faglige forudsætninger
Underviser
LECTURER: Thomas Quistgaard.
Asger Lunde will handle the first two weeks' introduction to OX-programming.
Undervisnings- og arbejdsform
TEACHING METHOD: The lectures will cover various theoretical topics as well as empirical illustrations. The software package OxMetrics/PcGive/Ox will be used extensively in the lectures throughout the course. In the beginning of the course there will be given an introduction to Ox programming.
TEACHING LANGUAGE: English
Litteratur
LITERATURE:
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Heij, C., de Boer, P., Frances, P. H., Kloek, T, og H. K. van Dijk (2004): Econometric Methods with Applications in Business and Economics, Oxford University Press, 1st edition, chap. 4.2+ 4.4, 5.7, 6.2-6.3, 7.1 - 7.3, 7.7. Approx. 300 pages. Chapter 6.1 is supplementary reading.
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Notes. Approx. 50 pages
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In total approximately: 350 pages.
Studieordning og bedømmelse
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Hj.opg. + Mdt., bedømt efter 7-skala med intern censur
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Hj.opg. + Mdt., bedømt efter 7-skala med intern censur
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Hj.opg. + Mdt., bedømt efter 7-skala med intern censur
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Hj.opg. + Mdt., bedømt efter 7-skala med intern censur
FORM OF ASSESSMENT:
Take-home exam (with a duration of 1 week) followed by an oral examination (20 minutes)
EXAMINATION AIDS ALLOWED: All (for the take-home exam), none (for the oral
exam).
