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6652: Advanced Econometrics ( efterår 2011 - 10 ECTS )

Rammer for udbud

  • Uddannelsessprog: engelsk
  • Niveau: Elective MSc, IMSQE and PhD course (2952)
  • Semester/kvarter: Autumn 2011  
  • Timer per uge: 4 (2+2) lectures weekly for 10 weeks. Timetables can be found at: http://econ.au.dk/studies/teaching-and-examination/teaching/timetables/
  • Deltagerbegrænsning:
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 28680

Formål

 

LEARNING OBJECTIVES:

After successful completing the course, the participants can

  • explain the probability model
  • apply modes of convergence
  • analyse problems using LLN and CLT
  • theorize on consistency of extremum estimators
  • theorize on asymptotic normality of extremum estimators
  • analyse efficiency of estimators
  • theorize on properties of classical tests
  • analyse indirect inference, simulation methods and non-parametric estimation
  • apply Monte Carlo studies to investigate precision of asymptotic theory

 

Indhold

 

COURSE DESCRIPTION:

The course focuses on derivation of asymptotic theory for extremum estimators and tests. The class of extremum estimators includes maximum likelihood, GMM, non-linear least squares estimators, simulated ML, simulated MM and indirect inference (EMM) estimators. To derive the asymptotic theory, a foundation in probability theory is provided. In addition, the precision of the asymptotic theory is evaluated by Monte Carlo techniques.

 

 

COURSE SUBJECT AREAS:

The main part of the course covers asymptotic theory. Different applications will be considered.

 

Asymptotic theory

  • Modes of convergence
  • Laws of large numbers
  • Uniform laws of large numbers
  • Central limit theorems
  • Consistency of extremum estimators
  • Asymptotic normality of extremum estimators
  • Efficiency of ML and GMM estimators
  • Level and powers of classical tests

 

Possible applications of the asymptotic theory

  • Empirical likelihood estimators, entropy estimators and estimation functions
  • Simulation estimators
  • Indirect inference and efficient method of moments
  • Bootstrap
  • Non- and semi-parametric estimation

 

 

 

Faglige forudsætninger

PREREQUISITES: 4630: Microeconometrics or 4616: Time series econometrics.

 

Underviser

 

LECTURER: Henning Bunzel, Robinson Kruse and Allan Würtz

 

Undervisnings- og arbejdsform

TEACHING METHOD: 4 lectures weekly for 10 weeks. There will be homework to practice the various inference methods including computer exercises.

 

 

 

Litteratur

 

LITERATURE:

The asymptotic theory is covered by the following:

Newey and McFadden: "Large sample estimation and hypothesis testing". In Handbook of Econometrics vol. IV, 1994.

White: Asymptotic Theory for econometricians. Academic Press, 1999. Chapters 2, 3, 4, 5.

A selection of articles relevant for the choices of applications of the asymptotic theory.

 

 

Bedømmelse

  • Hj.opg., bedømt efter 7-skala med intern censur
    • 5 xxxxx
  • Undervisningsdeltagelse, bedømt efter Bestået/ikke bestået med ingen censur
    • 5 xxxxx

 

FORM OF ASSESSMENT: The assessment is based on points collected from home-work assignments and from the take-home exam.

 

EXAMINATION AIDS ALLOWED: All - except any means of electronic communication including calculators, mobile phones and PC's.