AU kursuskatalog arkiv

3620: Econometrics I ( efterår 2011 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: Elective BSc and MSc course (old course code 7020)
• Semester/kvarter: Autumn 2011  
• Timer per uge: On average: 4 lectures, 1 tutorial in 12 weeks, in total 42 lectures and 12 hours of tutorials (= 48 lecture equivalents). Timetables can be found at: http://econ.au.dk/studies/teaching-and-examination/teaching/timetables/
• Deltagerbegrænsning: None  
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 28648

Formål

 The objectives are that the participants can
• Formulate and analyze non-linear regression models
• Apply likelihood based estimation
• Conduct hypothesis testing in both linear and non-linear models
• Identify the need for instrumental variables estimation methods and apply the IV estimator
• Describe and estimate panel data models
• Identify and estimate stationary time series models
• Understand the difference between deterministic and stochastic trends and test for unit roots
• Analyze dynamic time series models and test for cointegration
• Formulate and estimate vector autoregressive models
• Conduct forecasting

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:
• Non-linear regression
• Maximum likelihood estimation
• Hypothesis testing
• Instrumental variables estimation
• Panel data models
• Models for stationary and non-stationary time series
• Dynamic models
• Vector autoregressive models
• Forecasting

Faglige forudsætninger

2620: Regression Analysis

2630: Analysis of Qualitative data

Underviser

Thomas Quistgaard

Undervisnings- og arbejdsform

The lectures will cover various theoretical topics as well as empirical illustrations. The software package Eviews will be used extensively in the lectures throughout the course.

Litteratur

• Jeffrey M. Wooldridge (2009): Introductory Econometrics - A Modern Approach, South-Western, 4th edition, chap. 10.5, 11.1, 11.3, 13-15, 18.2-5, App. C-E. Approx. 200 pages.

• Lecture notes and additional material. Approx. 100 pages.

• In total: Approx. 300 pages.

Bedømmelse

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).

Re-examinations can have another form than the ordinary examination described above. Acc. the executive order on examinations § 18, section 4, § 4, section. 1 and § 6. If another form of examinatio is to be used, it must be announced by no later than 10 August/10 February, and no later than 10 days before the re-examination.