Seminar für empirische Wirtschaftsforschung (Prof. Winter)
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Inhaltsbereich

MQE: Econometrics - Advanced Methods

Lecturer

Prof. Dr. Derya Uysal 

Target Audience

MQE and MGSE students

Schedule

Lecture

Thursday, 8-12, Geschw.-Scholl-Pl. 1 (F) - F 007

The lecture starts on 09.01.2020.

Tutorial

Tuesday 8-12, CIP-Pool III (Ludwigstr. 28, RG)

The tutorial starts on 14.01.2020

Description

The objective of the course is to help students understand several important advanced techniques in econometrics
and utilize them in empirical research and practical applications. Emphasis of the course will be
placed on understanding the essentials underlying the core techniques, and developing the ability to relate
the methods to important issues faced by a practitioner.

Tentative Outline

1. Introduction

2. Maximum Likelihood & Pseudo ML

3. MM and GMM

4. IV

5. Simulation-based methods

6. Non-/semi-parametric estimation

7. Machine Learning Basics, Lasso and Ridge Regression

Grading

There will be a written final exam on 27.02.2020, 10:00-12:00; Geschw.-Scholl-Pl. 1 (A) - A 021

Literature

Cameron, A.C. and Trivedi, P.K. (2005), Microeconometrics. Cambridge: Cambridge Univ. Press

Wooldridge, J.M. (2010), Econometric analysis of cross section and panel data. 2nd ed., Cambridge, Mass: MIT Press

Hansen, B.E. (2019): Econometrics, current manuscript, www.ssc.wisc.edu/~bhansen/econometrics.

Hastie, T., Tibshirani, R., and Friedman, J. (2009): The Elements of Statistical Learning, Springer.