Uppgifter om studieperioden

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ECOM-R315 Advanced Econometrics 2, 5 sp 
Kod ECOM-R315  Giltighet 01.01.2017 -
Namn Advanced Econometrics 2  Förkortning Adv Econom 2 
Omfattning5 sp   
UndervisningsformFördjupade studier
Klass/KategoriStudieperiod   
  BedömningAllmän skala 
  nej
    Kan genomföras flera gångernej
Ansvarig enhet Magisterprogrammet i ekonomi 

Lärare
Namn
Mika Meitz 

Beskrivning
Målgrupp 

Master’s Programme in Economics (Research Track). Open also to doctoral students in economics.

 
Timing 

First autumn term, annually in the second period

 
Kunskapsmål 

After the course, the student should know the properties of the estimators introduced and be able to apply them and the related inferential procedures in empirical work. The course should also give a solid foundation for the study of more specialised microeconometric and time series methods.

 
Studieavsnittets form 

The course consists of lectures (24 hours) and exercise sessions (8 hours), where solutions to the homework assignments are discussed. The lectures and exercise sessions are not mandatory. The course is completed by (i) a written final exam and (ii) homework assignments. The homework assignments consist of both analytical and empirical exercises.

 
Tidigare studier eller kunskaper 

Advanced Econometrics 1

 
Rekommenderade valfria studier 

Knowledge of R (or some other matrix programming language) is useful.

 
Innehåll 

This course moves beyond the standard linear regression model and conventional least squares estimation. Important econometric estimation principles, such as generalized method of moments and maximum likelihood estimation, are covered and the related statistical inference procedures discussed. Basic concepts of simulation-based methods are also introduced. Specifically, the topics covered in the course include

  • Generalized method of moments estimation (basic concepts, asymptotic estimation theory, statistical inference)
  • Maximum likelihood estimation (basic concepts, asymptotic estimation theory, statistical inference)
  • Simulation methods (Monte Carlo simulations, Bootstrap)
 
Studiematerial och litteratur 

Lecture slides and other material assigned by the lecturer

 
Aktiviteter och undervisningsmetoder som stöder lärandet 

All material related to the course is delivered through the Moodle area of the course, which also contains a discussion forum where students can discuss issues related to the course with each other and the teacher.

 
Bedömningsmetoder och kriterier 

The grade on a scale from 0 (fail) to 5 is based on the points earned in the final exam (70%) and in the homework assignments (30%).

 


Pågående och framtida undervisning
Funktioner Namn Typ sp Lärare Tid
anmälningstiden avslutad Advanced Econometrics 2  Föreläsningskurs  Mika Meitz  29.10.20 -05.03.21

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