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Module (6 Credits)

Recent Developments in Econometrics

Name in diploma supplement
Recent Developments in Econometrics
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • acquire broad skills regarding advanced econometric techniques
  • know how to apply these to tackle questions in empirical economics
  • understand the formal properties of key econometric techniques and are able to derive these mathematically
  • suitably translate economic problems into an econometric model and select adequate econometric and statistical techniques as well as appropriate data
  • critically assess empirical results
  • independently solve applied problems using appropriate statistical software
  • independently tackle formal as well as applied exercises
Relevance

The module is practically relevant, as answering a large fraction of economic questions at least partially requires the use of modern econometric techniques as well as skills as to how to use and implement these on a computer. Moreover, knowledge of the formal properties of core econometric techniques enables students to independently understand and select from further methods later on in their careers.

Module Exam

Zum Modul erfolgt eine modulbezogene Prüfung in der Gestalt einer Klausur (in der Regel: 60-90 Minuten) oder einer mündlichen Prüfung (in der Regel: 20-40 Minuten). Die konkrete Prüfungsform (Klausur versus mündliche Prüfung) wird in der ersten Vorlesungswoche von der zuständigen Dozentin oder dem zuständigen Dozenten festgelegt.

Examination in this module is by way of a written exam (typically 60-90 minutes) or an oral exam (typically 20-40 minutes). The specific type of examination (written or oral) will be communicated in the first class.

Usage in different degree programs
  • BWL EaFWahlpflichtbereich1st-3rd Sem, Elective
  • ECMXPflichtbereich1st Sem, Compulsory
  • GOEMIKWahlpflichtbereich Bereich Volkswirtschaftslehre1st-3rd Sem, Elective
  • VWLWahlpflichtbereich I1st-3rd Sem, Elective
  • WiMatheVWL-M I 1st-3rd Sem, Elective
  • WiMatheVWL-M II1st-3rd Sem, Elective
Elements
Name in diploma supplement
Recent Developments in Econometrics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
winter semester
Participants at most
no limit
Preliminary knowledge

Basic knowledge of econometric methods as, for example, taught in the module "Methoden der Ökonometrie" as well as good knowledge of mathematical statistics (e.g., distributions) and mathematics (e.g., matrices). Some recap will be offered as needed.

Abstract

The goal of the course is to provide students with broad knowledge regarding core as well as more recent econometric methods, with a particular focus on their formal properties.

Contents

Topics such as

  • econometric methods:
    • estimating causal effects
    • asymptotics
    • heteroskedasticity
    • simultaneous equations (3SLS, SUR etc.)
    • GMM
    • IV
    • panel data
  • empirical processes (only offered irregularly when the above core topics are offered and covered elsewhere):
    • asymptotics:
      • Review of modes of convergence
      • Weak, Strong, general Law of Large Numbers, Law of Iterated Logarithm
      • Ergodic Theorem, Delta Method
      • Central Limit Theorems, regular and functional
      • Transformations: variance stabilization and symmetrization
    • empirical processes:
      • Weak convergence, outer integrals, measurability
      • Maximal inequalities, covering numbers
      • Symmetrization
      • Donsker Theorem, Vapnik Cervonenkis classes, invariance principle
      • Hadamard differentiability
      • Bootstrap, Delta method for the bootstrap
      • Semiparametric methods
  • nonparametric econometrics (only offered irregularly when the above core topics are offered and covered elsewhere):
    • Univariate density estimation
    • Inference about the density
    • Nonparametric regression
    • Regression with discrete covariates
    • Uniform Central Limit Theorems for Nonparametric Statistics
Literature
  • DasGupta, A. (2008). Asymptotic Theory of Statistics and Probability, Springer
  • Hayashi, F. (2000). Econometrics. Princeton [u.a.]: Princeton Univ.
  • Kosorok, M. (2008). Introduction to Empirical Processes and Semiparametric Inference, Springer
  • Pagan, R., Ullah, A., (2008). Nonparametric Econometrics: Theory and Parctice. Cambridge Univ. Press
  • Serfling, R., (1982). Approximation Theorems of Mathematical Statistics. Wiley and Sons
  • Shorak, G., Wellner, J., (1986). Empirical Processes with Applications to Statistics, Wiley and Sons
  • van der Vaart, A., Wellner, J. (1996). Weak Convergence and Empirical Processes, Springer
  • van der Vaart, A.,  (1998). Asymptotic Statistics. Cambridge Univ. Press
  • Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data (2. Aufl.). Cambridge, Mass. [u.a.]: MIT Press
    Teaching concept

    Lectures with the intention of jointly discussing and developing as much of the material as possible. Additionally, joint programming in R as well as other tutorials.

    Participants
    Lecture: Recent Developments in Econometrics (WIWI‑C0465)
    Name in diploma supplement
    Recent Developments in Econometrics
    Organisational Unit
    Lecturers
    SPW
    2
    Language
    English
    Cycle
    winter semester
    Participants at most
    no limit
    Preliminary knowledge

    see lecture

    Contents

    see lecture

    Literature

    see lecture

    Participants
    Exercise: Recent Developments in Econometrics (WIWI‑C1130)
    Module: Recent Developments in Econometrics (WIWI‑M0163)