Advanced Econometrics I
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Teacher(s)Charles Bos, Nick Koning
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Research fieldEconometrics
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DatesPeriod 2 - Oct 26, 2020 to Dec 18, 2020
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Course typeCore
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Program yearFirst
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Credits4
Course description
The course is built up around the book of Cameron & Trivedi, with references to the material of Hansen. The first four lectures discuss ordinary least squares and related methods, maximum likelihood, hypothesis and specification testing. They are followed by a discussion of the main micro-econometric models, including models for binary and multinomial outcomes, tobit and selection models, and finally models for duration data. Theoretical exercises are discussed throughout this course. Concepts are illustrated by means of simulations and empirical applications. In class, the Python programming environment is used, though students are free to choose their own.
Prerequisites
Course literature
Primary reading
C. Cameron and P. Trivedi (2005). Microeconometrics: Methods and Applications, Cambridge University Press. B. E. Hansen (2017). Econometrics
Further reading
B. E. Hansen (2019). Econometrics
R. Davidson and J.G. MacKinnon (2004). Econometric Theory and Methods, Oxford University Press