Advanced Econometrics I

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.