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Advanced Econometrics I

  • Teacher(s)
    Charles Bos, Nick Koning
  • Research field
  • Dates
    Period 2 - Oct 30, 2023 to Dec 22, 2023
  • Course type
  • Program year
  • Credits

Course description

Advanced Econometrics I covers the background Econometric Theory and a set of Micro-econometric models.

The course is built up around the book of Cameron & Trivedi, 2005. The first four lectures discuss ordinary least squares and related methods, maximum likelihood, hypothesis and specification testing. An intermezzo on Bayesian modelling is followed by a discussion of some first micro-econometric models, like models for binary and multinomial outcomes. 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 programming language.

The theory and practice of this first part of the Advanced Econometrics trilogy will set the stage for expanding towards theory of GMM, Panel and IV, and further micro/macro econometric models in Advanced Econometrics II.


Students taking the advanced econometrics I course sequence need to have a thorough background in econometrics (having completed at least a BA in econometrics with grades 7 or up).

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 (2022). Econometrics

R. Davidson and J.G. MacKinnon (2004). Econometric Theory and Methods, Oxford University Press