Advanced Econometrics: Selected Topics

- in Kooperation mit dem Kompetenzzentrum für empirische Forschungsmethoden -
 

This course covers selected methods for the analysis of economic data using econometric  methods, complementing  and  extending  the  subjects  dealt  with  in  the  basic  workshop  on  “selected  quantitative methods in empirical statistics”. It is structured into three parts. The first part reviews the basic multiple linear regression model (assumptions, properties and interpretation of ordinary least squares (OLS)) and discusses the implications of misspecification, measurement error and outlying observations. The second part covers methods  to  deal  with heteroskedasticity  (robust  standard  errors,  weighted  least  squares  (WLS))  and endogeneity (two-stage least squares (2SLS)). The third part deals with the econometric analysis of panel data and limited dependent variable (LIMDEP) models.

Target Group

This course is directed at academic staff who is in the early stage of a quantitative, empirically oriented research project and who already commands basic knowledge and experiences in the area of the econometrics and statistics. On one hand the course should widen and deepen this knowledge and, on the other hand, open the possibility to discuss specific questions from the participants’ own research projects.


Learning Outcomes

After having taken the course, students

• should be able to understand (many) empirical studies published in scientific journals,
• should be able to carry out advanced econometric studies by themselves,
• should have widened and deepened their econometric knowledge such that they are better equiped to pursue selected topics further on their own.

Content

• Review, misspecification
• Heteroskedasticity, robust standard errors, GLS estimation
• Endogeneity, IV and 2SLS estimation
• Panel data models (pooled cross-sections, random- and fixed effects models)
• LIMDEP models (binary response models, sample selection)

• a basic knowledge of mathematics, probability, and statistics (level: Wooldridge, 2009, App. A-C),
• a basic knowledge of matrix algebra (level: Wooldridge, 2009, App. D)
• knowledge of the basis multiple linear regression (MLR) model and ordinary least squares (OLS)
• estimation (level: Wooldridge (2009, chapters 1-7, excluding misspecification)
• basic knowledge of the MLR model in matrix language (Wooldridge, 2009, App. E).

 Teaching Methods

Lectures (theory, discussion of selected applications), PC classroom exercises (implementation), using EViews and/or Stata.


Basic Literature

Wooldridge, J. (2013). Introductory Econometrics, 5th edition, Mason, Ohio: South-Western.


Further Literature (basic/intermediate)

Baltagi, B. (2008). Econometrics. New York: Springer.
Gujarati, D.N., Porter, D.C. (2009). Basic Econometrics. New York: McGraw Hill.
Stock, J.H. and Watson, M.W (2012). Introduction to Econometrics. Harlow: Pearson Education. Gujarati, D.N., (2011). Econometrics by Example. Basingstroke: Palgrave.

Further Literature (more advanced)
Baltagi, B. (2008). Econometric Analysis of Panel Data, Chichester: Wiley & Sons.
Davidson, R. and MacKinnon, J.G. (2004). Econometric Theory and Methods. New York: Oxford University
Press.
Greene, W. (2011). Econometric analysis, 7th ed., U.S. River, N.J.: Prentice Hall. Hayashi, F. (2000). Econometrics. Princeton: Princeton University Press.
Wooldrige, J. (2010). Econometric Analysis of Cross Section and Panel Data, 2nd ed. Cambrige, Mass.: MIT Press.


Location, Date and Time

Thursday, 18 June 2015, 9.00 am - 5.00 pm
Friday, 19 June 2015, 9.00 am - 5.00 pm

All registered participants will be informed of the location by email one week before the event.

Fees and Registration

This workshop is open to a limited number of participants. The registration deadline is 4 June 2015.

Please note that you should notify us before the registration deadline if you are unable to attend the workshop. Otherwise the full fee will be charged.
Please let the Personnel Development and Planning Office know if you will not be attending. There are often waiting lists for the workshops, and this will give one of your colleagues the chance to attend. In addition, if we can fill the vacancy with someone from the waiting list, no cancellation charges will apply for you.

To sign up for this workshop, please click "Register" at the bottom of this page. For any further information please contact Elke Rittersbacher (elke.rittersbacher@wu.ac.at, DW 4448).

The course fee is €40.

Harald Badinger Harald Badinger, born in 1974, is Full Professor of International Economics at the Department of Economics of the Vienna University of Economics and Business Administration (WU Vienna), where he also earned his doctorate degree in economics in 2001. In 2009 and until February 2010, he worked for the Oesterreichische Nationalbank at the Economic Studies Division. In 2007 and 2008, he was employed as research fellow at the Center for Economic Studies (CES, University of Munich). His main research interests include international economics, international macroeconomics, and applied econometrics. He has published widely in renowned international journals such as the European Economic Review, Oxford Bulletin of Economics and Statistics and Economics Letters. In 2013, he was ranked 6 in “Top 100 researchers under 40 years old” and 77 in “Top 100 researchers since 2005” in the Handelsblatt ranking of Economists (Germany, Austria, Switzerland)