AØKA08007U Econometrics II (former Econometrics C)

Volume 2015/2016
Education

BSc in Economics - compulsory
 

Content

Econometrics C is the final course in the compulsory BSc. course sequence in statistics and econometrics. The course Econometrics B focuses on linear regression and instrumental variables estimation of the linear regression model for cross‐sectional data. The current course goes into more details with the estimation principles and presents the generalized method of moments and the likelihood analysis. Econometrics C also discusses dependent observations and gives a detailed account of the econometric analysis of time series data. As an integral part of the course, students are introduced to statistical tools for analysing time series data.

Learning Outcome
  • Give an account for the motivation and intuition for different principles for estimation and inference ‐ specifically the method of ordinary least squares (OLS), method of moments (MM), and maximum likelihood (ML) ‐ and discuss relative advantages and drawbacks.
  • Give an account for the sufficient conditions for consistent estimation and valid inference and apply the estimation principles to derive MM and ML estimators in statistical models.
  • Give an account for the important differences between (independent) cross‐sectional data, analyzed in detail in Econometrics B, and time series data. Precisely describe the conditions under which the results from the linear regression analysis for cross‐sectional data can be used also on time series data.
  • Explain the consequences of unit roots in economic data and interpret statistical models for stationary and non‐stationary time series. Construct and interpret statistical tests for unit roots in economic time series.
  • Interpret statistical models based on cointegration and error correction and perform empirical analyses based on these ideas.
  • Give an account for autoregressive conditional heteroscedasticity (ARCH) in financial time series, and perform empirical ARCH analyses.
  • Choose the relevant tools for a given problem and apply the tools to new problems and new data sets. More specifically to identify the characteristic properties of a given data set, suggest and construct relevant statistical models, analyze to what extend the statistical model is congruent with the 38 data, estimate and interpret the parameters of the model, formulate economic questions as hypotheses on the parameters of the model, and test these hypotheses.
  • Use statistic and econometric software. Give statistically sound and economically relevant interpretations of statistical results.
  • Use statistic and econometric terms in a correct way and be able to present econometric results in a clear and concise way.

Syllabus:

Textbook: Marno Verbeek: A Guide to Modern Econometrics, 4th Ed., Wiley.

•Chapter 1-3 (cursory reading) p. 1-93 (93*)

•Section 4.1-4.5 (cursory reading) 94-112 (18*)

•Section 4.6-4.11: p. 112-136 (25)

•Chapter 5-6 p. 137-205 (69)

•Section 7.1.1-7.1.6 p. 206-217 (12)

•Section 7.3 p. 231-238 (8)

•Chapter 8 p. 278-337 (59)

•Section 9.1-9.3 p. 338-350 (13)

•Section 9.4-9.7 (cursory reading) p. 350-371 (22*)

Lecture notes:

[1] Introduction to Time Series (13)

[2] Linear Regression with Time Series Data (22)

[3] Introduction to Vector and Matrix Differentiation (cursory reading) (6*)

[4] Dynamic Models for Stationary Time Series (28)

[5] Non-Stationary Time Series and Unit Root Testing (21)

[6] Cointegration and Common Trends (31)

[7] Modeling Volatility in Financial Time Series: An introduction to ARCH (16)

[8] Generalized Method of Moments Estimation (31)

The course requires knowledge equivalent to that achieved in Econometrics A (from E15 named as "Sandsynlighedsteori og Statistik"/​"Probability theory and statistics")
Various software packages will be introduced and Applied

Schedule:
2x2 hours of lecturing and 2 hours of excercises per week for 14 weeks

Timetable and classroom:
For time and classroom please press the link under "Se skema"(See schedule) at the right side of this page (15E means Autumn 2015, 16F means Spring 2016).
Normally the exercise classes begin in the second week of the semester.

You can find the similar side partly in English at
https:/​/​skema.ku.dk/​ku1516/​uk/​module.htm
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-F16;Econometrics II”
-Select Period: “Forår/Spring – Weeks 4-29”
-Press: “ View Timetable”

Please be aware:
- That all exercise classes will be taught in English from F16.
- If too many students have wished a specific class students will be registered at another class. It is not possible to change class after the registration period has expired, and after the Study Administration has allocated the students to a class unless the registration clashes with another course registration.
- It is not allowed to participate in a exercise class a student is not registered.
- If not enough registered students or available teachers the classes may be jointed so class 1 and 2 become one, 3 and 4 become one and 5 and 6 become one.
- That the schedule of the exercise classes can be changed until just before the teaching begins without the participants accept. If this happens the participants will be informed or can see it at the above link. After enrollment it can be seen in KUnet and by the app myUCPH.
  • Category
  • Hours
  • Class Exercises
  • 28
  • Exam
  • 1
  • Lectures
  • 56
  • Preparation
  • 121
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Oral examination, 25 minutes under invigilation
Oral examination with preparation. Examination language can be Danish or English. Aids is allowed in the time of preparation.
Exam registration requirements

As a part of the course, three written assignments should be completed and accepted.

Aid
Written aids allowed
Marking scale
7-point grading scale
Censorship form
External censorship
100% censorship
Exam period

Autumn 2015: The oral exam takes place at the CSS Campus in the period 18 January to 29 January 2016.

Spring 2016: The oral exam takes place at the CSS Campus in the period June 20 to July 1st 2016. Exact date and time will be made in agreement with the teacher.

For enrolled students more information about examination, exam/re-sit, rules etc. is available at the student intranet for Examination (English) and student intranet for Examination (BA-Danish).

Re-exam

Autumn 2016: Same as the ordinary exam.

Spring 2016: Same as the ordinary exam in week 35 and 36. Exact date and time will be announced by the Exam Office midt August.

Criteria for exam assesment

The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.