AØKA08007U Econometrics C
MSc in Economics
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.
- 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)
Various software packages will be introduced and applied
Time and room:
Time and room for the lectures and exercise classes: Please press the link under "Se skema" (See schedule). 15F means Spring (Forår) 2015, 14E means Autumn (Efterår) 2014.
It is available partly in English at this link:
https://skema.ku.dk/KU1415/reporting/textspreadsheet?objectclass=module&idtype=id&identifier=43765&t=SWSCUST+module+textspreadsheet&days=1-5&weeks=27-52&periods=1-68&template=SWSCUST+module+textspreadsheet
The first lecture in the springsemester will be the 3.rd of February 2015 at 8.00 o´clock (AM). The exercise classes begins in week 7.
- 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 invigilationOral examination with preparation. 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 % external censorship
- Exam period
- For the Spring semester 2015: From 26 May to 28 June 2015 The oral exame takes place at the CSS Campus For the Autumn semester 2014: From 15 December 2014 to 25 January 2015 The oral exame takes place at the CSS Campus in the periode 14 to 23 January 2015 More information is available at https://intranet.ku.dk/economics_ma/examination/Pages/default.aspx
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- AØKA08007U
- Credit
- 7,5 ECTS
- Level
- BachelorFull Degree Master
- Duration
- 1 semester
- Placement
- Autumn And Spring
- Schedule
- Autumn (week 36-51)
Spring (week 6-21) - Continuing and further education
- Price
320 DKK per ECTS
- Study board
- Department of Economics, Study Council
Contracting department
- Department of Economics
Course responsibles
- Rémi Piatek
(11-776a726e33756e66796a70456a68747333707a336970)
Autumn 2014 - Heino Bohn Nielsen (18-7471757a7b3a6e7b747a3a7a7571787f717a4c716f7b7a3a77813a7077)
Lecturers
Spring 2015:
Class 1: Esteban Garcia Miralles
Hold 2: Thor Nielsen
Class 3: Agnes Andrea Meszaros
Hold 4 og 5 er nedlagt.
Class 1 and 3 is only in English
Autumn 2014:
Class 1: Philipp Christian Kless
Hold 2:: Dan Nolsøe Olsen
Hold 3: Morten Skov Poulsen
Hold 4: Jesper Færch Christensen
Hold 5: Philip Rasmussen Woloszynski
Hold 6: Dan Nolsøe Olsen
Hold 7: Jesper Færch Christensen
Class 8: Esteban Garcia Miralles
Class 1 and 8 is only in English
Class 2,3,4, 5,6 and 7 is only in Danish