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Modul (6 Credits)

Recent Developments in Econometrics

Name im Diploma Supplement
Recent Developments in Econometrics
Verantwortlich
Voraus­setzungen
Siehe Prüfungsordnung.
Workload
180 Stunden studentischer Workload gesamt, davon:
  • Präsenzzeit: 60 Stunden
  • Vorbereitung, Nachbereitung: 60 Stunden
  • Prüfungsvorbereitung: 60 Stunden
Dauer
Das Modul erstreckt sich über 1 Semester.
Qualifikations­ziele

Students

  • acquire broad skills regarding advanced econometric techniques
  • know how to apply these to tackle questions in empirical economics
  • understand the formal properties of key econometric techniques and are able to derive these mathematically
  • suitably translate economic problems into an econometric model and select adequate econometric and statistical techniques as well as appropriate data
  • critically assess empirical results
  • independently solve applied problems using appropriate statistical software
  • independently tackle formal as well as applied exercises
Praxisrelevanz

The module is practically relevant, as answering a large fraction of economic questions at least partially requires the use of modern econometric techniques as well as skills as to how to use and implement these on a computer. Moreover, knowledge of the formal properties of core econometric techniques enables students to independently understand and select from further methods later on in their careers.

Prüfungs­modalitäten

Zum Modul erfolgt eine modulbezogene Prüfung in der Gestalt einer Klausur (in der Regel: 60-90 Minuten) oder einer mündlichen Prüfung (in der Regel: 20-40 Minuten). Die konkrete Prüfungsform (Klausur versus mündliche Prüfung) wird in der ersten Vorlesungswoche von der zuständigen Dozentin oder dem zuständigen Dozenten festgelegt.

Examination in this module is by way of a written exam (typically 60-90 minutes) or an oral exam (typically 20-40 minutes). The specific type of examination (written or oral) will be communicated in the first class.

Verwendung in Studiengängen
  • BWL-EaF-Ma-2015Wahlpflichtbereich1.-3. FS, Wahlpflicht
  • ECMX-Ma-2019Pflichtbereich1. FS, Pflicht
  • GOEMIK-Ma-2016Wahlpflichtbereich Bereich Volkswirtschaftslehre1.-3. FS, Wahlpflicht
  • VWL-Ma-2009-V2013Wahlpflichtbereich I1.-3. FS, Wahlpflicht
  • WiMathe-Ma-2013VWL-M I 1.-3. FS, Wahlpflicht
  • WiMathe-Ma-2013VWL-M II1.-3. FS, Wahlpflicht
Bestandteile
Name im Diploma Supplement
Recent Developments in Econometrics
Anbieter
Lehrperson
SWS
2
Sprache
englisch
Turnus
Wintersemester
maximale Hörerschaft
unbeschränkt
empfohlenes Vorwissen

Basic knowledge of econometric methods as, for example, taught in the module "Methoden der Ökonometrie" as well as good knowledge of mathematical statistics (e.g., distributions) and mathematics (e.g., matrices). Some recap will be offered as needed.

Abstract

The goal of the course is to provide students with broad knowledge regarding core as well as more recent econometric methods, with a particular focus on their formal properties.

Lehrinhalte

Topics such as

  • econometric methods:
    • estimating causal effects
    • asymptotics
    • heteroskedasticity
    • simultaneous equations (3SLS, SUR etc.)
    • GMM
    • IV
    • panel data
  • empirical processes (only offered irregularly when the above core topics are offered and covered elsewhere):
    • asymptotics:
      • Review of modes of convergence
      • Weak, Strong, general Law of Large Numbers, Law of Iterated Logarithm
      • Ergodic Theorem, Delta Method
      • Central Limit Theorems, regular and functional
      • Transformations: variance stabilization and symmetrization
    • empirical processes:
      • Weak convergence, outer integrals, measurability
      • Maximal inequalities, covering numbers
      • Symmetrization
      • Donsker Theorem, Vapnik Cervonenkis classes, invariance principle
      • Hadamard differentiability
      • Bootstrap, Delta method for the bootstrap
      • Semiparametric methods
  • nonparametric econometrics (only offered irregularly when the above core topics are offered and covered elsewhere):
    • Univariate density estimation
    • Inference about the density
    • Nonparametric regression
    • Regression with discrete covariates
    • Uniform Central Limit Theorems for Nonparametric Statistics
Literaturangaben
  • DasGupta, A. (2008). Asymptotic Theory of Statistics and Probability, Springer
  • Hayashi, F. (2000). Econometrics. Princeton [u.a.]: Princeton Univ.
  • Kosorok, M. (2008). Introduction to Empirical Processes and Semiparametric Inference, Springer
  • Pagan, R., Ullah, A., (2008). Nonparametric Econometrics: Theory and Parctice. Cambridge Univ. Press
  • Serfling, R., (1982). Approximation Theorems of Mathematical Statistics. Wiley and Sons
  • Shorak, G., Wellner, J., (1986). Empirical Processes with Applications to Statistics, Wiley and Sons
  • van der Vaart, A., Wellner, J. (1996). Weak Convergence and Empirical Processes, Springer
  • van der Vaart, A.,  (1998). Asymptotic Statistics. Cambridge Univ. Press
  • Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data (2. Aufl.). Cambridge, Mass. [u.a.]: MIT Press
    didaktisches Konzept

    Lectures with the intention of jointly discussing and developing as much of the material as possible. Additionally, joint programming in R as well as other tutorials.

    Hörerschaft
    Vorlesung: Recent Developments in Econometrics (WIWI‑C0465)
    Name im Diploma Supplement
    Recent Developments in Econometrics
    Anbieter
    Lehrperson
    SWS
    2
    Sprache
    englisch
    Turnus
    Wintersemester
    maximale Hörerschaft
    unbeschränkt
    empfohlenes Vorwissen

    see lecture

    Lehrinhalte

    see lecture

    Literaturangaben

    see lecture

    Hörerschaft
    Übung: Recent Developments in Econometrics (WIWI‑C1130)
    Modul: Recent Developments in Econometrics (WIWI‑M0163)