Name im Diploma Supplement

Recent Developments in Econometrics

Anbieter

Lehrstuhl für Ökonometrie

Lehrperson

Prof. Dr. Christoph Hanck, Dr. Till Massing

SWS

2

Sprache

englisch

Turnus

Wintersemester

maximale Hörerschaft

unbeschränkt

Hörerschaft

• BWL EaFWahlpflichtbereich 1.-3. FS, Wahlpflicht, Modul Recent Developments in Econometrics
• ECMXPflichtbereich 1. FS, Pflicht, Modul Recent Developments in Econometrics
• GOEMIKWahlpflichtbereich Bereich Volkswirtschaftslehre 1.-3. FS, Wahlpflicht, Modul Recent Developments in Econometrics
• VWLWahlpflichtbereich I 1.-3. FS, Wahlpflicht, Modul Recent Developments in Econometrics
• WiMatheVWL-M I 1.-3. FS, Wahlpflicht, Modul Recent Developments in Econometrics
• WiMatheVWL-M II 1.-3. FS, Wahlpflicht, Modul Recent Developments in Econometrics

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.