Econometrics II - Professor Dr. Kai Carstensen

Deckblatt Econ II

Syllabus

I. Course description:

This course oers an introduction to important extensions of the baseline regression model: non-constant parameters, multiple equations, multivariate cointegration models and limited dependent variables.

  • M-estimation
  • Maximum likelihood estimation (application: binary choice models)
  • General methods of moments estimation
  • Stationary time series regressions
  • Nonstationary time series regressions
  • Vector autoregressive and error correction models

 

II. Prerequisities:

The course assumes knowledge of the topics taught in the Econometrics I.

 

III. Exam:

  • 5 LP for Fachprüfungsordnung 2014
  • 8 LP for Fachprüfungsordnung 2007: starred (*) parts of the lecture are for the 8 LP exam only.
  • written exam for both groups: see Univis

 

IV. Literature:

Main textbooks (for details see the handouts for each lecture):

  • Greene, W.H. (2012), Econometric Analysis, 7th edition, Pearson.
  • Hayashi, F. (2000), Econometrics, Princeton University Press.
  • Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press.

Excellent supplementary textbooks (more detailed than what we need but very good to look things up):

  • Banerjee, A., Dolado, J., Galbraith, J.W., Hendry, D.F. (1993) Co-integration, error-correction, and the econometric analysis of non-stationary data, Oxford University Press.
  • Hamilton, J.D. (1994), Time Series Analysis, Princeton University Press.
  • Lütkepohl, H. (2007), New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.