• Universität Halle
  • IWH Innenhof
  • Universität Jena
  • Ifo Institut Dresden
  • Universität Leipzig
  • Albertina
  • TU Dresden
  • Universität Madgeburg
  • IWH_Tor

Advanced Econometrics

Lecturer: several lecturers
Begin: 11.10.2021
Time: Mondays 09:00–10:30 and 11:00–12:30 / 17.12.2021 (Friday) 09:00–10:30 and 11:00–12:30
Work load:   150 hours / 6 ECTS
Lecture: Bi-weekly, 15 x 90 minutes / lecture format tba
Venue: Halle Institute for Economic Research (IWH) – Member of the Leibniz Association, Kleine Maerkerstrasse 8, 06108 Halle (Saale), conference room (ground floor) or online via Zoom (depending on the COVID-19 regulations in place).
Registration: until September 30, 2021 via email: annett.hartung@iwh-halle.de.

Announcement: pdf

I. Introduction (Day 1)
1. Review of Linear Models and Asymptotic Theory
Date: 11.10.2021
Time: 09:00–10:30
Lecturer: Dr André Diegmann, IWH

II. Estimation Methods for Non-linear Models (Day 2)
2. Maximum-likelihood Estimation
3. Bayesian Estimation and Inference
Date: 25.10.2021
Lecturer: Professor Dr Christoph Wunder, Martin Luther University Halle-Wittenberg

III. Binary, Categorial and Limited Dependent Outcomes (Day 3)

4. Models for Binary and Categorial Outcomes
5. Models for Limited Dependent Variables
Date: 08.11.2021
Lecturer: Professor Dr Christoph Wunder, Martin Luther University Halle-Wittenberg

IV. Causal Inference (Day 4 and Day 5)
6. Instrumental Variables
7. Regression Discontinuity
Date: 22.11.2021
Lecturer: Dr Matthias Mertens, IWH

8. Matching
Date: 06.12.2021
Time: 09:00–10:30
Lecturer: Professor Xiang Li, PhD, IWH and Martin Luther University Halle-Wittenberg

9. Differences-in-Differences
Date: 06.12.2021
Time: 11:00–12:30
Lecturer: Professor Dr Felix Noth, IWH and Otto von Guericke University Magdeburg

V. Time Series (Day 6 and Day 7)
10. Univariate Time Series Models and Non-stationary Data
11. Dynamic Regression and (Vector) Error-correction Models
Date: 17.12.2021 (Friday)
Lecturer: Professor Boreum Kwak, PhD, IWH and Martin Luther University Halle-Wittenberg

12. Vector Autoregressions and Local Projections
13. Structural Vector Autoregressions
Date: 17.01.2022
Lecturer: Professor Boreum Kwak, PhD, IWH and Martin Luther University Halle-Wittenberg

VI. Special Topics (Day 8)
14.  Empirical Methods in Lab and Field Experiments
Date: 31.01.2022
Time: 09:00–10:30
Lecturer:  Professor Dr Sabrina Jeworrek, IWH and Otto von Guericke University Magdeburg

15.  Machine Learning Methods for Economics and Finance
Date: 31.01.2022
Time: 11:00–12:30
Lecturer: Professor Dr Melina Ludolph, IWH and Otto von Guericke University Magdeburg

Problem sets
There will be eight assignments throughout the term. At the end of each day, the lecturer will post assignments, which are due on the day before the next lecture (11.59 pm). In order to complete the course, six problem sets (at least one from every block indicated by Roman numbers) will have to be successfully passed.

Selected Literature
Althey, S.; Imbens, G. W. (2019): Machine Learning Methods that Economists Should Know About. Annual Review of Economics 11, 685-729.

Angrist, J. D.; Pischke, J.-S. (2015): Mastering Metrics. Princeton University Press.

Angrist, J. D.; Pischke, J.-S. (2009): Mostly Harmless Econometrics: An Empiricist’s Companion. Princeton University Press.

Cameron, A.C.; Trivedi, P.K. (2005): Microeconometrics, Methods and Applications, Cambridge University Press.

Gelman, A.; Carlin, J. B.; Stern, H. S.; Dunson, D. B.; Vehtari, A.; Rubin, D. B. (2013): Bayesian Data Analysis, Third Edition. Chapman & Hall/CRC Press.

Greene, W.H. (2017): Econometric Analysis, 8th edition, Pearson.

Imbens, G. W.; Rubin, D. B. (2015): Causal Inference for Statistics, Social, and Biomedical Sciences: An Introduction. Cambridge University Press.

Kilian, L.; Lütkepohl, H. (2017): Structural Vector Autoregressive Analysis, Cambridge University Press, 2017.

McElreath, R. (2020): Statistical Rethinking. A Bayesian Course with Examples in R and Stan. Chapman & Hall/CRC Press.

Winkelmann, R.; Boes, S. (2006): Analysis of Microdata. Springer.

Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data. MIT press.

Additional literature to prepare for every dates will be announced.