• Universität Halle
  • IWH Innenhof
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Advanced Econometrics

Lecturer: several lecturers
Date: winter term 2019/2020
Venue: Halle Institute for Economic Research (IWH) – Member of the Leibniz Association, Kleine Maerkerstrasse 8, 06108 Halle (Saale), Germany, conference room (ground floor)
Registration: until September 30, 2019 via email: annett.hartung@iwh-halle.de.

Announcement: pdf

The course is designed for at most 25 participant. Please note: The maximum of participants has been reached.

Please note the change of the venue. Section IV. (25.11.) will take place in the conference room Leipziger Straße 100 (map).

Introduction (Day 1)

1) Review of Linear Models and Asymptotic Theory

Date:        14.10.2019
Time:       09:15–10:45
Speaker:  Professor Dr Steffen Müller, IWH and Otto von Guericke University Magdeburg

Estimation Methods for Non-linear Models (Day 2)

2) Maximum-likelihood Estimation
3) Bayesian Estimation and Inference

Date:         01.11.2019
Time:        09:00–12:30
Speaker:   Professor Dr Christoph Wunder, Martin Luther University Halle-Wittenberg

Binary, Categorial and Limited Dependent Outcomes (Day 3)

4) Models for Binary and Categorial Outcomes
5) Models for Limited Dependent Variables

Date:         15.11.2019
Time:         09:00–12:30
Speaker:   Professor Dr Christoph Wunder, Martin Luther University Halle-Wittenberg

Causal Inference (Day 4 and Day 5)

6) Instrumental Variables
7) Regression Discontinuity

Date:          25.11.2019
Time:         09:00–12:30
Speaker: Professor Dr Felix Noth, IWH and Otto von Guericke University Magdeburg

8) Matching

Date:             16.12.2019
Time:            09:00–10:30
Speaker:      Professor Dr Stefano Colonnello, IWH and Otto von Guericke University Magdeburg

9) Differences-in-Differences

Date:            16.12.2019
Time:           11:00–12:30
Speaker:      Professor Dr Felix Noth, IWH and Otto von Guericke University Magdeburg

Special Topics (Day 6)

10) Empirical Methods in Lab and Field Experiments

Date:         13.01.2020
Time:        09:00–10:30
Speaker:   Professor Dr Sabrina Jeworrek, IWH and Otto von Guericke University Magdeburg

11) Control Function Estimators

Date:         13.01.2020
Time:        11:00–12:30
Speaker:   Dr Daniel Fackler, IWH

Time Series (Day 7 and Day 8)

12) Univariate Time Series Models and Non-stationary Data
13) Dynamic Regression and (Vector) Error-correction Models

Date:         20.01.2020
Time:        09:00–12:30
Speaker:   Professor Boreum Kwak, PhD, IWH and Martin Luther University Halle-Wittenberg

14) Vector Autoregressions and Local Projections
15 ) Structural Vector Autoregressions

Date:         03.02.2020
Time:        09:00–12:30
Speaker:   Professor Boreum Kwak, PhD, IWH and Martin Luther University Halle-Wittenberg

Problem sets
There will be 8 assignments throughout the term. At the end of each Day, the lecturer will post assignments which are due one week later. We encourage all doctoral students to engage in group work.

Selected Textbooks

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. (2016): 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.