Advanced Econometrics
Lecturer: several lecturers
Date: winter term 2018/2019
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, 2018 via email: annett.hartung@iwh-halle.de.
Please note the change of the venue. Section VI. (25.01 and 04.02.) will take place in the conference room Leipziger Straße 100 (map).
The course is designed for at most 25 participants.
Announcement: pdf
Introduction (Day 1)
1) Review of Linear Models and Asymptotic Theory
Date: 15.10.2018
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: 09.11.2018
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: 16.11.2018
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: 26.11.2018
Time: 09:00–12:30
Speaker: Professor Dr Felix Noth, IWH and Otto von Guericke University Magdeburg
8) Matching
Date: 14.12.2018
Time: 11:30–13:00
Speaker: Professor Dr Stefano Colonnello, IWH and Otto von Guericke University Magdeburg
9) Differences-in-Differences
Date: 14.12.2018
Time: 13:30–15:00
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: 11.01.2019
Time: 09:00–12:30
Speaker: Professor Dr Sabrina Jeworrek, IWH and Otto von Guericke University Magdeburg
11) Control Function Estimators
Date: 11.01.2019
Time: 09:00–12:30
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: 25.01.2019
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: 04.02.2019
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.
