2301.22 - Econometrics 2

2301.22

Econometrics 2

10

Pass grade in Econometrics 1 or similar course.

The aim of the course is to introduce different techniques for analysing cross sectional data, time series data and panel data. Furthermore, the aim is for students to learn to read and evaluate conclusions in econometric papers.

We discuss in further detail the problem of endogeneity in econometric models and possible solutions. The course gives a detailed account of the econometric analysis of time series data. We introduce concepts such as stationarity, unit roots and autoregressive conditional heteroscedasticity (ARCH).

We present new material in lectures and classes. In classes, students solve and present exercises. As an integral part of the course, students are introduced to statistical tools for analysing different data sets and the students will learn how to carry out, present and discuss an empirical analysis.

Having successfully completed the course, the student will have knowledge of the following: - different approaches to analysing cross sectional data, time series data and panel data. - endogeneity in cross sectional data; why it occurs and how we deal with this problem. - necessary assumptions when we analyse time series data - concepts such as stationarity, unit roots, cointegration and Error Correction Models. - simultaneous equations Having successfully completed the course, the student will be able to: - use different estimation techniques: Instrumental variables and 2SLS (IV/2SLS), Differences-in-Differences (DD), First Differences (FD), Fixed Effects (FE) and Random Effects (RE). - determine which estimation technique is appropriate in different circumstances. - use different tests in the context of time series analysis, - estimate limited dependent variable models. - discuss the properties of OLS under measurement error. - present and discuss econometric results.

A weighted mark which consists of the following: - midterm (25%) - three-hour written exam (75%) Students may use textbooks, notes and data programs during the exam. They may not use the internet. In the event of a student having to resit this course, the midterm mark will not be carried forward. In this case, the 3 hour written exam will account for 100 percent of the final mark.

Internal

7-

TBA

Herit Vivi Bentsdóttir Albinus