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E603 Advanced Econometrics

Course title: E603 Advanced Econometrics

Instructor: Prof. Dr. Markus Frölich, Dr. Juanita Vasquez-Escallon

Offered: fall semester 2015

Method (hours per week): lecture (4) + exercise (2)

Course level: Master

Course language: English

Requirements and Exam: regular attendance, written exam 120 minutes

ECTS-Credits: 10

Course description:

The goal of the module is to offer advanced treatment to econometric theory and to serve as the gate way to further advanced theoretical and applied econometric modules offered in the economics graduate program at the Department of Economics in Mannheim.                                                       

The module offers a revision of undergraduate level econometrics before moving on to extensive coverage of large-sample theory and some organizing estimation principles such as GMM and Extremum estimators. Asymptotic properties of these estimators are also the focus of the module as well as non-linear models and the treatment of serial correlation.

Expected Competences acquired after completion of the module:

On successful completion of the module, students are expected to attain the following competences:

- Attain advanced theoretical knowledge in econometrics in the specific topics the module covers at a high technical and mathematical level.

- Be familiar with current theories and recent developments in the specific topics of focus for the module.

- Attain a higher/advanced level of analytical capability.

- Be in a position to take on follow-up advanced theoretical and applied econometrics modules.

- Attain the level of competence that permits independent undertakings in search of new knowledge in the specialist areas the module covers.

- Attain the level of competence required to carry out (theoretical) research-oriented projects independently. 

- To be in a position to exchange information, ideas, and solutions with experts of the field on a scientific level as well as with laymen.

- To be able to communicate and to work effectively and efficiently with people and in groups. 

- Graduates are able to communicate precisely in the English specialist language.

Recommended Textbooks:

Wooldridge (2010): Econometric Analysis of Cross Section and Panel Data. MIT Press.

Heij, De Boer, Franses, Kloek, and Van Dijk (2004): Econometric Methods with Applications in Business and Economics. Oxford University Press.

Kirchgässner, Wolters (2007): Introduction to Modern Time Series Analysis.

Kirchgässner, Wolters (2006): Einführung in die moderne Zeitreihenanalyse.

Contact person: Prof. Dr. Markus Frölich, E-Mail: mannsperger(at)uni-mannheim.de, L7, 3 - 5, Raum 107, Tel. 181-1845 (Sekretariat)