(Created 2011-09-01.)

ECONOMETRICS, ADVANCED COURSE | EXTN05 |

**Aim**

Students shall have developed the ability to pursue further studies in the subject and should be able to search for and evaluate information with a high degree of independence. Students shall also have developed the ability to individually write an empirically orientated essay.

*Knowledge and understanding*

For a passing grade the student must

· be able to estimate linear and nonlinear models using least squares, generalised least squares, maximum likelihood and instrumental variables, and have an understanding of when these methods should be used,

· be able to formulate and test linear and nonlinear hypotheses,

· be able to analyse cross-sectional models with limited dependent variables,

· be able to analyse stationary and non-stationary time series models,

· be able to analyse panel data models,

· be able to generalise their knowledge to econometric problems that haven't been treated during the course,

· be able to understand relevant empirical and econometric research.

*Skills and abilities*

For a passing grade the student must

- · apply advanced econometric tools to economic problems,
· evaluate whether the assumptions made by the chosen model are reasonable,

· apply rational modelling strategies even when basic assumptions must be rejected,

· implement econometric analyses using econometric software,

- be able to give an account of and discuss their econometric abilities.

*Judgement and approach*

For a passing grade the student must

**Contents**

This course gives the basis that is needed to enable students to empirically analyse economic data without making unrealistic assumptions. Modern econometric techniques are treated, and at the same time considerable emphasis is placed on fundamental econometric thinking. Theoretical studies are interwoven with practical applications in the form of computer exercises, which are carried out using econometric software on a PC.

**Literature**

Verbeek, Marno (2008): A Guide to Modern Econometrics, third edition, Wiley (Paperback, ISBN: 9780470517697)

Supplementary material

Recommended literature: Kennedy, Peter (2008): A Guide to Econometrics, sixth edition, Blackwell Publishing (Paperback, ISBN: 9781405182577)