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12036-01 - Vorlesung: Econometrics (6 KP)
| Semester | Frühjahrsemester 2012 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende | Kurt Schmidheiny (kurt.schmidheiny@unibas.ch, BeurteilerIn) |
| Inhalt | Outline: 1. Causal effects and the logic of randomized experiments 2. Linear regression: Estimation, small and large sample properties, hypothesis testing, omitted variable bias, model selection, functional form, heteroscedasticity, autocorrelation, clustering 3. Instrumental variable estimation: Estimation, identification, weak instruments 4. Panel data: fixed effects, random effects 5. Maximum likelihood estimation 6. Binary choice: probit and logit 7. Limited dependent variables: censoring, truncation and sample selection Module 1: Data generating process and Monte Carlo simulation Module 2: Sampling distribution, asymptotics and the bootstrap |
| Lernziele | Objectives: This course provides students with the basic econometric tools for cross-section, time series and panel data. It is an applied course preparing students to both conduct own empirical research projects and assess empirical research papers. Each of the discussed tools will be implemented using standard statistical software and real world data. Students will learn how to choose the adequate statistical method, discuss its identifying assumptions, correctly interpret its results and to translate them into economically meaningful answers. |
| Literatur | Any textbook in econometrics covers the topics developed in this course. The technical level of this course will be closer to the introductory text- books. However, students with a strong mathematical background may find the advanced textbook more appropriate. The two companions are not self-contained textbooks but useful to deepen the intuitive under- standing. Introductory textbooks: - Stock, James H. and Mark W. Watson (2011), Introduction to Econometrics, 3rd ed., Pearson Addison-Wesley. - Wooldridge, Jeffrey M. (2009), Introductory Econometrics: A Modern Approach, 4th ed., South-Western Cengage Learning. Advanced textbooks: - Cameron, A. Colin and Pravin K. Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press. - Davidson, Russell and James G. MacKinnon (2004), Econometric Theory and Methods, Oxford University Press. - Hayashi, Fumio (2000), Econometrics, Princeton University Press. - Wooldridge, Jeffrey M. (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press. Companion textbooks: - Angrist, Joshua D. and Jorn-Steffen Pischke (2009), Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press. - Kennedy, Peter (2008), A Guide to Econometrics, 6th ed., Blackwell Publishing. |
| Bemerkungen | Software: We will use the econometrics software STATA for estimation and Monte Carlo experiments. Alternative software (e.g. R) may also be used. Ambitious students are encouraged to write their own econometric programs in the matrix calculation language MATLAB. |
| Weblink | Weblink |
| Teilnahmevoraussetzungen | Prerequisites: Completed BA in Business und Economics and basic knowledge in statistics, particularly the linear regression model |
| Anmeldung zur Lehrveranstaltung | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
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Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Grundlagenmodul: Advanced Topics in Economics (Master International and Monetary Economics) Kernmodul VWL (Master Wirtschaftswissenschaften) Modul Internationales Zusatzwissen (Master European Studies) Modul Kernbereich Wirtschaftswissenschaften für Fortgeschrittene (Master Sustainable Development) Modul Wirtschaftswissenschaftliche Grundlagen der Europäischen Integration (Master European Studies) Modul Wirtschaftswissenschaftliche Grundlagen der Nachhaltigkeit (Master Sustainable Development (Studienbeginn vor 01.08.2010)) (Pflicht) |
| Prüfung | Semesterendprüfung |
| Hinweise zur Prüfung | written exam: 07.06.2012, 10:00-12:00. WWZ S15: A-DA; Vesalianum: DO-Kai; HS 102: KAU-Richter; Bernoullianum: Richterich-Z. Die Prüfungsräume finden Sie hier: http://wwz.unibas.ch/studium/pruefungen/raeume/. Bitte kontollieren Sie die Raumzuteilung kurz vor den Prüfungen noch einmal. There will be bi-weekly take home problem sets. |
| An-/Abmeldung zur Prüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät |