Econometrics

Lecturer (assistant)
Number0000002980
TypeSeminar
Duration2 SWS
TermSommersemester 2017
Language of instructionEnglish
Position within curriculaSee TUMonline
DatesSee TUMonline

Dates

    Admission information

    See TUMonline
    Note: Registration: Until April 14th, 2015, via Moodle and by email to evelin.winands@wi.tum.de.

    Objectives

    Participants shall be able to select the appropriate econometric method given a certain problem and data set; to apply this method proficiently using STATA; to know the advantages and pitfalls of each method; and to judge if the econometric approach in published studies is correctly chosen and well executed.

    Description

    Econometric methods are important in many fields of management research. In order to derive meaningful and robust results, one has to know these methods and understand them well. Building on the brilliant introductory course taught by Prof. Alexy each winter term, this course shall convey advanced econometric methods. A list of potential topics is given below. Depending on the participants’ needs, some of these can be dropped and others can be added. We will discuss the selection of topics at the kick-off session. The focus will be on applicable knowledge, not so much on details of the theory. Preliminary list of topics: • Extensions of logit and probit models. Ordered logit, rank-ordered logit, generalized ordered logit, multinomial logit, mixed logit, conditional logit, nested logit; marginal effects • Heckman selection models • Count data. Poisson, Negative Binomial, Zero Inflated • Survival models. Hazard rate models, accelerated failure time models • Path Models, Structural Equation Models • Panel data regressions. Pooled, fixed effects, random effects • Time series regressions • Instrumental variables Kick-off 16.04.2015, 14h-16h. The course will be taught as a series of half-day seminars in May and June. Dates will be coordinated with participants.

    Prerequisites

    Doctoral students only! Basic knowledge of econometrics. Ideally, participation in “Applied Econometrics: an introduction” taught by Prof. Alexy each winter term.

    Teaching and learning methods

    Learning methods are a mix of seminar presentations by the participants and lectures. For each seminar session, a group of two participants will prepare a presentation on a specific topic (e.g., Heckman regression). The lecturer will meet with each group beforehand to aid in the preparation. The group will bring a dataset with which participants will apply the respective method during the course (please bring laptops). We will use STATA; if you do not have it, you can get a 30-day trial version here: http://www.dpc-software.de/index.php?id=488. We will also read published research articles that apply the various methods we discuss.

    Examination

    Participants will be assessed based on their seminar presentation (70%) and oral contributions to the course (30%).

    Recommended literature

    For a selection of suggested readings please see below. Further readings will be announced during the course. • Cameron/Trivedi (2008): Microeconometrics – Methods and Applications (Theory) • Cameron/Trivedi (2008): Microeconometrics in Stata (applications in Stata) • Wooldridge (2003): Introductory Econometrics (2nd ed.) • Stock / Watson (Time series)

    Links