|
Instructors: Prof. Dr. rer. pol. Jens Krüger
Event type:
Lecture
Org-unit: Dept. 01 - Law and Economics
Displayed in timetable as:
vl_Meth. Emp. WF
Subject:
Crediting for:
Hours per week:
2
Language of instruction:
German
Min. | Max. participants:
- | -
Course Contents:
- Matrix algebra and basic asymptotics (convergence concepts, central limit laws, Slutzky theorem, delta method)
- Derivation of asymptotic properties of the multiple linear regression model
- Estimation principles of maximum likelihood (ML) and generalized method of moments (GMM)
- Application to linear
- Nonlinear and generalized regression estimation
- Instrumental variables estimation and its practical application
- Robust and nonparametric regression estimation
Literature:
Davidson, R. & MacKinnon, J.G. (2004): Econometric Theory and Methods. Oxford: Oxford University Press.
Fox, J. (2002): An R and S-PLUS Companion to Applied Regression. London: Sage.
Greene, W.H. (2007): Econometric Analysis (6. Aufl.). New Jersey: Prentice Hall.
Heij, C., De Boer, P., Franses, P.H., Kloek, T. & van Dijk, H.K. (2004): Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
Yatchew, A. (1998): Nonparametric Regression Techniques in Economics. Journal of Economic Literature, Jg. 36, S. 669-721.
Preconditions:
Basic knowledge in econometrics, courses Statistics I and II.
Official Course Description:
Basic course for the "Econometrics" module.
|
