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Instructors

Module 2500 in Kiel
Advanced Applied Econometrics 1:
Linear Models and Panel Data

Lecturers

Prof. Dr. Thomas Heckelei,  thomas.heckelei@ilr.uni-bonn.de
Prof. Dr. Sebastian Hess,  shess@ae.uni-kiel.de
Prof. Dr. Silke Hüttel,  S.Huettel@ilr.uni-bonn.de

Aims

At the end of the course, students shall

Skills: Methodological competence, quantitative analysis, conceptual thinking

Contents

Outline

Textbook: Verbeek, M. (2012): A Guide to Modern Econometrics, 4th edition. John Wiley & Sons
relevant chapters/sections or alternative readings given in parentheses

I Refresher Ordinary Least Squares (OLS) (2.1-2.6; 5.1)

II Refresher Generalized Least Squares (GLS) (4.1-4.3; 4.6)

III Panel Data I: Static Linear Models for Panel Data (10.1-10.3)

IV Mixed Effects (Bates et al. 2015, Gardiner et al. 2009)

V Endogenous Regressors and Instrumental Variables Estimation (IVE) (5.1-5.4)

VI Weak Instruments (Stock and Yogo 2002)

VII Panel Data II: Instrumental Variables (10.4)

VIII Generalized Method of Moments (GMME) (5.5-5.6)

IX Panel Data III: Dynamic Models for Panel Data (10.4-10.5; Bond 2002)

Teaching forms Workload (h)
1 week block seminar with lecture and exercise 40
Exercises 50
Total 90

Examination: Exercises

Grading: In-class and homework assignments, where a minimum score of 50% is required to pass the module.

Credit points: 3 CP

Language: English

Literature

Software: R

During the course all exercises can be conducted in R or Stata, while support will be given in R only and our handouts will be in R. Therefore, please familiarize yourself with basics in R if R is new to you. We recommend working at least through the following introductory material:
http://www.r-tutor.com/r-introduction
https://cran.r-project.org/doc/contrib/Torfs+Brauer-Short-R-Intro.pdf