I. Course description:

This course oers an introduction to important extensions of the baseline regression model: non-constant parameters, multiple equations, multivariate cointegration models and limited dependent variables.

• M-estimation
• Maximum likelihood estimation (application: binary choice models)
• General methods of moments estimation
• Stationary time series regressions
  
• Nonstationary time series regressions
• Vector autoregressive and error correction models
  

II. Prerequisities:

The course assumes knowledge of the topics taught in the Econometrics I.

III. Exam:

• 5 LP for Fachprüfungsordnung 2014
• 8 LP for Fachprüfungsordnung 2007: starred (*) parts of the lecture are for the 8 LP exam only.
• written exam for both groups: see Univis
  

IV. Literature:

Main textbooks (for details see the handouts for each lecture):

• Greene, W.H. (2012), Econometric Analysis, 7th edition, Pearson.
• Hayashi, F. (2000), Econometrics, Princeton University Press.
• Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press.
  
  

Excellent supplementary textbooks (more detailed than what we need but very good to look things up):

• Banerjee, A., Dolado, J., Galbraith, J.W., Hendry, D.F. (1993) Co-integration, error-correction, and the econometric analysis of non-stationary data, Oxford University Press.
  
• Hamilton, J.D. (1994), Time Series Analysis, Princeton University Press.
• Lütkepohl, H. (2007), New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin.