Syllabus
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.