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PhD Course in Econometrics
PhD course in Econometrics
Last Updated: 2026-02-05 15:09:59
Abstract
A two-week applied econometrics course, designed to enable students at PhD-level to conduct empirical research in the field of economics.While the first part of the course concentrates on the analysis of time series, the focus of the second part is on microeconometrics. The methods are illustrated and applied by using the software Eviews and STATA.
Objective
The course emphasizes the application of econometric methods and results to contemporary topics in empirical economic research. Participants will be equipped with the econometric tools required to analyze time series data on the one hand and cross-section and panel data on the other hand. Both the time series and the microeconometrics part of the course are split up in a three-day theory session, taught in a standard lecture format and a tutored two-day computer session, during which the participants have the opportunity to apply their newly acquired knowledge using standard software packages.
Content
First week: The econometric analysis of time series I. Linear models 1. OLS and GLS estimation of linear regression models 2. Inference 3. GMM estimation II. Univariate time series 1. ARMA models 2. Model selection 3. Unit root tests III. Single equation models 1. Distributed lag models 2. Single-equation cointegration analysis IV. Multivariate time series models 1. VAR models 2. Forecasting and causality 3. Structural VARs (impulse response analysis) 4. Cointegration in VAR models (the VECM model) Second week: Microeconometrics, with a special focus on Panel Econometrics I. Models of discrete Choice 1. Probit and Logit models 2. Ordered Probit and multinomial Logit models 3. Censored and truncated data (Tobit, sample selection) 4. Evaluation of treatment effects II. Duration analysis 1. Survival and hazard functions 2. Parametric models 3. Nonparametric approach (Cox proportional hazard model) III. Panel data models 1. Random and Fixed-effect models 2. Specification tests 3. The Hausman-Taylor approach 4. Dynamic models 5. Nonlinear panel data models
Resources
Lecture Notes
Lecture notes will be made available in due time.
Literature
The econometric analysis of time series Enders, W. (2003), Applied Econometric Time Series, 2nd Edition, Wiley, Amsterdam Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press, Princeton, New Jersey. Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Springer, Berlin Lütkepohl, H. and M. Kräzig (2004), Applied Time Series Econometrics, Cambridge University Press, Cambridge Microeconometrics, with a special focus on Panel Econometrics Cameron, A.C. and Trivedi, P.K. (2005) Microeconometrics: Methods and Applications, Cambridge University Press, New York Greene, W.H. (2003), Econometric Analysis, 5. ed., Prentice Hall, New Jersey Gourieroux, C. (2000), Econometrics of Qualitative Dependent Variables, Cambridge University Press, Cambridge. Woolridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, MIT Press, London. Verbeek, M. (2004), A Guide to Modern Econometrics, 2. Auflage, John Wiley Publishers
General Information
- Language
- English
- Frequency
- Yearly recurring
Examination
- Type
- ungraded semester performance
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture with exercise |
PhD course in Econometrics
Blockkurs 10 Tage, 12. - 16. und 19. - 23. Juni 2006, jeweils 9.00 - 12.00 und 14.00 - 16.00 Uhr, KOF/WEH D7, Weinbergstrasse 35, 8092 Zürich, Anmeldung bis 15. Mai 2006 an Frau Monika Kolacek-Kern <
>
|
No time listed | 50 h semesterly |