Advanced Econometrics (Econometrics II)

Instructor: 
Time I: 
Tuesday,
08:30am to 10:00am
Time II: 
Tuesday,
02:00pm to 04:00pm
Venue I: 
HU Berlin, Spandauer Str. 1, Room 202
Venue II: 
HU Berlin, Spandauer Str. 1, Room 22
Description: 

Information on how to attend the online course will be available on Moodle.

This course provides a rigorous review of basic linear regression and techniques both for cross-sectional and panel applications. The course then covers further topics which are important in applied econometric analysis based on individual level data and longitudinal data. The topics include diff-in-diff-event-study designs, IV with heterogeneous potential outcomes, clustering and serial correlation in standard errors in panels, bandwidth and kernel choices in RDD, synthetic controls, selected topics of spatial econometrics (measures of spatial concentration and autocorrelation, estimation of causal effects over space, point pattern analysis), quantile regression methods, and simulation. The course will regularly discuss the causal interpretation of econometric estimates. The focus of the course is both on understanding the methodological concepts and on how to apply them. Students will learn to implement the estimation methods using the econometric package Stata. Besides a number of journal articles, two textbooks will be useful as readings alongside the course: Wooldridge's textbook on “Econometric Analysis of Cross Section and Panel Data”, and Angrist and Pischkes "Mosly Harmless Econometrics".

Literature:
Wooldridge, J. M. (2010): Econometric Analysis of Cross Section and Panel Data. 2nd edition, Cambridge, MA: MIT Press (see also http://mitpress.mit.edu/books/econometric-analysis-cross-section-and-panel-data).
Angrist, J. and Pischke, J-S (2009): Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press.
Further reading recommendations you will get during the lecture.

Exam:
written exam (90 min)

Credits: 
9.00
Program: 
Semester: 
Spring 2020
Affiliation: 
Humboldt-Universität zu Berlin