Econometrics I

Instructor: 
Guest Instructor: 
Anton Velinov
Iuliia Grabova
Time I: 
Friday,
09:00am to 01:00pm
Time II: 
Monday,
09:00am to 11:00am
Venue I: 
FU Berlin, Garystr. 21, Room 104
Venue II: 
DIW Berlin, Mohrenstr. 58
Description: 

Part I of the course (Anton Velinov) covers commonly used estimation techniques, such as Ordinary Least Squares, Maximum Likelihood, Generalized Least Squares. The Generalized Method of Moments framework is introduced and several popular estimators (IV, 2SLS, 3SLS, FE, RE) are derived from it.

Part II (Lars Winkelmann) provides a survey of the theory of time series methods in econometrics. Topics include univariate stationary and non-stationary models, vector autoregressions, cointegration, high-dimensional predictive models and volatility models.

Literature:
tba

Time and venue:
Lectures: Fridays, 9:00-13:00 at FU Berlin, Garystr. 21, Room 104
Tutorials: Mondays, 9:00-11:00 at DIW Berlin, Mohrenstr. 58, room tba

Exam:
tba

Credits: 
9.00
Semester: 
Fall 2019
Affiliation: 
Deutsches Institut für Wirtschaftsforschung
Freie Universität Berlin