JEM005 - Advanced Econometrics

Credit: 6
Status: CFS - core
English
Masters - all
Masters - core
MEF - core
Semester - winter
Course supervisors: doc. PhDr. Jozef Baruník Ph.D.
Course homepage: JEM005
Literature: For the topics covered during the semester, we will use chapters mainly from the two textbooks:


(G) Greene, W.H. Econometric Analysis, 7th edition, Prentice Hall, 2012

(W) Wooldridge, J. Econometric Analysis of Cross-Section and Panel Data, Boston: MIT Press, 2010, 2nd edition

In addition, following textbook can be used
(CT) Cameron, C. and Trivedi, P.K. Microeconomertics: Methods and Applications, Cambridge University Press, New York, May 2005

Other good references:
Maddala, Limited-dependent and Qualitative Variables in Econometrics, Cambridge, 1982.
Davidson and MacKinnon: Econometric Theory and Methods, Oxford, 2003.
Hayashi, F., Econometrics, Princeton: Princeton Univ. Press, 2000.
Gourieroux and Monfort: Statistics and Econometric Models: Vol 1 and 2 (Cambridge University Press), 1995
(MHH) Martin, Hurn and Harris: Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University Press, 2013
Hansen, Bruce E.: Econometrics (online draft of graduate textbook), University of Wisconsin (last revision: January 2013)
The Davidson and MacKinnon text is a good up-to-date text. Maddala’s text, and the Wooldridge text are excellent for limited dependent and qualitative variables. Hayashi (2002) is much more involved with time series econometrics. Gourieroux and Monfort (1995) is an excellent complementary book for students interested in more technical text (at PhD level). Verbeek is less technical and undergraduate level. A new and rather broad text is Martin, Hurn and Harris (2013).
Description: The objective of the course is to help students understand several important modern techniques in econometrics and apply them in empirical research and practical applications. Emphasis of the course will be placed on understanding the essentials underlying the core techniques, and developing the ability to relate the methods to important issues faced by a practicioner.

At the end of this course, students will be able to use a computer based statistical software to analyze the data, understand and interpret the output in detail and will be confident to carry out the analysis and ocnclusions with respect to appropriatness and limitation of the methodology used.
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