Advanced Topics in Econometrics

  • Credits: 10
  • Ending: Examination
  • Range: 32sP
  • Semester: winter
  • Year: 2
  • Faculty of Economics and Finance

Teachers

Included in study programs

Economics

Teaching results

Knowledge
Students will understand modern econometric tools and they will have a knowledge to evaluate new research results in many areas of econometrics.
Skills
Development of analytical skills to a level where absolvents are able to evaluate critically advanced econometric research outcomes, and to design and carry out their own research project.
Development of technical skills to a level where absolvents understand and are able to apply sophisticated econometric tools.
Development of computer programming skills, such that absolvents can implement their knowledge in practice.
Competencies
Students will be able to apply most modern econometric tools in empirical studies.

Indicative content

1. – 3. Identification problem. Asymptotic theory. Asymptotic properties of OLS and GLS estimators. FGLS estimator.
4. – 6. ML estimators. Implementation of ML estimation in Stata.
7. – 12. Method of moments. GMM estimator. Implementation of GMM in Stata. Binary and multinomial models. Static and dynamic panel models. Arellano-Bond estimator. Implementation of dynamic panel models in Stata.

Support literature

Wooldridge, J.M., 2010. Econometric analysis of cross section and panel data. MIT press, 2010.
Greene, W.H., 2000. Econometric analysis 4th edition. International edition, New Jersey: Prentice Hall, 2000.
Crespo Cuaresma, J., Havettová, M., & Lábaj, M. 2013. Income convergence prospects in Europe: Assessing the role of human capital dynamics. Economic Systems, 37(4), 493–507. https://doi.org/10.1016/j.ecosys.2013.02.004
Crespo Cuaresma, J., Lábaj, M., & Pružinský, P. (2014). Prospective ageing and economic growth in Europe. Journal of the Economics of Ageing. https://doi.org/10.1016/j.jeoa.2014.05.003

Requirements to complete the course

40% - individualized assignments
60% - final exam
Total study load (in hours): 260 hours (consultations 32, preparation for consultations 58, elaboration of individualized assignments 80, preparation for the final exam 90)

Language whose command is required to complete the course

English language

Date of approval: 10.02.2023

Date of the latest change: 14.06.2021