Recent Developments in Econometrics

Module: Recent Developments in Econometrics (6 Credits)
Name in diploma supplement	Recent Developments in Econometrics
Responsible	Prof. Dr. Christoph Hanck
Admission criteria	See exam regulations.
Workload	180 hours of student workload, in detail: Attendance: 60 hours Preparation, follow up: 60 hours Exam preparation: 60 hours
Duration	The module takes 1 semester(s).
Qualification Targets	Students acquire broad skills regarding advanced econometric techniques know how to apply these to tackle questions in empirical economics understand the formal properties of key econometric techniques and are able to derive these mathematically suitably translate economic problems into an econometric model and select adequate econometric and statistical techniques as well as appropriate data critically assess empirical results independently solve applied problems using appropriate statistical software independently tackle formal as well as applied exercises
Relevance	The module is practically relevant, as answering a large fraction of economic questions at least partially requires the use of modern econometric techniques as well as skills as to how to use and implement these on a computer. Moreover, knowledge of the formal properties of core econometric techniques enables students to independently understand and select from further methods later on in their careers.
Module Exam	Zum Modul erfolgt eine modulbezogene Prüfung in der Gestalt einer Klausur (in der Regel: 60-90 Minuten) oder einer mündlichen Prüfung (in der Regel: 20-40 Minuten). Die konkrete Prüfungsform (Klausur versus mündliche Prüfung) wird in der ersten Vorlesungswoche von der zuständigen Dozentin oder dem zuständigen Dozenten festgelegt. Examination in this module is by way of a written exam (typically 60-90 minutes) or an oral exam (typically 20-40 minutes). The specific type of examination (written or oral) will be communicated in the first class.
Usage in different degree programs	BWL EaF Master > Wahlpflichtbereich > 1.-3. Sem, Elective ECMX Master > Pflichtbereich > 1. Sem, Compulsory GOEMIK Master > Wahlpflichtbereich > Bereich Volkswirtschaftslehre > 1.-3. Sem, Elective VWL Master > Wahlpflichtbereich I > 1.-3. Sem, Elective WiMathe Master > VWL-M I > 1.-3. Sem, Elective WiMathe Master > VWL-M II > 1.-3. Sem, Elective
Elements	Lecture Recent Developments in Econometrics (3 Credits) Exercise Recent Developments in Econometrics (3 Credits)
Module: Recent Developments in Econometrics (WIWI‑M0163)

Lecture: Recent Developments in Econometrics (3 Credits)
Name in diploma supplement	Recent Developments in Econometrics
Organisational Unit	Lehrstuhl für Ökonometrie
Lecturers	Prof. Dr. Christoph Hanck
Hours per week	2	Language	English
Cycle	winter semester	Participants at most	###LABEL_NOLIMIT###
Preliminary knowledge Basic knowledge of econometric methods as, for example, taught in the module "Methoden der Ökonometrie" as well as good knowledge of mathematical statistics (e.g., distributions) and mathematics (e.g., matrices). Some recap will be offered as needed.
Abstract The goal of the course is to provide students with broad knowledge regarding core as well as more recent econometric methods, with a particular focus on their formal properties.
Contents Topics such as econometric methods: estimating causal effects asymptotics heteroskedasticity simultaneous equations (3SLS, SUR etc.) GMM IV panel data empirical processes (only offered irregularly when the above core topics are offered and covered elsewhere): asymptotics: Review of modes of convergence Weak, Strong, general Law of Large Numbers, Law of Iterated Logarithm Ergodic Theorem, Delta Method Central Limit Theorems, regular and functional Transformations: variance stabilization and symmetrization empirical processes: Weak convergence, outer integrals, measurability Maximal inequalities, covering numbers Symmetrization Donsker Theorem, Vapnik Cervonenkis classes, invariance principle Hadamard differentiability Bootstrap, Delta method for the bootstrap Semiparametric methods nonparametric econometrics (only offered irregularly when the above core topics are offered and covered elsewhere): Univariate density estimation Inference about the density Nonparametric regression Regression with discrete covariates Uniform Central Limit Theorems for Nonparametric Statistics
Literature DasGupta, A. (2008). Asymptotic Theory of Statistics and Probability, Springer Hayashi, F. (2000). Econometrics. Princeton [u.a.]: Princeton Univ. Kosorok, M. (2008). Introduction to Empirical Processes and Semiparametric Inference, Springer Pagan, R., Ullah, A., (2008). Nonparametric Econometrics: Theory and Parctice. Cambridge Univ. Press Serfling, R., (1982). Approximation Theorems of Mathematical Statistics. Wiley and Sons Shorak, G., Wellner, J., (1986). Empirical Processes with Applications to Statistics, Wiley and Sons van der Vaart, A., Wellner, J. (1996). Weak Convergence and Empirical Processes, Springer van der Vaart, A., (1998). Asymptotic Statistics. Cambridge Univ. Press Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data (2. Aufl.). Cambridge, Mass. [u.a.]: MIT Press
Teaching concept Lectures with the intention of jointly discussing and developing as much of the material as possible. Additionally, joint programming in R as well as other tutorials.
Lecture: Recent Developments in Econometrics (WIWI‑C0465)

Exercise: Recent Developments in Econometrics (3 Credits)
Name in diploma supplement	Recent Developments in Econometrics
Organisational Unit	Lehrstuhl für Ökonometrie
Lecturers	Prof. Dr. Christoph Hanck
Hours per week	2	Language	English
Cycle	winter semester	Participants at most	###LABEL_NOLIMIT###
Preliminary knowledge see lecture
Contents see lecture
Literature see lecture
Exercise: Recent Developments in Econometrics (WIWI‑C1130)