Econometric Theory and Methods

Faculteit Economie en Bedrijfskunde
Jaar 2021/22
Vakcode EBM835B05
Vaknaam Econometric Theory and Methods
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I a
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Uitgebreide vaknaam Econometric Theory and Methods
Leerdoelen Upon completion of the course the student is able to:
1. Formally analyze advanced econometric models;
2. Apply, interpret, and assess advanced econometric theory and methods of estimation;
3. Write reports on analyses of mathematical assignments;
4. Write reports on analyses of empirical assignments using a computing environment such as MATLAB.
Omschrijving The course gives an advanced treatment of econometric theory and methods.
The first part covers least squares estimation. Both finite and large sample properties and inference are discussed. The second part covers generalized method of moments estimation. The discussion encompasses different estimators, large sample properties and testing. The last part covers extremum estimators. The main focus is on large sample properties and testing. Additionally, computational aspects will be addressed.
Mathematical and computational skills play an important role. The course provides feedback on written reports about assignments.
Uren per week 4
Onderwijsvorm gecombineerde hoor-/werkcolleges
Toetsvorm -groepsopdracht,  -schriftelijk tentamen (open vragen)
Vaksoort master
Coördinator M. Kesina, PhD.
Docent(en) M. Kesina, PhD.
Verplichte literatuur
Titel Auteur ISBN Prijs
Econometrics, Princeton University Press, 2000 Hayashi, F. 9780691010182 ca. €  60,00
Journal articles Various
Entreevoorwaarden (Exchange) students should have a solid background in Mathematics, Statistics, and Econometrics at a level comparable to students who completed the BSc EOR. The course is not suited for exchange students who don't have this background.
Opmerkingen Info: Dr. Michaela Kesina, phone: +31(0)50 36 33151, e-mail: Secretary: Kim Beute, phone: +31(0)50 36 37018, e-mail:
Opgenomen in
Opleiding Jaar Periode Type
Courses Exchange (MSc)  ( Courses Exchange Students (MSc) without limited access) 1 semester I a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester I a keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Econometrics) 1 semester I a verplicht
MSc Economics  (keuzevakken B MSc Economics) 1 semester I a keuze
MSc Marketing  (keuzevakken Marketing Analytics and Data Science (MADS)) 1 semester I a keuze
Research Master in Economics and Business  (keuzevakken ReMa-Research Methods) 1 semester I a keuze