Econometric Inference

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM021A05
Vaknaam Econometric Inference
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I b
ECTS 5
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Uitgebreide vaknaam Econometric Inference
Leerdoelen Upon completion of the course the student is able to:
1. Interpret and apply advanced econometric theory and methods of estimation, specification and inference.
2. Write reports with results of analyses of testing assignments.
3. Both formally analyze advanced econometric models and apply advanced techniques for inferential purposes.
4. Communicate the own results in written reports.
Omschrijving The course gives an advanced treatment of econometric inferential methods.The course provides feedback on academically written reports about assignments. The topics cover:
• Instrumental Variable Estimation: large-sample testing, bootstrap testing, Durbin-Wu-Hausman testing, nonlinear models,
• Generalized method of moments: GMM for linear models, HAC estimation, nonlinear models, method of simulated moments,
• Maximum likelihood, asymptotic properties, three classical tests, autoregressive errors,
• Multivariate models: SUR model, linear simultaneous equations, maximum likelihood estimation, LIML, FIML, nonlinear models.
Uren per week 4
Onderwijsvorm gecombineerde hoor-/werkcolleges, zelfstudie
Toetsvorm opdracht(en), schriftelijk tentamen
Vaksoort master
Coördinator prof. dr. P.A. Bekker
Docent(en) prof. dr. P.A. Bekker
Verplichte literatuur
Titel Auteur ISBN Prijs
Econometric Theory and Methods, Oxford University Press, edition 2004 (or later) Davidson, and McKinnon
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: Prof. Paul Bekker, phone: +31(0)50 363 3817, e-mail: p.a.bekker@rug.nl
Secretary: Martine Geerlings-Koolman, phone: +31(0)50 363 7018, e-mail: m.a.koolman@rug.nl
Opgenomen in
Opleiding Jaar Periode Type
Courses open to Exchange Students (MSc)  ( Courses open to Exchange Students (MSc) without limited access ) 1 semester I b keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester I b keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Econometrics) 1 semester I b verplicht
MSc Economics  (keuzevakken B MSc Economics) 1 semester I b keuze