Econometric Theory and Methods

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM835B05
Vaknaam Econometric Theory and Methods
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester I a
ECTS 5
Rooster rooster

Uitgebreide vaknaam Econometric Theory and Methods
Leerdoelen Upon completion of the course the student is able to:
1. Interpret and apply advanced econometric theory and methods of estimation.
2. Write reports with results of analyses of mathematical, estimation and testing assignments using a computing environment such as MATLAB.
3. Analyze formally advanced econometric models.
4. Communicate the own results in written reports.
5. Fluently apply algebraic techniques in a multivariate stochastic context.
Omschrijving The course gives an advanced treatment of econometric methods. Both matrix algebra and computing skills play an important role. The course provides substantial feedback on written reports about assignments. The topics cover:
• Statistical properties of OLS
• Hypothesis testing in linear regression models: exact, large sample, simulation based, power,
• Confidence sets: exact, bootstrap, heteroskedastic-consistent,
• Nonlinear regression: method of moments, NLS, Gauss-Newton regression, heteroskedastic robust testing,
• Generalized least squares: feasible GLS, AR and MA processes, testing for serial correlation, autoregressive errors, specification testing.
Uren per week 4
Onderwijsvorm gecombineerde hoor-/werkcolleges
Toetsvorm opdracht(en), schriftelijk tentamen met open vragen
(assignment(s) 40%, written exam with open questions 60%)
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 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 Intelligence) 1 semester I a keuze
Research Master in Economics and Business  (Business Analytics & Econometrics) 1 semester I a verplicht
Research Master in Economics and Business  (keuzevakken ReMa-Research Methods) 1 semester I a keuze