In the course Applied Econometrics you will be introduced to the linear model in econometrics, including OLS, GLS and IV estimation. Towards the end of the course you should be able:
- to interpret and evaluate estimation results, including adequacy of employed estimators and test procedures;
- to judge the appropriateness of certain assumptions (homoscedasticity, linearity, parameter constancy), and to test them statistically;
- to perform your own empirical study, including model building and selection, misspecification testing, and economic interpretation and forecasting.
This course gives an introduction to the application of econometric techniques to problems in business and management. Focus will be upon the implementation of the linear regression model with non-experimental data. Attention will be paid to estimation, hypothesis testing, specification analysis, misspecification, interpretation, causality, model choice, autocorrelation, heteroskedasticity, and robust inference. A large number of illustrations will be covered and students are expected to complete a small empirical research project. The course will conclude with a short introduction to alternative estimation techniques, like instrumental variables and maximum likelihood.
Essay (15-20 pages) on economic or managerial problem, using empirical data and appropriate econometric techniques. To be completed in groups of 1 or 2. Determines 50% of the course grade. Written exam (closed book). Determines 50% of the course grade.
M. Verbeek (2017), A Guide to Modern Econometrics, 5th edition, John Wiley and Sons, Chapters 1, 2, 3, 4, and selected parts of Chapters 5 and 6.
The timetable for this course can be found in the EUR course guide.
ERIM PhD candidates and Research Master students can register for this course via Osiris Student.
External (non-ERIM) participants are welcome to this course. To register, please fill in the registration form and e-mail it to the ERIM Doctoral Office by four weeks prior to the start of the course. For external participants, the course fee is 260 euro per ECTS credit.