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Advanced Econometrics: Theory


  • The course is usually offered in winter term.
  • In addition to the lecture, practices are offered during which problems from the lectures are being discussed and solved.
  • Please use KLIPS2.0 for finding information on dates of lectures and practices.

Contents and objectives

Students will implement  and discuss different methods of estimation and testing. They will apply proper econometric models and the corresponding methods of inference in order to conduct empirical studies in modern Macro- and Microeconometrics.  

Contents of the module are: 

  • The classic linear regression model
  • Tests with the linear regression model 
  • Generalized linear Model
  • Asymptotics
  • Maximum Likelihood
  • Instrument variablen / GMM
  • Structural breaks
  • Unit roots and cointegration