CM_AE58 - Applied Econometrics* - CLOSED FOR FURTHER ENROLLMENT

Faculty
Lisbeth F. la Cour

Course Coordinator
Lisbeth F. la Cour

Prerequisite/progression of the course

Open for exchange students.
Closed for students under Open University (Åben Uddannelse).
Please note that you cannot choose this course if you're an AEF-student.
The exam in this course cannot be replaced with a term paper.

Course content, structure and teaching

Some of the main tools of econometrics that are standard when analyzing data

from fields such as industrial organization, economics and finance at the graduate level are introduced. Emphasis will be on analysis of economic data by means of statistical models, i.e. regression models and time series models. Some relevant software will be used in handling data introduced for computer based exercises and illustrations. Integration with the other courses at the line will take place via the selection of material for illustrations and exercises.

Some of the topics covered are:

The simple and multiple regression models and their interpretation.
Basic time series models (ARIMA), identification, estimation, testing and forecasting
Time series econometrics. More advanced topics (e.g. ARCH) only at the introductory level

Learning Objectives

After this course it is the aim that the students can:

• Demonstrate knowledge of the concepts, models, methods and tools of econometrics as discussed during the course (when to apply what and why).
• Perform a fairly simple econometric analysis in practice. This implies being able to:
1. Identify the problem and phrase the purpose of the analysis. Formulate the theoretical background for solving the problem.
2. Specify a suitable econometric model including the assumptions of the model.
3. Estimate the model using an appropriate method.
4. Discuss and solve any important problems encountered in relation to the analysis (e.g. heteroscedasticity for a crosssectional data set).
5. Perform hypotheses testing of both simple and more composite hypotheses.
6. Apply the model for the purpose it was constructed for (e.g. testing a theory or making forecasts).
7. Report the results of the analysis both if the reader of the report is an econometrician and if the reader is a non-econometrician (e.g. the CEO).
8. Conclude upon the analysis.
Evaluate an empirical study conducted by another person/researcher
Read and interprete output from the SAS computer programme.

Type of examination, exam aids and assessment

3-day preparatory data analysis followed by individual 4-hour written, open book examination

Teaching methods

Lectures and discussions in class, exercises.

Course literature