Econometrics

About the course

Subjects

Microeconomics Macroeconomics International economics Statistics Quantitative methods

Course content

The aim of the course is to provide the students with an understanding of models, estimation methods within the field of econometrics. Cross sectional, and panel data sets will be used to analyze various economic models. The course provides both a theoretical and an applied (hands on) angle on the topic. The course consists of two parts, the first of which is a (high level) presentation of estimation and inference methods for the multiple linear regression model. Here practical aspects are covered and statistical properties are proved. In the second part the course covers several topics from Micro- and Panel Econometrics. In particular, it elaborates the use of single equation regression models with an emphasis on endogeneity problems and instrumental variable estimation based on cross sectional data set. It focuses on the analysis of panel data sets – their merits, special problems, estimation methods etc. Finally, it covers binary dependent variable models. The course builds on a standard introductory course in econometrics. Knowledge of fundamental concepts of mathematics and statistics is required. Students need to be familiar with matrix notation.

See course description in course catalogue

What you will learn

Explain and present correctly econometric methods of estimation and inference for cross section, time series and panel data, and models with limited dependent variables.
State and prove properties of least squares and maximum likelihood estimators.
Choose an econometric model, form those introduced in the course, and explain why it is the suitable model for the specific situation.
Interpret estimation results in STATA output correctly and comment on appropriateness of their presentation.
Relate STATA code and STATA output to the econometric models introduced in the course.
Estimate the model and be able to interpret the estimation results, using appropriate software (STATA).

Course prerequisites

This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the entry requirements for this programme. The course has 60 contact hours and there is a high level of interaction betw. lecturer and students, and in general a high work load. The course has a high technical level and is intended for OECON students. Students are required to have the knowledge of the content of the introductory econometrics course "BA-BHAAI1108U Introduction to Econometrics with R" or equivalent. This includes that basic tools and fundamentals of mathematics and statistics are already known to students (Compare Appendices A-D in Wooldridge, 2020, Introductory Econometrics, 7th Edition, Cengage ). To sign up send a 1-page motivational letter and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https://studentcbs.sharepoint.com/sites/ChoicesAndOptions/SitePages/en/Registration-for-electives.aspx ) Please also remember to sign up through the online registration.

Facts

Level

Master

Type

Mandatory course – also offered as elective

ECTS

7.5

Code

CEADO1004U

Teaching periods

Autumn – semester

Academic year

2025/2026

Status

Available places

Teaching language

English

Teaching Format

Hybrid

Exams

Written exam on campus
Individual exam, autumn
Written exam on campus
Individual exam, winter

Assessment type

7 point grading scale