Lecturer: Prof. Dr. Lars Winkelmann, Anton Velinov, Ph.D.
Lecture: Friday, 9am - 1pm
Exercise session: Monday, 10am - noon
Econometric Methods I Part I covers commonly used estimation techniques, such as Ordinary Least Squares, Maximum Likelihood, Generalized Least Squares, etc. The Generalized Method of Moments framework is introduced and several popular estimators (IV, 2SLS, 3SLS, FE, RE) are derived from it. Part II provides a survey of the theory of time series methods in econometrics. Topics include univariate stationary and non-stationary models, vector autoregressions, cointegration and volatility models. Asymptotic properties of estimators are an integral part of the course and are derived throughout the lectures.