Helmut Lütkepohl

The course is intended for master students (with sufficient background in econometrics) as well as PhD students. Part I is taught by Professor Lütkepohl. It is designated for both groups and counts for 6 ECTS. Part II is given by Dr. Daniel Kemptner and can be selected by master students by special arrangements only. Both Parts I and II are compulsory for PhD students.

Part I: Beginning on October 16th, 2015, the lecture will usually take place in the DIW on Fridays, 09:00 (s.t.) – 12:30 (4h lecture). Additionally there will be a 2h exercise class on Mondays, 09:30 (s.t.) - 11:00, starting on October 19th. Grading will be based on homework assignments and a final exam. The final exam for Part I will probably take place on December 18th, 2015 at the DIW.

Part II: Beginning after Part I, the course will also take place Fridays, 9:00 -12:30 plus an exercise class on Mondays. Grading will be based on homework assignments and a final exam.

More and updated information will be announced here later.
 

Contents for Part I

1. The Classical Linear Regression Model 

2. Asymptotic Theory

3. Single-Equation Generalized Method of Moments (GMM) Estimation

4. Time Series Methods

Extended contents and information part I

(Part I of the course is especially useful for master students who are interested in joining a PhD programme in economics after their master studies. They should check with the coordinators of their master programmes whether the course can be chosen as part of their master programme.)
 

Contents for Part II

1. Simultaneous equations models

2. Linear panel data models

3. Static discrete choice models

4. Limited dependent variables

5. Event counts and duration

6. Simulation-assisted estimation

7. Dynamic discrete choice models