Advanced Econometrics and Data Science - 7.5 ECTS - HYBRID

The course will run on 7 days in the Spring Semester 2025 with 6 hours per day. The first 6 days consists of 4 hours lectures and 2 hours computer sessions, which makes 36 hours. The remaining 6 hours are reserved for student presentations on the last day of the course. In the case of more than 12 participants, an additional contact hour is added per every 2 additional participants to accommodate the additional presentations.

Aim of the Course and Learning Objectives

After the course, students shall be able to:

• demonstrate knowledge of the concepts, models, methods and tools of econometrics and data science as discussed during the course (when to apply what and why),
• read and understand international research papers that develop or employ econometric and data science methods in relation to the course,
• perform an econometric analysis including identification of the problem, formulation of the theoretical background, specification of a suitable statistical model, proper estimation of the model, and relevant hypothesis testing and inference, 
• and to evaluate an empirical study conducted by another person/researcher that uses methods in relation to the course

Topics covered by the course include:

General Econometrics & Data Science:

• Nonparametric Density and Regression, Semiparametric Regression
• Quantile Regression
• Resampling techniques

Cross Section Econometrics:

• Limited Dependent Variable models (Multiple Valued Discrete Responses, Continuous Dependent Variables)
• Policy Analysis (Regression Based, IPW, Matching, Synthetic Control)
• Decomposition Methods (Mean, Distribution)
• Duration Models (Single and Competing Risks)

Teaching methods

Face-to-Face teaching with the option to join online (hybrid). Zoom links will be available prior to course start via CBS’s virtual learning environment (Canvas).

Lectures and computer-based exercise classes. Students need to bring their own laptop.

Software: STATA licenses are available for CBS students. Students from other universities need to have their own license. R is open source.

Assessment

Extended essay (up to 10 pages) and student presentation (20 minutes+ 10 minutes discussion) on a topic related to the course content. The topic is chosen by the student and needs approval by the lecturer.

Grading scale

7-step scale

Course literature

This is indicative:

• Lecture Notes
• Jeffrey Wooldridge (2010), Econometric Analysis of Cross Section and Panel Data, 2^nd edition, MIT Press: Cambridge, Mass.
• A.Colin Cameron, Pravon Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press.
• Bruce Hansen (2022), Econometrics, Princeton University Press.
• Academic journal articles on topics taught in the course.

 
Student workload

Lectures/ class exercises / student presentations: 42 hours
Preparation time (readings, self study etc.): 88 hours
Home assignment: 80 hours
Total: 210 hours

The course has 36 lectures (à 45 minutes). Lectures take place 6 hours a day on 6 days between 9:00-12:00 and 13:00 and 16:00. This is followed by at least 6 hours of student presentations on 1-2 days. An additional contact hour for every two participants is added if the number of course participants exceeds 12. If the number of participants exceeds 14, the student presentations will take place on two adjacent days, otherwise on one day only. This means the minimum number of contact hours is 42.

Time table

The following tables contain provisional timing of topics with main references. More references will be provided during the course.

Main textbooks

• W2010: Jeffrey Wooldridge (2010), Econometric Analysis of Cross Section and Panel Data, 2^nd edition, MIT Press: Cambridge, Mass.
• CT2005: A.Colin Cameron, Pravon Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press.
• H2022: Bruce Hansen (2022), Econometrics, Princeton University Press.

Registration Deadline and Conditions

The registration deadline is 19 December 2024. If you wish to cancel your registration, it must be done by this date. By this deadline, we determine whether there are enough registrations to run the course or decide who should be offered a seat if we have received too many registrations.