Advanced Econometrics 2020

Updated: about 1 month ago
Deadline: 01 Jan 2020

Advanced Econometrics 2020
PhD School in Economics and Management at CBS
Professor Ralf A. Wilke, Department of Economics, CBS

Course coordinator
Professor Ralf A. Wilke

Estimation of and Inference for the multiple regression model (OLS, 2SLS, LPM, F-,t-,LR-,Wald-, LM-tests), Maximum Likelihood Estimation, Regression with Binary Dependent Variable, Matrix Algebra, Basic concepts of asymptotic theory (consistency and asymptotic normality). Knowledge of either Stata or R. The course is compulsory for the PhD students of Copenhagen Business School’s Department of Economics, but also open to other PhD students who have the equivalent knowledge in econometrics of a M.Sc. in Economics or Econometrics.


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

Course content

Designed for PhD students in Economics and related disciplines who want to deepen their understanding of econometrics and widen their statistical methods repertoire for their thesis and later career. The material is useful for students doing empirical work, research on Econometrics or both. The course covers general econometric methods and methods for cross section data. Topics are illustrated in lectures by empirical examples. Stata and  R sample code is made available. Students will be offered the opportunity to deepen their understanding of the material during a number of computer classes. The course is centered around topics which should be of interest to a wider audience, rather than focusing on very specialized topics. An introduction to Stata will be provided.

Topics covered by the course include:

General Econometrics:

  • 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)

A final list of topics will be given during the lectures.

Teaching style

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.

Lecture plan

The course comprises of 42 contact hours which are on 7 days with 6 hours each between 9:00-12:00 and 13:00 and 16:00 on 28-29-30 January, 4-5-6 February and 5-6 March 2020.

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.

Learning objectives
Please see under Aim


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-point grading scale


Start date

End date




Course Literature

This is indicative:

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

DKK 9,750 - EUR 1,315 (including exchange fee)

Minimum number of participants

Maximum number of participants

The course will run on 7 days in the Spring Semester 2020 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. 
Location: Copenhagen Business School, Frederiksberg, Denmark, room TBA

Contact information

PhD Support

Anja Knudsen

Registration deadline
The registration is binding after the registration deadline.


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