Advanced Econometrics & Data Science

Updated: about 6 hours ago
Deadline: 10 Mar 2023

1192401

Course
Advanced Econometrics & Data Science

Faculty
Ralf A. Wilke, Professor, CBS, Department of Economics

Course coordinator
Ralf A. Wilke, Professor, CBS, Department of Economics, rw.eco@cbs.dk

Prerequisites
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). 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 an M.Sc. in Economics or Econometrics.

Aim

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.  

Course content

Designed for PhD students in Economics and related disciplines who want to deepen their understanding of econometrics & data science 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 and data science methods and methods for cross sectional 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 with a number of empirical computer exercises. The course is centered around topics which of interest to a wider audience, rather than focusing on very specialised topics.  

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) 

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

Teaching style

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. 


Lecture plan

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. 
 

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


24.1.2023
Morning -  Intro (1h), Non-semiparametric models (2h)
Afternoon - Non-semiparametric models (2h) , Quantile regression (1h)
25.1.2023
Morning - Quantile regression (3h)
Afternoon - Resampling methods (3h)
31.1.2023
Morning - Limited Dependent Variable models (3h)
Afternoon - Limited Dependent Variable models (3h)
1.2.2023
Morning - Limited Dependent Variable models (2h), Policy analysis (1h)
Afternoon - Policy analysis (3h)
7.2.2023
Morning - Policy analysis (3h)
Afternoon - Decomposition methods (3h)
8.2.2023
Morning - Duration models (3h)
Afternoon - Duration models (2h), QA, Summary & Evaluation (1h)
3.3.2023
9:00 - Project Submission Deadline, by email: rw.eco@cbs.dk
9.3.2023
Whole day - Student presentations, feedback & open discussion – CBS and external students
10.3.2023
Morning - Student presentations, feedback & open discussion – CBS students
Topic Main References
- Non-semiparametric models - CT2005, Chapter 9
- Quantile regression - CT 2005, Chapter 4.6; W2010, Chapter 12.10
- Resampling methods - CT2005, Chapter 11
- Limited dependent variable models - W2010, Chapters 16, 17, 18.2, 19.2, 19.5
- Policy analysis - W2010, Chapter 21; CT2005, Chapter 25
- Decomposition methods - Fortin, N., Lemieux, T. and Firpo, S. (2011)
- Duration models - CT2005, Chapters 17-19; W2010, Chapter 22

Learning objectives

Exam

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

Other

Start date
24/01/2023

End date
10/03/2023

Level
PhD

ECTS
7.5

Language
English

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. 

Main textbooks:

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. 

Fee
9750,- / Euro ~ 1330,- (incl exchange fee)

Minimum number of participants

Maximum number of participants
18

Location
Copenhagen Business School
Porcelænshaven 16B
2000 Frederiksberg
Room: TBA

Contact information
For administrative purposes:
Nina Iversen
CBS PhD Support
ni.research@cbs.dk
For issues related to the course content please contact
Course coordinator Professor Ralf A. Wilke
CBS Department of Economics
rw.eco@cbs.dk

Registration deadline
14/12/2022


Note: The registration is binding after the registration deadline.
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