Advanced Econometrics (WI001273) (FIM)
| Lecturer (assistant) | |
|---|---|
| Number | WI001273VO |
| Type | lecture |
| Duration | 2 SWS |
| Term | Wintersemester 2025/26 |
| Language of instruction | English |
| Position within curricula | See TUMonline |
| Dates | See TUMonline |
Dates
- 16.10.2025 10:00-13:30 Externer Ort (siehe Anmerkung)
- 23.10.2025 10:00-13:30 Externer Ort (siehe Anmerkung)
- 30.10.2025 10:00-13:30 Externer Ort (siehe Anmerkung)
- 06.11.2025 10:00-13:30 Externer Ort (siehe Anmerkung)
- 13.11.2025 10:00-13:30 Externer Ort (siehe Anmerkung)
- 20.11.2025 10:00-13:30 2566, Seminarraum
- 11.12.2025 10:00-13:30 2566, Seminarraum
- 18.12.2025 10:00-13:30 2566, Seminarraum
Admission information
Objectives
Students will learn advanced methods of econometrics. The course focuses on advanced econometric modeling for cross sectional and panel data and it discusses suitable estimators for causal analysis. In particular the course covers methods for treatment effect estimations. The course discusses the concept of causality and presents different econometric strategies for causal identification using observational data. The overall goal of the course is to train critical reading of causal claims in the social sciences and to provide the tools needed to do causal inference in practice to applications in finance, management or economics.
Description
1) Introduction: What is a causal effect?
2) Regression Analysis I: Simple and Multiple Regression
3) Regression Analysis II: Inference and Interpretation
4) Regression Analysis III: Advanced Topics (Panel Data & Fixed Effects)
5) Natural Experiments & Auxiliary Analyses
a. Difference-in-Differences
b. Matching Methods
c. Interrupted Time Series & Synthetic Controls
d. Regression Discontinuity Design
e. Instrumental Variables
6) Empirical Application Project
2) Regression Analysis I: Simple and Multiple Regression
3) Regression Analysis II: Inference and Interpretation
4) Regression Analysis III: Advanced Topics (Panel Data & Fixed Effects)
5) Natural Experiments & Auxiliary Analyses
a. Difference-in-Differences
b. Matching Methods
c. Interrupted Time Series & Synthetic Controls
d. Regression Discontinuity Design
e. Instrumental Variables
6) Empirical Application Project
Prerequisites
Module: Applied Econometrics
Teaching and learning methods
The course covers theoretical concepts as well as empirical applications. Exercise classes are supppsed to provide opportunities for practice and group work.
Recommended literature
J.F. Wooldridge (2012): "Econometric Analysis of Cross Section and Panel Data", Cambridge University Press, MA.
J. Angrist & J.-S. Pischke (2009): “Mostly Harmless Econometrics, Princeton University Press, NJ.
J. Angrist & J.-S. Pischke (2015): “Mastering Metrics”, Princeton University Press, NJ
J. Angrist & J.-S. Pischke (2009): “Mostly Harmless Econometrics, Princeton University Press, NJ.
J. Angrist & J.-S. Pischke (2015): “Mastering Metrics”, Princeton University Press, NJ