Dr. Helmut Farbmacher
 
University of Mannheim



University of Mannheim; Autumn Term 2017

Applied Econometrics

Lecture and class



Announcements

  • Lecture slides are now available. They are password protected. The password will be announced in the lecture. The lecture slides are also available on ILIAS (without password protection).

Lecture slides and lecture notes (PDF)

  • Syllabus and References
  • Lecture 1
  • Lecture 2
  • Additional slides about variance
  • Lecture 3
  • Lecture 4
  • Lecture 5
  • Lecture 6
  • Lecture 7
  • Lecture 8
  • Lecture 9
  • Lecture 10
  • Lecture 11
  • Lecture 12
  • Class notes

  • Stata class 1
  • Derivation OLS
  • Stata class 6
  • Stata class 7
  • Description

    In this module we will review essential statistical concepts, including probability, random variables, distributions, correlation, sampling, estimation, confidence intervals and hypothesis testing. The course will cover fundamental methods for microeconomic data (with focus on linear models), including instrumental variables estimation. We will also discuss how results from such analyses can be interpreted and applied in the context of managerial decision-making. Furthermore, we will address some limitations and potential pitfalls of econometric methods. The target audience are graduate students (M.Sc. Management). The goal of this course is to give a solid introduction to microeconometric methods. The students should be enabled to understand basic concepts and to utilize these results for their own applied work.
    Grading is based on a written exam (90 minutes).

    Lecture Friday 10.15-11.45, SN163, first lecture 8th September 2017

    Classes

  • Friday, 8.30-10.00, L7, 3-5, P158
  • Monday, 8.30-10.00, L7, 3-5, S031
  • Monday, 10.15-11.45, L7, 3-5, P158
  • Wednesday, 13.45-15.15, L7, 3-5, S031
  • Wednesday, 15.30-17.00, L7, 3-5, S031
    You are required to enroll for one of the five exercise classes offered via Portal2 (1.-5. "Parallelgruppe") to ensure that everyone gets a desk in the computer pool. The exercise sessions start in the second week. We will use Stata to get some hands-on experience with data analysis.

    Outline of the course

  • Main concepts in probability theory, statistics and econometric analysis
  • Linear regressions with one regressor
  • Linear regressions with multiple regressors (Hypothesis testing; Omitted variables; Model specification; Heteroskedasticity)
  • Linear Probability Model
  • Internal and external validity
  • Repeated Cross Sections; Differences in Differences and Panel Data
  • Overview instrumental variables estimation



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