Master
2024/2025
Econometrics. Advanced Level
Type:
Compulsory course (Financial Economics)
Area of studies:
Economics
Delivered by:
International College of Economics and Finance
When:
1 year, 1-4 module
Mode of studies:
offline
Open to:
students of one campus
Instructors:
Бахтиева Камилла Азаматовна,
Sofya Budanova,
Elena Kotyrlo,
Ilya S. Slabolitskiy,
Fabian Slonimczyk
Master’s programme:
Financial Economics
Language:
English
ECTS credits:
12
Course Syllabus
Abstract
The main objectives of the first part of Econometrics are to introduce students to basic econometric techniques and to prepare them to do their own applied work. Students are encouraged to think of the course as a preparation toward their thesis research project. The course is taught in English. The purpose of the course is not only to develop new skills in econometric tools and their application to contemporary economic problems, especially in financial economics, but also to study theoretically econometric methods and to review some sections of econometrics on a solid theoretical background. The course is split into two semesters.
The first semester:
We look at the basics of linear regression and its multiple uses in applied economics. We cover important issues such as: when can a regression be interpreted causally? what is the right way to calculate standard errors? when are regressions good approximations to the conditional expectation function? We also cover many of the most common experimental and non-experimental designs, including matching, fixed effect models, differences in differences, regression discontinuity, synthetic control groups and more.
The second semester:
In the first module of the semester, we cover fundamental topics in time series analysis, such as ARMA models, non-stationary time-series, Brownian motion and unit root tests, cointegration, VAR and VECM. During the second module students study binary choice models (logit, probit, tobit, Heckman) and basic concepts of panel data analysis (pooled regression, fixed and random effects, dynamic panel models, binary choice panel data). All topics are accompanied with real data examples in R, Stata, EViews, and JMulTi. The course is taught in English. Course Pre-requisites: Calculus, Probability Theory and Statistics at an intermediate level. Completion of Mathematics for Economics and Finance course is required. Successful completion of Econometrics will allow students to take the Financial Econometrics class.