Econometrics (Advanced Level)

2024/2025

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Economics

Course type:

Compulsory course

When:

2 year, 1 module

Instructor

Skorobogatov, Alexander

Course Syllabus

Abstract

The course is designed for first-year graduate (Master) students following the program “Finance”. Its main goal is to familiarize the students with advanced methods of econometric research in economics and finance. In particular, the course accentuates the problem of endogeneity and the ways to address it in the analysis of cross-sectional and panel data. The course is of applied nature: The material is presented, whenever possible, in a non-technical way, examples of empirical studies published in leading international economics and finance journals are discussed, and the lectures are supplemented by exercises in the computer lab. The topics covered include: A review of the classical linear regression model; Causes and consequences of endogeneity; Instrumental variables methods; Key panel data techniques; Difference-in-difference estimation techniques; An overview of the matching models and regression discontinuity designs. Computer exercises using the statistical software package “Stata” are an integral part of the course, which ensures that the students get hands-on experience of analyzing real world data.