Econometric Methods

This course covers the fundamentals of the linear regression model from a theoretical perspective. We will illustrate the concepts and techniques using simple examples in R. The well-understood linear model serves as a basis for our understanding of most modern statistical methods. A sound working knowledge of this most fundamental model class will help you put your newly acquired knowledge into place, be it about statistics, machine learning, or advanced econometrics. We will put emphasis on developing your formal statistical-mathematical reasoning skills and deepening your understanding how to think about statistical / econometric modeling. 

Topics

EN: Estimation and testing in the general linear model, generalized least squares estimation, asymptotic theory, maximum likelihood estimation and likelihood based testing, nonlinear regression models, stochastic regressors, instrumental variable estimation, (generalized) method of moments.

GER: Schätzen und Testen im allgemeinen linearen Modell, verallgemeinerte Kleinste-Quadrateschätzung, asymptotische Theorie, Maximum-Likelihood-Schätzung und Likelihood-basierte Tests, nichtlineare Regressionsmodelle, stochastische Regressoren, Instrumentalvariablenschätzung, (verallgemeinerte) Momenten­methode.