Course Details
Country:
Netherlands
Institution:
Free University of Amsterdam
Course Title:
Computational Methods in Econometrics
Course Number:
E_MFAE_CME
Course Description:
In this course, we discuss numerical and simulation-based estimation methods and their use in econometrics and data science. We start with a small recap of statistics (in particular, estimators, test statistics and their distributions). In the second part, we discuss the assumptions made for these results and introduce a new simulation-based hypothesis testing method called Monte Carlo testing. In the third part, we move to a more complex setting where less assumptions are made, and we discuss the foundations of bootstrap testing. We illustrate how these methods are used in practice for a variety of econometric models including nonlinear models, models allowing for heteroskedasticity and autocorrelation.
Language:
English
Approved Equivalent:
ECON 3--
Attachment Files:
Studyguide (13)_3.pdf
