Эконометрика (продвинутый уровень)

2026/2027

Статус: Маго-лего

Кто читает: Департамент экономики

Где читается: Санкт-Петербургская школа экономики и менеджмента

Охват аудитории: для своего кампуса

Преподаватели: Камбаралиева Касиет Маратовна, Муравьев Александр Александрович

Язык: русский

Кредиты: 6

Контактные часы: 52

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Аннотация

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.

Цель освоения дисциплины

Familiarize the students with advanced methods of econometric research in economics and finance.
A review of the classical linear regression model
Familiarize the students with advanced methods of econometric research in economics and finance.
Key panel data 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

Планируемые результаты обучения

Be able to apply the methods learnt when conducting own empirical analysis
Be familiar with and be able to use key capabilities of the statistical package “Stata”, including its programming options (the so-called do-files)
Know key methods of econometric research, understand the causes and consequences of endogeneity, know the main methods for addressing this problem
Understand endogeneity as a key issue affecting causal inference; be able to critically examine existing research from this angle
Understand the limits of interpreting regression results in most settings (the ceteris paribus clause).