Economics: Advanced Econometrics

You gain expertise in probability theory and statistics, the foundational topics of econometrics and data analysis. You master the linear regression model to explore relationships between variables using more sophisticated methods than in an introductory econometrics course. You learn how to handle complications, such as heteroscedasticity, autocorrelation and endogeneity, at a deeper level. You also learn about generalised techniques as well as the properties of the estimators you use. You explore methods to analyse time series data as well as panel data.

Additionally, you learn to use Stata and Python for data analysis, enabling you to implement econometric models efficiently and handle large datasets with industry-standard tools. Mastering Stata and Python is crucial for efficiently handling complex datasets and applying econometric techniques in professional settings, as these tools are widely used in academia and industry.

You get a strong foundation for analysing massive datasets and developing AI-driven insights, making the course highly relevant for cutting-edge research in artificial intelligence and large language models. By joining, you’ll gain a competitive edge in evidence-based decision-making and the skills to tackle complex challenges in economics and technology.

Course literature

The course literature listed may be updated up to eight weeks before the course begins.

You will find all the materials you need in Canvas. We do use a textbook but there are complementary material, such as documents and videos to assist you.

We place great emphasis on practice exercises. On Canvas, you find numerous exercises with detailed solutions provided in both video and text formats. Some exercises are for self-practice, but there are also a series of assignments and problem-solving sessions that contribute to your final grade.

The are a number of problem-solving sessions. When a session begins, your group will receive a set of problems to solve during the session. You are allowed to use aids for those sessions but in order to solve the problems, you need to be thoroughly perpared. 

The course concludes with a final exam where the only permitted aid is a formula sheet.

Prerequisites

Students admitted to the Master programme in Economics are qualified for this course. For other students at least 90 ECTS-credits in economics at the undergraduate level are needed for admission to all master courses in economics. To be admitted to this particular course these credits must include a course in intermediate microeconomic analysis (e.g. NEKG21) and a course in intermediate econometrics (e.g. NEKG31) or equivalent courses.

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

• The European Union (EU)
• The European Economic Area (EEA) and
• Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 18,750
First payment: SEK 18,750

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Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.