3674 Advanced Econometrics, 5 cr

Advanced studies
Teaching language: 
Course Description: 

The course provides the student with an introduction to advanced econometrics. The subjects include, probability, asymptotic theory, time series, volatility models and simulation methods in econometrics.

The course is intended for master students in finance and economics with an interest in statistics and econometrics. The course can also be taken by doctoral students.

Learning Goal: 

You have a good understanding of advanced econometric theory, time series analysis, large sample theory, volatility models and the fundamental tools of asymptotic analysis.

After completing the course, you will be able to: 
  • derive the asymptotic properties of estimators and tests in dynamic regression models and time series models; 
  • explain the functional central limit theorem and apply it to derive the properties of estimators and tests in time series models with a unit root; 
  • analyse and use volatility models
International Learning Experience: 

Dr. Dmitry Kulikov (Bank of Estonia and University of Tartu) will lecture 8 h on volatility models, in particular ARCH models.


Courses in mathematics, statistics and econometrics (approximately 30 ECTS). The student is recommended to take the course Statistics and Econometrics 3676 before Advanced Econometrics.

Total Student Workload: 

134 hours divided into:

Scheduled (contact) hours: 20 h
Non-scheduled work: 114 h;

Self-study of course material 20h
Assignments 74 h
Preparations for exam 20 h


Lectures and exercises.

Literature and Course Material: 

Davidson J. (2000). Econometric Theory. Oxford: Blackwell Publishing. Selected parts specified by the instructor.


Assignments 50% and written exam 50%.

Equivalent Courses: 

Students who have completed the earlier course Advanced Econometrics (8 ECTS, course code 3636) cannot take this course.

Non-degree studies (Open University, JOO and Contract Studies): 

Open university quota: 3
Quota for JOO-students: 3

(Not given 2018-2019)

Additional Information: 

Given every other year: not given 2018-2019 given 2019-2020