| Day | Time | Lecture Hall | Session Type |
|---|---|---|---|
| Thursday | 10:00-11:30 | XII (Main Building) | Exercises |
| Thursday | 12:00-13:30 | XII (Main Building) | Lecture |
| Friday | 10:00-11:30 | XVIII (Main Building) | Lecture |
Statistics for Data Analytics
Winter 2024 – University of Cologne
Organization of the Course
Statistics for Data Analytics is a graduate-level introductory course in econometrics, focusing on estimation and inference in linear models, with practical applications in R.
Timetable
See KLIPS for a detailed schedule.
Lecture Material
This online script: webpage and pdf version
Problemsets and Rscripts: sciebo folder
More info on exam/exercises/assignments: ILIAS course
Literature
The script is self-contained. To prepare well for the exam, it’s a good idea to read this script.
The course is based on Stock and Watson, Introduction to Econometrics (Fourth Edition), Chapters 1–9, 15, 18, and 19. The Stock and Watson textbook is available here (Uni Köln VPN connection required).
Further textbooks I can recommend:
- Probability and Statistics for Economists, by Bruce E. Hansen
- Econometrics, by Bruce E. Hansen
- Econometric Theory and Methods, by R. Davidson and J.G. MacKinnon (link)
Printed versions of the books are available from the university library.
Assessment
The course will be graded by a 90-minute written exam. There will be two optional bonus assignments during the lecture period. These assignments will allow you to earn bonus points that will be added to your overall exam score, but they are optional and not required to achieve the maximum score on the exam. For detailed information please visit the ILIAS course.
Communication
Feel free to use the ILIAS statistics forum to discuss lecture topics and ask questions. Please let me know if you find any typos. Of course, you can reach me via e-mail: sven.otto@uni-koeln.de
Important Dates
| Bonus assignment 1 | Oct 22 - Nov 05 |
| Bonus assignment 2 | Nov 06 - Nov 20 |
| Registration deadline exam 1 | Nov 14, 2024 |
| Exam 1 | Nov 28, 2024 |
| Registration deadline exam 2 | Mar 03, 2025 |
| Exam 2 (alternate date) | Mar 17, 2025 |
Please register for the exam on time. If you miss the registration deadline, you will not be able to take the exam (the Examinations Office is very strict about this). You only need to take one of the two exams to complete the course. The second exam will serve as a make-up exam for those who fail the first exam or do not take the first exam.
R-Packages
To run the R code of the lecture script, you will need to install some additional packages.
install.packages(
c("AER", "fixest", "plm", "dynlm",
"glmnet", "moments", "urca",
"tidyverse", "stargazer", "BVAR",
"kableExtra", "scatterplot3d", "tinytex")
)Some further datasets are contained in my package teachingdata, which is available in a GitHub repository:
install.packages("remotes")
remotes::install_github("ottosven/teachingdata")