# Microeconometrics

Instructor |
Achim Zeileis |

Timeline |
Course Catalog |

Learning resources |
OLAT Learning Management System (also via guest access) |

Primary reference |
Cryer & Chan KS (2008). Time Series Analysis - With Applications in R, 2nd ed. Springer-Verlag.R package, Springer homepage |

Secondary reference |
Kleiber & Zeileis (2008). Applied Econometrics with R. Springer-Verlag.R package, Chapter 1, Chapter 2, Springer homepage, Google books |

### Contents

- Generalized linear models
- Maximum likelihood estimation
- Binary response models
- Multinomial response models
- Ordered response models
- Count data models
- Limited dependent variables, duration models

### Requirements

- Linear regression
- Ordinary/weighted/generalized least squares estimation
- Gauss-Markov theorem
- Inference (
*t*and*F*tests) for linear hypotheses - Robust standard errors
- Regression diagnostics
- Factors and interactions
- Model selection

### Software

- R

The R system for statistical computing will be used throughout the lecture. All methods and their application will be illustrated using R. Exercises should be solved using R.

Installation under Windows: Base R. - Integrated development environment for R: RStudio
- Introduction to R

Topics include: An introductory R session, Getting started, getting help, basic data management, a tour of exploratory data analysis, regression, and some programming issues.