In our specialization Econometrics and Data Science of the Econometrics and Operations Research master's programme, we weldcome you in the fast-developing world of econometrics and data science methods for ultra-high dimensional data sets. In this specialization, we cover the statistical theory of high-dimensional spaces, the computer science skills of handling big data, the econometric methodology of identifying causal economic relations in a data-rich environment. You further learn the practical skills of analyzing, modelling and forecasting key financial and economic variables, for the purpose of improving policy and decision-making.
The specialization Econometrics and Data Science offers an excellent opportunity for those wishing to enhance their quantitative profile for a career in data science. The program combines different academic disciplines including statistics, econometrics, computer science, economics and business, but it is more than a simple intersection of these. In essence, it is concerned with the theory and practice of transforming large and complex data sets into pieces of information that are potentially beneficial for a wide range of purposes relevant to corporates, economic and government institutions, and financial service companies. This will give you a distinct and strong profile, placing you at pole position for a successful career as a data scientist in professional, business and academic environments.
Three core 6 EC courses (compulsory):
- Advanced Econometrics
- Multivariate Econometrics
- Time Series Models
One specialization course (compulsory)
- Case Study in Data Science
Three sets of elective courses:
Choose 1 out of 3:
- Large Scale Data Engineering
- Combinatorial Optimization
- Evolutionary Computing
Choose 1 out of 2:
- Web Data Processing Systems
- Stochastic Gradient Techniques in Optimization and Learning
Choose 1 out of 3:
- Computational Finance
- Big Data Analytics
- Data Mining Techniques
Thesis (18 EC): an in-depth study on a challenging topic in econometrics and data science.
Typical placements include:
PhD student, Data analyst, Risk analyst, Quantitative Risk analyst, Risk Modeler, Investment analyst, Consultant Data Analytics, Predictive Modeler, Modeling analyst, Systematic Quant, Systematic Trader, Financial Risk analyst, Financial Stability analyst, Capital Market analyst, Statistical researcher, Quantitative financial analyst, Junior Economist, Marketing Data analyst, Quantitative researcher, Quantitative methods instructor, Data scientist, Capital Management consultant, Statistician, Statistical officer, Policy analyst, Customer Intelligence analyst, Quant Fund analyst, Macro Structure analyst, and many more.
Why VU Amsterdam?
The programme can be characterized as follows:
A programme that will enhance your analytical skills, will invest in your quantitative insights, will introduce you to a scientific approach of analytical thinking and will generally broaden your quantitative horizons.
A programme that will teach you how to analyse and model economic data, how to carry out statistical hypothesis tests, how to investigate theoretical properties of estimators and predictors, how to design an empirical study, how to interpret quantitative results, how to present the results of an econometric analysis, how to deduct conclusions and policy advice from a quantitative analysis.
A programme that will learn you to be a leading person in helping others to understand and work with quantitative methods.
We welcome motivated and ambitious students who are interested in advancing their knowledge in Econometrics and related subjects, and are aware of their role in society. In order to be successful in this programme, you will need a solid basis in mathematics, statistics and econometrics. In particular, we expect that you have passed courses in mathematics (calculus, analysis), probability, mathematical statistics, and econometrics. Basic knowledge in computer programming is also required.
Admission requirements with an international degree
The track Econometrics of the Master's programme Econometrics and Operations Research, with specializations Econometric Theory, Financial Econometrics, Empirical Marketing, and Quantitative Economics, is open to students with a university Bachelor's degree that provides a thorough knowledge in mathematics (analysis, calculus), probability, (mathematical) statistics, econometrics and computer programming. You need to have successfully completed courses and studied literature related to the core of this programme, which is based on the following books.
- Calculus Early Transcendentals, James Stewart, Cengage Learning, International Metric Edition - 7th Edition, 2011.
- Linear Algebra and its Applications, David C. Lay, Steven R. Lay and Judi J. McDonald, Pearson Education, 5th Edition, 2016.
- A First Course in Probability, Seldon M. Ross, Pearson Education, 9th Edition, 2013.
- Fundamentals of Probability, with stochastic processes, Saeed Ghahramani, CRC Press, Taylor and Francis Group, 3rd Edition, 2016.
- Statistical Inference, George Casella and Roger L. Berger, Cengage Learning, 2008.
- Introduction to Econometrics, James H. Stock and Mark W. Watson, Pearson Education, 3rd Edition, 2014.
- Introductory Econometrics: A Modern Approach, Jeffrey M. Wooldridge, Cengage Learning, 2013.
- A Guide To Modern Econometrics, Marco Verbeek, Wiley, 5th Edition, 2017.
Basic skills in Computer Programming in Python, R, Matlab, Ox or Java.
If you can show certified exam results for courses that are related to the subjects and are of a comparable level (each course with a workload of 6 EC or close to it), this is satisfactory. The equivalence will be evaluated by the Examination Board and its approval determines the admission.
English language proficiency
The admission board wants to stress the intensity of the programme: reading scientific articles and writing papers will be a key part, all at a very high pace. Your English language skills, both oral and written, are extremely important in this programme. As you will have to communicate frequently with your fellow students and you will be working with and for international companies.
VU Amsterdam requires all applicants to take an English test. You can already apply online without having the test results. We do advise you to plan a test date as soon as possible. Below you will find the minimum English test scores for the programme:
- Minimum general score 6,5
- Minimum score speaking 6,5
- Minimum score listening 6,5
- Minimum score writing 6,0
- Minimum score reading 6,0
- Paper based test 580
- Internet based test 92-93
- Cambridge Proficiency Exam A, B, C
- Cambridge Advanced Exam A, B, C
VU-test English-language proficiency: offered by the VU Taalloket.
Program taught in: