People:

• Neil Foster
• Christine Zulehner
• Teaching assistant: Michael Anreiter

Announcement(s): The exam of group 2 also takes place on Friday, 20th November 2009 (10-12h).

Lecture schedule

• Regular meetings:
  • Group 2: Thursday, 18.00-21.00, Seminar room I, Department of Economics, Hohenstaufengasse 9
  • Group 1: Friday, 9.00-12.00, Seminar room II, Department of Economics, Hohenstaufengasse 9
• First meetings:
  • Group 2: October 8th, 2009
  • Group 1: October 9th, 2009
• Schedule:
  • Group 2
  • Group 1
• Tutorials:
  • take place in the PC labor on Thursday, 11-12h

Course description

• General: This course is an advanced course in applied econometrics for undergraduate students studying Economics in their second "Studienabschnitt" (advanced undergraduates and masters students). The aim is to discuss various methods using examples from microeconomics as well as macroeconomics.
• Part I - Regression analysis (Christine Zulehner): ordinary least square estimation, hypotheses tests, model selection, heteroskedasticity, autocorrelation, dummy variables, instrumental variable estimation, maximum likelihood estimation, examples (wage functions, hedonic pricing, demand estimation etc.)
• Part II - Time series analysis (Neil Foster): panel data estimation, AR(I)MA models and Box-Jenkins methodology, GARCH models, nonstationarity, unit root testing, cointegration
• Requirements: basic course in econometrics, for example Ökonometrie I (VO Prof. Pötscher)
• Grading: class participation, 4 problem sets (50%) and 2 exams (50%)

Reading list:

• Baltagi, Badi (2002): Econometrics, 3. Edition, Springer, New York.
• Banerjee, A., Dolado, J., Galbraith, J. and D. Hendry (1993), Cointegration, Error Correction and the Econometric Analysis of Nonstationary Series, Oxford University Press.
• Berndt, Ernst R. (1991): The Practice of Econometrics: Classic and Contemporary, Addison-Wesley, Reading Massachusetts.
• Box, G. E. P. and G. M. Jenkins (1976), Time Series Analysis: Forecasting and Control, San Francisco, Holden-Day.
• Greene, W. (2000), Econometric Analysis, Prentice Hall.
• Lütkepohl, Helmut (2005), A New Introduction to Multiple Time Series Analysis, 2. Edition, Springer, New York.
• Wooldridge, Jeffrey M. (2003): Introductory Econometric, Thomson, South-Western.

Registration: login via univis online

Problem sets:

• Problem set 1
• Problem set 2
• Problem set 3
• Problem set 4

Handouts:

• Introduction
• Omitted variable bias, heteroscedasticity and autocorrelation
• Instrumental variable estimation
• Simultaneous equation models
• Maximum likelihood estimation

Grades: here