040057 Macroeconometrics
(MA)
UK, 4 hours per week (8 ECTS)
Language of instruction: English
Time and location:
Monday, 3:00pm-4:30pm, Hörsaal 8, Oskar Morgenstern Platz
Friday, 11:30-13:00, Hörsaal 3, Oskar Morgenstern Platz
Starts: March 4, 2016
Course description: The course focuses on econometric methods that are
used in applications to aggregate macroeconomic data. The course consists of
the following main building blocks:
1. Univariate time series (ARMA processes, stationarity
and unit roots, testing for unit roots, estimation of ARMA, model selection,
prediction, autoregressive conditional heteroskedasticity)
2. Multivariate time series (dynamic models with
stationary variables, models with integrated variables, spurious regression, cointegration, vector autoregressions,
impulse response, vector error-correction models)
3. Macroeconomic panel data (panel data models, dynamic
linear panels, panel time series)
The topics roughly correspond
to the Sections 8, 9, 10.1-10.6 of the textbook
Verbeek: A Guide to Modern
Econometrics (Wiley, 4th edition),
which serves as the main literature for the course. Another recommended
textbook is Davidson and McKinnon:
Econometric Theory and Methods (Oxford University Press), particularly
chapters 13, 14. For reference on time series, I generally recommend Lütkepohl: Introduction to Multiple Time Series
(Springer).
Plan of the course:
Assessment will be based on two written tests, a midterm test in late April and
a final test in June (no alternative dates can be provided), and a small
independent empirical econometric project. Each of the tests carries a weight
of 35 % for the final grade, while the project carries 30 %. Dropping the
course without a grade is only possible before the midterm test. A positive grade
requires 50 % of the maximum achievable score and attendance at the midterm
test.
040079 Econometric Methods for Panel Data (MA)
UK, 4 hours per week (8 ECTS)
Language of instruction: English
Time and location:
Monday, 4:45pm-6:15pm, Hörsaal 8, Oskar Morgenstern Platz
Wednesday, 1:15pm-2:45pm, Hörsaal 9, Oskar Morgenstern Platz
Starts: March 2, 2016
Course description: The course focuses on econometric methods that are
used in applications to aggregate panel data. The course consists of the following
main building blocks:
1. One-way error-component regression model (fixed and random effects)
2. Two-way error-component
regression model
3. Hypotheses tests with
panel data (poolability tests, Hausman test)
4. Heteroskedasticity and
serial correlation in panels
5. Instrumental variables in
panels (simultaneous equations, endogeneity)
6. Dynamic panels
7. Limited dependent
variables in panels
8. Panel time series (panel
unit root tests, panel cointegration tests, panel cointegration)
If time does not suffice,
some sections may be shortened or omitted. Methods will be highlighted by
empirical applications using the software package Stata.
Plan of the course:
Assessment is based on two written tests, a midterm test in April and a final
test in June (no alternative dates can be provided), and a small independent
empirical econometric project. Each of the tests carries a weight of 35 % for
the final grade, while the project carries 30 %. Dropping the course without a
grade is only possible before the midterm test. A positive grade requires 50 %
of the maximum achievable score and attendance at the midterm test.