ECTS: 8, SWS: 4
Time and place:
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, nonlinear univariate models)
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 (dynamic
linear panels, panel time series)
Literature: Verbeek: A Guide to Modern Econometrics (Wiley,
4th edition), Chapters 8-9, 10.1-10.6.
The
evaluation is based on three components: midterm test (35%), final exam (35%),
and an empirical project (30%). The empirical project consists of writing a
short paper, presenting own results and discussing the results of fellow
students. Dropping the course without a grade is possible on request (please
contact me) before the midterm. Passing the course requires both at least 50%
of the maximum achievable points and attendance at the midterm test.
Dates for all tests are convened in
class.
ECTS: 8, SWS: 4
Time and place: Thursday, 11:30am-1:00pm, HS 7
Friday,
9:45am-11:15am, SR 13
[starts March 5]
The course
introduces participants into the econometric methods that are currently used in
analyzing panel data. It has the following main building blocks:
1. Models for panel data (fixed and
random effects, one-way and two-way, estimation)
2. Tests (poolability, Hausman test, autocorrelation,
heteroskedasticity)
3. Dynamic panels (Nickell bias,
instrumental variable estimation, generalized method of moments)
4. Panel tests for unit root
Literature:
Hsiao, C.:
Analysis of Panel Data
Dates for all tests are convened in
class.