This is Robert's teaching page. It should contain course descriptions for all lecture courses, some links to older material, and announcements that serve as a means of communicating short-run changes to course participants.
On teaching days, office hours are on Tuesdays, 11:45-12:45.
[Latest update 22/5/2018]
Courses in the summer semester 2018
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 2, 2018
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.
UK (2 hours per week, 4 ECTS)
Time and location:
Thursdays, 11:30-13:00, Hörsaal 7, Oskar Morgenstern Platz
Starts: March 1, 2018
This course focuses on the most important econometric methods that are used for panel data. Methods will be highlighted by empirical applications using Stata. Topics covered are in particular:
(1) Basic 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)
(4) Panel tests for unit root
Assessment is based on a written test in late May or early June that carries 45% of the grade and on an empirical project that carries 55% of the grade. A written document of the empirical project is submitted by the end of June 2018. Participants will also present their empirical projects before class in June and are expected to comment on the results presented by fellow students. Dropping the course without a grade is possible before the test. Passing the course requires both at least 50% of the maximum achievable points and attendance at the written test.
Baltagi, B.: Econometric Analysis
of Panel Data
Hsiao, C.: Analysis of Panel Data
040096 SOLV – Arbeit (neu) definieren (BA)
UK (2 hours per week, 4 ECTS)
Time and location:
Mondays, 6:30pm-8:00pm, Hörsaal 9, Oskar Morgenstern Platz
Starts: March 5, 2018
This German-language course is organized together with the StRV students’ representatives. See other sources, particularly the detailed description in U:FIND, for more information.
Since 2012, course grades do not appear on these pages, for reasons of data protection. Participants are always informed via e-mail.
Grades from the era before 2012 can be accessed here.
On teaching days, office hours are on Tuesdays, 11:45-12:45
General information for all courses
If you have any paper material for me (such as homework assignments or forms), please leave it with our administration. Never leave any material with other faculty.
In case you cannot attend a test (not an exam; there are special regulations for no-show at exams) for important reasons or you are unable to be present at any other dated event within a course, please give me notice via e-mail immediately. I expect such notifications to arrive within three days after the event that you missed.
Information for specific courses
(SS 2018 courses and the WS 2017 course on macroeconomics)
Messages for 040057 Macroeconometrics
· In the first meeting on March 2, the plan as outlined in the syllabus was confirmed. With regard to the mentioned empirical projects, working in groups of up to three students is encouraged.
· In the unit on March 9, we convened the date for the first test on April 27.
· Two sets of slides containing course material have been sent to participants. Kindly let me know if you did not receive this material.
· Similarly, several short summaries of Stata commands for specific issues have been mailed to participants, such as simulation of ARMA models, unit-root testing and model selection. Again, kindly contact me if you did not receive any of the files.
· Last year’s midterm test is accessible here. Please be aware of the fact that course contents and emphasis on specific topics may have changed.
· The date for the second test was fixed in the unit on April 23. It will be June 1. Remember that after this date you are supposed to work on your empirical project, and instruction at least in the familiar form before the final test will be discontinued.
· For convenience, the tables of significance points by Phillips and Ouliaris can be accessed here. These are required for conducting the Engle-Granger 2-step cointegration test. Copyright is with Econometrica, of course.
· Guidelines for the empirical project can be accessed here.
· A role-model test for the second and final test is accessible here. The usual proviso applies: this year’s test may use different course material and emphasis.
Messages for 040216 Panel data
· In the first meeting on March 1, the plan as outlined in the syllabus was confirmed. Some details were fixed with regard to the planned empirical projects. These will be done on data selected by participants from any source, with the only condition that the data should be panel data. Working in groups of up to three students is encouraged.
· In the unit on March 8, we convened the date for the test on May 24. After the test, participants are expected to work on their empirical projects. Presentations of the empirical projects are envisaged for June 21 and June 28.
· Two sets of slides containing course material have been sent to participants. Kindly contact me if you did not receive this file.
· In the unit on April 19, it was announced that the last section of the first slide section on two-way panels will be skipped. Presentation of the second slide section on panel tests starts on April 26. Presentation of the third slide section actually started on May 10.
· A role-model test for this course can be accessed here. Please note that this was a test for a slightly different course, with different albeit overlapping syllabus.
Messages for 040216 Macroeconomics
· Note that this is a lecture course of type VO, not a continuous-assessment course. Exams are at fixed dates, and you must register for your preferred date. The first exam date was January 29, 2018. Other exam dates were on March 2, 2018 and on May 3, 2018.
· There will be a last exam for this course on June 28, 2018, the time range will be 3pm-4:30pm, and the location will be Hörsaal 7.
· For a role-model exam on this course, you may access the exam from January 2017 here. Please take into account that emphasis and course material may change over time. Another more recent role-model exam from November 2017 can be accessed here.
· For the slide sections #1 to #7, which constitute the relevant course material for the exams, kindly contact me by e-mail, and I will send them to you, if for any reason you do not have them.