Course descriptions for the winter term 2010/2011

040131 UK Einführung in die empirische Wirtschaftsforschung

 

UK, 2 Wochenstunden

 

Zeit und Ort: Montag 14:30–16:00 Hörsaal 23, Hauptgebäude

 

Beginn: Montag, 4. Oktober 2010

 

Beschreibung des Kurses: Die Studierenden sollen in leicht fasslicher Form mit den Methoden und Begriffen empirischen ökonomischen Arbeitens bekannt gemacht werden. Als Grundlage dient das Lehrbuch von Ramu Ramanathan "Introductory Econometrics with Applications" (5th edition, South-Western). Das Buch enthält eine umfangreiche Sammlung von Daten und Anwendungsbeispielen. Leider ist es derzeit vergriffen, daher stelle ich diverse Kursunterlagen (Skriptum, Slides) zur Verfügung. Der Kurs bereitet auch auf das eigenständige empirische Arbeiten in Praktika vor.

 

Aufbau des Kurses:

 

Ökonometrisches Arbeiten, Streudiagramme, Modell, Parameter, Schätzen und Testen

Einfaches lineares Regressionsmodell (Kleinstquadrateschätzung OLS, R², t-Statistiken)

Multiples lineares Regressionsmodell (R², Modellauswahl, F-Statistiken, Multikollinearität)

Gebräuchliche Spezifikationstests (Durbin-Watson u.a.)

 

Leistungsfeststellung durch schriftliche Teilprüfung während des Semesters (midterm, 45%) und schriftlichen Abschlusstest (45%) am Ende des Semesters sowie durch Mitarbeit und Hausübungen (10%).

 

 

 

 

040787 UK Applied Time Series Analysis

 

UK, 2 hours per week

 

Time and location: Monday, 16:30–18:30 Seminarraum 1 Hohenstaufengasse 9 1.Stock

 

First meeting: October 4, 2010

 

Course description: This course focuses on time-series analytic methods that are empiricall relevant in current economics. Two main issues are:

Linear models for stationary variables (definitions of stationarity, correlogram, ARMA model, information criteria)

Models for difference-stationary variables (integration and cointegration, Dickey-Fuller test, Johansen procedure)

All methods will be illustrated through empirical examples and printouts obtained using econometric software.

The definition of the UK course requires the course grade to be based on two or more components. A suggestion would be to have a written test before Christmas (45% weight) and additionally ask participants to work out a small empirical project using time-series methods (55% weight). The empirical project may be elaborated in groups of up to three persons and can be presented in class in January. A written project report will be graded and should be in by January 31, 2011. The definitive organization will be convened in the first units and may also depend on the number of participants.

Participants are assumed to have some basic knowledge of econometric methods.

 

A time-series textbook popular with economists is: Hamilton: Time Series Analysis. A clear presentation of the basic issues is also contained in Brockwell and Davis: Introduction to Time Series and Forecasting (Springer).

 

 

 

 

390027 UK Non-linear Time Series Analysis

 

UK, 2 hours per week

 

Time and location: Tuesday, 18:00–19:30, Seminarraum 2, Hohenstaufengasse

First meeting: October 5, 2010

Course description: While the supply of nonlinear time-series models is almost limitless, this course will focus on three parametric model classes that are used in empirical economics and are treated in the monograph by Fan & Yao: Nonlinear time series (Springer 2005, Chapter 4):

Threshold models (SETAR, threshold autoregressions)

ARCH and GARCH models (conditional heteroskedasticity)

Bilinear models

The first course units are devoted to a short introduction and repetition of linear time-series models, comparable to Chapter 2 of the Fan & Yao textbook, then the basic features of the three classes above are addressed. A written test should close this part of the course and carries 45% of the grade.

The remaining 55% of the course grade are based on contributions by participants, typically in the shape of a smaller working project that applies methods of nonlinear time-series analysis. An alternative suggestion would be a presentation of a topic related to nonlinear time series that could not be covered in the course otherwise. All projects should be presented before class, and written reports should be handed in by January 31, 2011.

Participants are assumed to have some basic knowledge of econometric and time-series methods.