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.