Course descriptions for the summer semester 2015

 

040057 Macroeconometrics

 

UK, 4 hours per week (8 ECTS)

 

Language of instruction: English

 

Time and location:

 

Monday, 15:00-16:30, Hörsaal 8, Oskar Morgenstern Platz

Friday, 9:45-11:15, Hörsaal 11, Oskar Morgenstern Platz

 

Starts: March 2, 2013

 

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 the last unit 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, 16:45-18:15, Hörsaal 8, Oskar Morgenstern Platz

Wednesday, 13:15-14:45, Hörsaal 9, Oskar Morgenstern Platz

 

Starts: March 2, 2013

 

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.