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.



040256 UK Panel Data Econometrics (MA)


UK (2 hours per week, 4 ECTS)

Time and location:

            Thursdays, 11:30-13:00, Hörsaal 7, Oskar Morgenstern Platz


Starts: March 1, 2018


Course description:

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.


Recommended literature:

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.