040057 UK Macroeconometrics (MA)

 

ECTS: 8, SWS: 4

 

Time and place:

Monday, 3:00pm-4:30pm, HS 8

Friday, 11:30am-1:00pm, HS 3

[starts March 1]

 

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)

 

Literature: Verbeek: A Guide to Modern Econometrics (Wiley, 4th edition), Chapters 8-9, 10.1-10.6.

 

The evaluation is based on three components: midterm test (35%), final exam (35%), and an empirical project (30%). The empirical project consists of writing a short paper, presenting own results and discussing the results of fellow students. Dropping the course without a grade is possible on request (please contact me) before the midterm. Passing the course requires both at least 50% of the maximum achievable points and attendance at the midterm test.

            Dates for all tests are convened in class.

 

 

040256-1 UK Panel Data Econometrics (MA)

 

ECTS: 4, SWS: 2

 

Time and place: Thursday, 11:30am-1:00pm, HS 7

[starts March 7]

 

The course introduces participants into the econometric methods that are currently used in analyzing panel data. It has the following main building blocks:

 

1.      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, generalized method of moments)

4.      Panel tests for unit root

 

Literature:

Baltagi, B. : Econometric Analysis of Panel Data

Hsiao, C.: Analysis of Panel Data

 

Assessment is based on two components: a written test (45%) and an empirical project (55%). The empirical project consists of writing a short paper, presenting own results and discussing the results of fellow students. Dropping the course without a grade is possible on request (please contact me) before the test. Passing the course requires both at least 50% of the maximum achievable points and attendance at the written test.

            Dates for all tests are convened in class.