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.
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.