Courses in the summer semester 2022

General comment: Following the most recent guidelines from the rectorate, let us look forward to the remainder of a fully in-presence summer semester.

040057 KU Macroeconometrics (MA)

(4 hours per week, 8 ECTS)

Time and location:

Monday, 18:30-20:00, HS8

Friday, 13:15-14:45, HS8

Starts: March 4, 2022

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, nonlinear univariate models)

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 (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 test (35%), and an empirical project (30%). The empirical project consists of writing a short paper, presenting own results and discussing the work 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. Approximate dates may be after Easter (midterm) and in early June (finals).

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040256 KU Panel Data Econometrics (MA)

(4 hours per week, 8 ECTS)

Time and location:

Monday, 11:30-13:00, HS5

Wednesday, 13:15-14:45, HS17

Starts: March 2, 2022

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 roots, panel cointegration

Literature:

Baltagi, B.: Econometric Analysis of Panel Data

Hsiao, C.: Analysis of Panel Data

Assessment is based on two components: two written tests (30% each) and an empirical project (40 %). The empirical project consists of writing a short paper, presenting own results and discussing the projects of fellow students. Dropping the course without a grade is possible on request (please contact me) before the first test. Passing the course requires both at least 50% of the maximum achievable points and attendance at the first written test.

Dates for all tests are convened in class. Possible time slots for such tests may be after Easter (midterm) and in early June (finals).