This
is Robert's teaching page. It should contain course descriptions for all
lecture courses, some links to older material, and announcements that serve as a means of communicating short-run
changes to course participants.
No office hours on May 21:
Due to a presentation abroad, office hours on Tuesday,
May 21, must be canceled. Kindly contact me by e-mail in urgent
cases
[Latest update 18/5/2019]
Courses
in the summer semester 2019
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.
Course descriptions for past semesters can be accessed
by links beneath this line:
Summer semester
2018 Winter semester
2017
Summer semester
2017 Winter semester
2016
Summer semester
2016 Winter semester
2015
Summer semester
2015 Winter semester
2014
Summer semester 2013 Winter semester 2012
Summer semester 2012 Winter
semester 2011
Summer semester 2011 Winter
semester 2010
Summer semester 2010 Winter semester 2009
Summer semester 2008 Winter semester 2007
Summer semester 2007 Winter semester 2006
Summer semester 2006 Winter semester 2005
Summer semester 2004 Winter semester 2003
Summer semester 2003 Winter semester 2002
Since
2012, course grades do not appear on these pages, for reasons of data
protection. Participants are always informed via e-mail.
Grades
from the era before 2012 can be accessed here.
No
office hours on May 21: due to
a presentation abroad, office hours on Tuesday, May 21, must be canceled.
Kindly contact me by e-mail in urgent cases.
General information for all courses
If you
have any paper material for me (such as homework assignments or forms), please
leave it with our administration. Never leave any material with other faculty.
In case you cannot attend a test (not an exam; there are special
regulations for no-show at exams) for important reasons or you are unable to be
present at any other dated event within a course, please give me notice via
e-mail immediately. I expect such notifications to arrive within three days
after the event that you missed.
Information for the participants
of 040057 Macroeconometrics
·
In the first unit on March 1, the plan of the course
was confirmed as outlined previously. Dates for tests will be convened in
class.
·
A first set of slides has already been sent to
participants. Please contact me if you did not receive the slides or the Stata
description.
·
Similarly, all participants should have received a
file with Stata commands for simulating ARMA data, and a file with Stata
commands for performing unit-root tests. Please contact me if you do not have
these two pieces.
·
In the unit on March 8, we convened a date for the
midterm test. In line with the preferences of most participants, the midterm
test took place on May 3.
·
Role-model midterm tests from recent comparable
courses are accessible
here and here.
The usual caveat applies: course contents and emphasis may have changed.
·
In the lecture course, two exemplary datasets were
used, Austrian
gross domestic product, quarterly and seasonally adjusted and Standard & Poor
500 returns. The Austrian GDP series is from Statistik
Austria and official (1996q1 to 2018q4), the S&P 500 is daily data (January
1981 to April 1991) from Verbeek’s
textbook.
·
In response to a request from participants, guidelines
for the empirical project are provided here.
·
28 participants took part in the midterm test on May 3
and have been informed on results.
·
In the unit on May 6, we convened that the second and
final test will be on June 14, 2019.
·
The tables of significance points for regression-based
cointegration testing compiled by Phillips & Ouliaris
(Econometrica) can
be accessed here.
·
Unfortunately, the course unit on May 24 will be canceled due to a clash of commitments. Apologies
for any inconvenience.
Information for the participants
of 040256 Panel data
·
In the first unit on March 7, the plan of the course
was confirmed as outlined above.
·
Three sets of didactic slides have been sent to
participants (Fixed and random effects in static panel regression, tests on
hypotheses in static panel regression, dynamic panel regression). Kindly
contact me if you did not receive any of these.
·
In the unit on March 21, the date for the test was
convened. The test will be on June 6.
·
In response to a request from participants, guidelines
for the empirical project are provided here.
·
The course unit on May 23 must be canceled, so the last regular unit before the test
is on May 16, as there is a public holiday on May 30. A role-model test from a
previous comparable course is accessible here.
The usual caveat applies: course contents and emphasis may have changed.
Link to
course material from WS 2019, for reference
Link to
course material from SS 2018, for reference
Link to
course material from WS 2017, for reference
Link to
course material from SS 2017, for reference
Link to
course material from WS 2016, for reference
Link to
course material from SS 2016, for reference
Link to
course material from WS 2015, for reference
Link to
course material from SS 2015, for reference
Link to
course material from WS 2014, for reference
Link to
course material from SS 2013, for reference
Link to
course material from WS 2012, for reference
Link to
course material from SS 2012, for reference
Link to
course material from WS 2011, for reference