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

 

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.

 


Course descriptions for past semesters can be accessed by links beneath this line:

 

                                                                        Winter semester 2018

Summer semester 2018                                 Winter semester 2017

Summer semester 2017                                 Winter semester 2016

Summer semester 2016                                 Winter semester 2015

Summer semester 2015                                 Winter semester 2014

                                                                        Winter semester 2013

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 2009

Summer semester 2008                                 Winter semester 2007

Summer semester 2007                                 Winter semester 2006

Summer semester 2006                                 Winter semester 2005

Summer semester 2005                                 Winter semester 2004

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.

 



News

 

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


Link to course material for past courses, for reference