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Teaching – Current Courses

Autumn Semester 2022

  • E823 Advanced Time Series Analysis (PhD)

    Type

    Lecture

    Title

    E823 Advanced Time Series Analysis

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Autumn semester 2022

    Target Audience

    PhD

    Start/EndStart: 05.09., End: 07.12.

    Time & Location

    Monday, 15:30 to 17:00 (L9, 1–2, 002) and Wednesday, 17:15 to 18:45 (L9, 1–2, 002)

    Course language

    English

    Prerequisites

    E703, E803, E806 Advanced Econometrics I – III

    Examination

    Assignments (30%), presentation (30%), paper (40%)

    ECTS

    9

    Course description

    The lecture will focus on multivariate time series models. After reviewing a few general concepts from probability theory and time series analysis, we will first deal with stable VAR models and their use for Granger causality, impulse response analysis, historical decompositions, and forecast error variance decompositions. To this end, we will also discuss important issues on asymptotic- and bootstrap-based inference. Depending on time, we very briefly discuss stable infinite-order VARs and VARMA processes.

    Then, we deal with univariate unit root processes and introduce the relevant asymptotic approach for this set-up. In a next step, we turn to a treatment of multivariate unit root processes which are assumed to be integrated of order one, I(1). Afterwards, we briefly introduce the concept of cointegration and learn how cointegration can be integrated into VAR framework leading to a so-called vector error correction model (VECM). As cointegration is not that popular anymore in empirical work, we will only summarize how to do appropriate inference in potentially cointegrated VARs with I(1) variables.

    If time permits, I would like to give an overview on estimating high-dimensional VARs and factor models in the last part of the course.

    The course both addresses asymptotic analyses as well as implementation issues. Accordingly, tutorial sessions are also devoted to coding and empirical problems besides addressing theoretical problems.

    In the last part of the course, participants introduce or discuss in more details (further) model classes by giving presentations and writing a paper. This year, I will provide a set of recent papers on network analysis using multiple time series approaches. This shall give an impression and overview on a recent strand in the literature.

    Our course is complementary to the course offered by Matthias Meier. While the latter course focus on structural modeling approaches from an applied macro perspective, we take an econometric approach on multiple time series frameworks.

    Downloads

  • Applied Econometrics (Bachelor, Seminar)

    Type

    Seminar

    Title

    Applied Econometrics

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Autumn semester 2022

    Target Audience

    Bachelor

    Start/End:

    Start: 05.09., End: 07.12.

    Time & Location:

    Wednesday 10.15–11.45 in room L7, 3–5, P043

    Course language

    English

    Prerequisites

    Grundlagen der Ökonometrie (Basic Econometrics); Statistik I+II (Statistics I + II)

    Examination

    seminar paper and presentations

    ECTS

    6

    Course description

    You conduct an own empirical study to become familiar with applied research, what includes the ability to interpret empirical results in a meaningful way. Based on the material covered in the course Grundlagen der Ökonometrie, you will extend your knowledge on econometric models, estimation methods, and test procedures to solve empirical problems. The seminar topics will refer to the multiple regression model for cross-section data including IV estimation set-ups as well as to microeconometric, panel data and time series models. Moreover, some projects will specifically deal with heteroskedasticity, experimental data, and so-called shrinkage estimators. Thereby, you should gain a broad overview on the various model classes and methods through your own and your fellow students’ projects.
    RegistrationClosed

    Downloads

    Further information will be made available in the Ilias group of the seminar.

Spring Semester 2022

  • Grundlagen der Ökonometrie (Bachelor)

    Hinweise:

    • Beachten Sie bitte, dass die Übungen in der ERSTEN Vorlesungs­woche beginnen!

    Art der Veranstaltung

    Vorlesung und Übung

    Titel der Veranstaltung

    Grundlagen der Ökonometrie

    Dozent

    Prof. Dr. Carsten Trenkler

    Semester

    Frühjahrsemester 2022

    Zeit & Ort Vorlesung

    Di 13.45 – 15.15, A001 (B6, 23–25, Bauteil A)

    Zeit & Ort Übung

    8 Übungs­gruppen, Termine und Räume finden Sie im Portal2

    Methode (Stunden pro Woche):

    Vorlesung und Übung (2+2)

    Kurssprache

    Deutsch

    Voraussetzungen

    Statistik I+II 

    Prüfung

    schriftlich (90 Minuten)

    ECTS

    6

    Kursbeschreibung

    Der Kurs gibt eine Einführung in die wichtigsten Methoden der Ökonometrie. Besprochen werden das multiple Regressions­modell, bedingte Erwartungs­werte und lineare Projektionen, KQ-Schätzer und ihre Eigenschaften, die Grundzüge asymptotischer Theorie, Verzerrung durch ausgelassene Variablen, Restriktions­tests, Modellspezifikation, Modelldiagnose, perfekte und imperfekte Multikollinearität, Kausalitätsanalyse, nichtlineare Modellierungen, IV-Schätzung sowie Zeitreihenanalyse. Neben einer einführenden Betrachtung der theoretischen Aspekte der Methoden, wird vor allem deren Anwendung demonstriert und die empirisch relevanten Aspekte diskutiert. Die Vorlesung wird durch methodische und empirische Übungen im PC-Pool begleitet.

    Downloads

    Hier finden Sie den Vorlesungs­plan.

    Weitere Details (inklusive Vorlesungs­folien) finden Sie auf der Ilias Seite zum Kurs.

  • E806 Advanced Econometrics III (PhD)

    Notes:

    Type

    Lecture and Tutorial

    Title

    E806 Advanced Econometrics III (PhD)

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Spring Semester 2022

    Target AudiencePhD
    Start/End

    Start: 6.4., End: 2.6.

    Time & Location Lecture

    Wed 8:30 a.m. – 11.45 a.m. P044 (L7, 3–5)

    Time & Location Tutorial

    Thur 10:15 a.m. – 11:45 a.m. P044 (L7, 3–5)

     

    Course language

    English

    Prerequisites

    Advanced Econometrics I+II

    Homework and grading

    Grading for this course will be based on the final exam (100 points). You can earn up to 10 bonus points if you submit solutions to the assignments that demonstrate a sufficient attempt to solve problems. To each of the three assignments a pre-announced number of bonus points is allocated. The assignments will mainly involve methodological questions but also contains some empirical questions or coding exercises. You may use any of the following (matrix) programming languages: STATA, R, Matla or Gauss to address the latter types of questions. You will have a week to complete the assignments. The assignments and programming code must be sent by email. Answers will be (partly) discussed in the tutorial sessions.

    ECTS

    5

    Course description

    In Part I is devoted to the analysis of panel data models. Besides discussing fixed- and random effects settings we also look into GMM/IV estimation and dynamic panel models.
    Part II deals with univariate time series analysis. After a general introduction, we fist consider stable ARMA model, then discuss the bootstrap for time series settings, and, finally turn to unit root econometrics.

    Downloads

    Further details and course Material will be provided via the Ilias group.
    You can also download the syllabus here.

  • Applied Econometrics (Bachelor, Block-Seminar)

    Type

    Block-Seminar

    Title

    Applied Econometrics

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Spring Semester 2022

    Target Audience

    Bachelor

    Introductory Meeting:

    Mon, 14.02.22 & 21.02.22 (Time: 3.30pm-5pm)

    Presentations:

    Tba

    Course language

    English

    Prerequisites

    Grundlagen der Ökonometrie (Basic Econometrics); Statistik I+II (Statistics I + II)

    Examination

    seminar paper and presentations

    ECTS

    6

    Course description

    Each participant conducts an own empirical study in order to become familiar with applied research, what includes the ability to interpret empirical results in a meaningful way. Based on the material covered in the course Grundlagen der Ökonometrie, you will extend your knowledge on econometric models, estimation methods and test procedures in order to solve empirical problems. The seminar topics will refer to the multiple regression model for cross-section data including IV estimation setups as well as to microeconometric, panel data and time series models. Thereby, you should gain a broad overview on the various model classes through your own and your fellow students’ projects.

    RegistrationCentral registration week  6.12.-12.12

    Downloads

    Further information will be made available in the Ilias group of the seminar in due time.