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Teaching - Current Courses

    Autumn semester 2018

  • Applied Econometrics (Bachelor, Seminar)

    Type

    Seminar

    Title

    Applied Econometrics

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Autumn semester 2018

    Target Audience

    Bachelor

    Start/End:

    Start: 05.09., End: 05.12.

    Time & Location:

    Wednesday 10.15-11.45 in L9 room 003

    Course language

    German/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.

    Registration Closed

    Downloads

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

  • E585 Topics in Multiple Time Series Analysis

    Type

    Lecture

    Title

    E585 Topics in Multiple Time Series Analysis

    Lecturers

    Carsten Trenkler and Mehdi Hosseinkouchack

    Semester

    Autumn semester 2018

    Target Audience

    Master

    Start/End Start: 03.09., End: 03.12.

    Time & Location

    Mon 5.15 p.m.-6.45 p.m. in room P043, L7, 3-5

    Course language

    English

    Prerequisites

    E603 Advanced Econometrics

    Examination

    Seminar paper and presentations

    ECTS

    5

    Course description

    In this seminar students work on applied or methodological projects related to multiple time series analysis. Thereby, they can extend and broaden their background acquired during the lectures on multiple time series analysis and empirical macroeconomics. The potential topics refer e.g. to VARMA models, structural VARs, Bayesian VARs and factor models. It is expected that students independently acquire the necessary knowledge regarding the relevant model classes, methods and/or implementations. The maximum number of participants in the seminar is limited to 14. 

    Registration

    As for all other Master courses, please contact Sebastian Herdtweck. If you would like to take part in the seminar, please send me an email with your two preferred topics from the list provided in the seminar description or with own proposal(s) until August 30.

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  • E823 Advanced Time Series Analysis

    Type

    Lecture

    Title

    E823 Advanced Time Series Analysis

    Lecturer

    Prof. Dr. Carsten Trenkler

    Semester

    Autumn semester 2018

    Target Audience

    PhD

    Start/End Start: 04.09., End: 04.12.

    Time & Location

    Tuesday, 13:45 to 15:15 in L7, 3-5, room P043; Thursday, 10:15 to 11:45 in L9, 1-2, room 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 issues on stationary univariate time series models discussed in Advanced Econometrics III, we will first deal with stable VAR models and their use for forecasting, Granger causality and impulse response analysis. To this end, we will also discuss important issues on asymptotic- and bootstrap-based inference. Afterwards, we briefly discuss stable VARMA processes and infinite-order VARs. Finally, we consider integrated multivariate processes after a short re-cap of unit root econometrics. To this end, we will also deal with cointegration, including VEC modelling. 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. We may cover e.g. Bayesian VARs, structural VARs, factor-augmented VARs, VARMA models, etc.. This course is complementary to the course Structural Vector Autoregessive Analysis offered by Matthias Meier. While the latter course focus on structural modelling approaches from an applied macro perspective, we take an econometric approach and deal with multivariate I(1) approaches, VECM and VARMA models in more detail.

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