Teaching - Current Courses

Vorlesung/Lecture und Übung

Grundlagen der Ökonometrie

Prof. Dr. Carsten Trenkler

Frühjahrsemester 2019

Di 13.45 - 15.15 in B6, 23-25, Bauteil A - A001

10 Übungs­gruppen, Termine und Räume folgen

Vorlesung und Übung (2+2)

Deutsch

Statistik I+II 

schriftlich (90 Minuten)

6

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.

Hier finden Sie den Vorlesungs­plan.

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

Lecture and Tutorial

E508 Advanced Econometrics III

Prof. Dr. Carsten Trenkler

Spring Semester 2019

Start: 11.02., End: 27.05.

Mon: 5.15 - 6.45 p.m. in S031 (L7, 3-5)

Thu: 8.30-10am in P044 (L7, 3-5)

English

E601 - E603 or E700 - E703 or equivalent courses for exchange students

Two assignments (25%) and final exam (75%).

9.5

The lecture gives an introduction to multiple time series techniques and will cover vector autoregressive (VAR) processes, VAR estimation, VAR order selection and model checking. If time permits, we will also cover Structural VAR models, VEC as well as VARMA models. The use of VAR models in forecasting, causality and impulse response analysis will be explained and illustrated using empirical examples and by discussing a selected set of research papers.

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

Lecture (and Tutorial)

E806 Advanced Econometrics III (PhD)

Prof. Dr. Carsten Trenkler

Frühjahrs-/Sommersemester 2019

Start: 01.04., End: 27.05.

Mon 1:45 p.m. - 3.15 p.m. in L9, 1-2 - 002 & Thur 10:15 a.m. - 11:45 a.m. in L9, 1-2 - 003

Mon 3:30 p.m. - 5 p.m. in L9, 1-2 - 002

English

Advanced Econometrics I+II

Grading for this course will be based on three (shorter) assignments (30%) and the final exam (70%). 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, Matlab, Gauss to address the latter types of questions. Grading of each assignment will use the following scale: 10: very good, 9: good, 8: attempted, 0: not handed in. 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.

5

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.

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