Teaching - Current Courses

Seminar

Applied Econometrics

Prof. Dr. Carsten Trenkler and Dr. Mehdi Hosseinkouchack

Autumn semester 2019

Bachelor

Start: 04.09., End: 04.12.

Wednesday 10.15-11.45 in P043 (L7, 3-5)

German/English

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

seminar paper and presentations

6

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.

• Seminar description
• List of topics
• Description of topics

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

Lecture

Carsten Trenkler and Mehdi Hosseinkouchack

Autumn semester 2019

Master

Monday 13.45-15.15 in room P043 (L7, 3-5)

English

E603 Advanced Econometrics

Seminar paper and presentations

5

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, factor models, network 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. 

As for all other Master courses, please contact Sebastian Herdtweck. If you would like to take part in the seminar, please send an email to Carsten Trenkler with your two preferred topics from the list provided in the seminar description or with own proposal(s) until August 28.

• Seminar description

Lecture

Prof. Dr. Carsten Trenkler

Autumn semester 2019

PhD

Monday, 15:30 to 17:00 and Thursday, 10:15 to 11:45 in L7, 3-5, room P043

English

E703, E803, E806 Advanced Econometrics I - III

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

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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, impulse response analysis and variance decompositions. 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.

• Syllabus
• Further material can be soon found in the course's Ilias group.

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)

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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.

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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.