Universität Wien FIND

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040057 UK Macroeconometrics (MA) (2015S)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Registration/Deregistration

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Monday 02.03. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 06.03. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 09.03. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 13.03. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 16.03. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 20.03. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 23.03. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 27.03. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 13.04. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 17.04. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 20.04. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 24.04. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 27.04. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Monday 04.05. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 08.05. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 11.05. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 15.05. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 18.05. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 22.05. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Friday 29.05. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 01.06. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 05.06. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 08.06. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 12.06. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 15.06. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 19.06. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 22.06. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Friday 26.06. 09:45 - 11:15 Hörsaal 11 Oskar-Morgenstern-Platz 1 2.Stock
Monday 29.06. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

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)

Assessment and permitted materials

The evaluation consists of 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 before the midterm. Passing the course requires both at least 50% of the maximum achievable points and attendance at the midterm test.

Minimum requirements and assessment criteria

The course aims at deepening the understanding of econometric methods that are useful in the analysis of macroeconomic data.
By the end of the course, students are expected to have acquired a good understanding of how to analyze univariate and multivariate time series and how to apply this knowledge to macroeconomic data.

Examination topics

The course comprises of 2 lectures of 1.5h per week covering both theory and empirical examples. Econometric methods will be highlighted by empirical applications using the software package Stata. Students are asked to prepare an empirical project that is related to the course contents, and to present and discuss their results in the last weeks.

Reading list

Davidson and MacKinnon: Econometric Theory and Methods
Lütkepohl: New Introduction to Multiple Time Series Analysis

Association in the course directory

Last modified: Mo 07.09.2020 15:28