piwik-script

Deutsch Intern
    Chair of Econometrics

    Courses and exercises

    Prof. Dr. Martin Kukuk

     

    Offered in: Winter term

    Start: 19th October 2022

    Tuesday, 12 - 14 o'cklock, HS 414
    Wednesday, 10 - 12 o'clock, HS 414

    Language: German

    General information

    The lecture is based on the compulsory module Fundamentals of quantitative economic research (Grundlagen der Quantitativen Wirtschaftsforschung) in the Bachelor programme. The regression analysis introduced there is deepened and extended in this course.

    The lecture takes place four hours per week, so that the course "Econometrics 1" lasts until about Christmas and "Econometrics 2" starts directly afterwards. The precise start of Econometrics 2 will be announced in the lecture and in the WueCampus course room. Econometrics

    Econometrics 1 will be examined with a one-hour written exam during the regular exam period. It is recommended to take the exam in Econometrics 2 in combination with Econometrics 1. You will receive 5 ECTS points for each exam in Econometrics 1 and 2. Basic knowledge of statistics and mathematics of the basic courses is required; however, it will be briefly repeated in the course and in the exercise.

    Outline

    1. Introduction (problems, data, correlation/causality etc.)
    2. Statistical basis
    3. Linear regression analysis (OLS, Gauss-Markov theorem)
    4. Additional remarks on the multiple regression model (restrictions, hypotheses, tests)
    5. Specification analyses
    6. Multicollinearity
    7. The generalized linear regression model (violations of the linear model, tests, GLS, dynamic models)

    References

    Amemiya, T.: Introduction to Statistics and Econometrics, Harvard Univ. Press
    Baltagi, B.: Econometrics, Springer Verlag
    Greene, W. H.: Econometric Analysis, Philip Allan
    Hackl, P.: Einführung in die Ökonometrie, Pearson Studium München
    Hamilton, J. D. : Time Series Analysis, Princeton University Press
    Hansen, G.: Quantitative Wirtschaftsforschung, Vahlen
    Harvey, G.: The Econometric Analysis of Time Series, Philip Allan
    Hendry, D.: Dynamic Econometrics, Oxford University Press
    Hübler, O.: Ökonometrie, Gustav Fischer
    Johnston, J. und J. DiNardo: Econometric Methods, McGraw Hill
    Kennedy, P.: A Guide to Econometrics,  Blackwell
    Maddala, G. S.: Introduction to Econometrics, Prentice Hall
    Pindyck, R. und D. Rubinfeld: Econometric Models and Economic Forecasts, McGraw Hill
    Ronning, G.: Mikroökonometrie, Springer Verlag
    Studenmund, A. H.: Using Econometrics, Pearson
    Verbeek, M.: Modern Econometrics, John Wiley
    Winker, P.: Empirische Wirtschaftsforschung, Springer Verlag

    For further information see WueCampus and WueStudy (Econometrics 1) and WueStudy  (Econometrics 2).

    Emily Fuchs, B.sc.

     

    Exercise " Econometrics 1"

    Start: -

    Language: German

    Exercise " Econometrics 2"

    Start: -

    Language: German

     

    The first exercises will repeat basic vector and matrix operations which will be necessary to follow the course.

    Furthermore, we offer a 4-hour R introductory course.

    For further information see WueCampus and WueStudy (Econometrics 1) and WueStudy  (Econometrics 2).

    Prof. Dr. Martin Kukuk

     

    Offered in: Summer term

    Wednesday, 14 pm - 16 pm (HS 413)

    Start: 27th April 2022

    The lecture will be held live in class. Additionally, students can follow the lecture live via Zoom.

    Language: English

    This course is equivalent to "Ökonometrie 1" given in winter terms except that it is held in English. Its content builds on the mandatory undergraduate course  "Fundamentals of quantitative economic research" (Grundlagen der Quantitativen Wirtschaftsforschung) where the simple regression analysis was introduced. We will repeat this chapter, extend it to multiple regression, and study its foundation in greater detail using a geometrical approach. Basic knowledge of undergraduate math and statistics is required although they will be repeated shortly in the lecture and also in the exercises.

    Outline

    1. Introduction (building blocks, data, linear vs. non-linear models)
    2. Basic statistical concepts
    3. Classical linear regressions (simple and multiple regressions, matrix notation, OLS, Gauss-Markov, variance decomposition)
    4. Further Topics in regression analysis (restrictions, joint hypotheses testing)

    References

    Amemiya, T.: Introduction to Statistics and Econometrics, Harvard Univ. Press
    Baltagi, B.: Econometrics, Springer Verlag
    Greene, W. H.: Econometric Analysis, Philip Allan
    Hackl, P.: Einführung in die Ökonometrie, Pearson Studium München
    Hamilton, J. D.: Time Series Analysis, Princeton University Press
    Hansen, G.: Quantitative Wirtschaftsforschung, Vahlen
    Harvey, G.: The Econometric Analysis of Time Series, Philip Allan
    Hendry, D.: Dynamic Econometrics, Oxford University Press
    Hübler, O.: Ökonometrie, Gustav Fischer
    Johnston, J. und J. DiNardo: Econometric Methods, McGraw Hill
    Kennedy, P.: A Guide to Econometrics,  Blackwell
    Maddala, G. S.: Introduction to Econometrics, Prentice Hall
    Pindyck, R. und D. Rubinfeld: Econometric Models and Economic Forecasts, McGraw Hill
    Ronning, G.: Mikroökonometrie, Springer Verlag
    Studenmund, A. H.: Using Econometrics, Pearson
    Verbeek, M.: Modern Econometrics, John Wiley
    Winker, P.: Empirische Wirtschaftsforschung, Springer Verlag

    For further information see WueStudy and WueCampus.

    Emily Fuchs, B.Sc.

    Monday, 12:00 - 14:00, HS 413

    Start: 02/05/22

    The exercise will be held live in class. Additionally, students can follow the exercise live via Zoom.

    Language: English

    For further information see WueStudy and WueCampus.

    Prof. Dr. Martin Kukuk

     

    Offered in: Summer term

    Wednesday, 10 am -12 am, SR 226

    Start: 27nd April 2022

    The lecture will be held live in class. Additionally, students can follow the lecture live via Zoom.

    Language: German

    In this course, the classical or generalized linear regression model discussed in the basic course will be extended in different ways. This will provide the tools to adequately handle the violations of the classical or generalized assumptions of the linear regression model occurring in real data sets. In addition, the basis for understanding recent empirical research is created.

    Outline

    1. The maximum likelihood estimation principle (ML)
    2. Error-in-variables, instrumental variable estimation
    3. The Generalized Method of Moments (GMM)
    4. Specific problems with time series regressions

    References

    Amemiya, T.: Introduction to Statistics and Econometrics, Harvard University Press.
    Baltagi, B.: Econometrics, Springer Verlag.
    Greene, W. H.: Econometric Analysis, 3rd ed., Philip Alan.
    Kennedy, P.: A Guide to Econometrics, 4th ed., Blackwell.
    Verbeek, M.: Modern Econometrics, John Wiley.

    Furthermore, WueCampus provides teaching material. To login you need a password, which will be given to you in the first event.

    For further information see WueStudy and WueCampus.

    Dr. Manuel Rademaker

    Thursday, 16:00 - 18:00, CIP II

    Start: 28.04.2022

    The exercise will be held live in class. Additionally, students can follow the exercise live via Zoom.

    Language: German

    This exercise is accompanying the lecture "Econometrics 3" by Prof. Kukuk. It serves to deepen the subject matter covered in the lecture as well as to practice it, including computer support. The course is offered in a (irregular!) 14-day rhythm.

    For further information see WueCampus and WueStudy.

    Dr. Manfred Plagens

    Start: 22.10.2021

    Thursday, 17:00 - 19:00

    Friday, 14:00 - 16:00 

    Friday, 16:00 - 18:00

    Room: 405 am Sanderring

    Dates

     

    October 2021
    Friday, 22.10.2021, 14 - 16 
    
    November 2021
    Friday, 05.11.2021, 14 - 16 
    
    Thursday, 18.11.2021, 17 - 19
    Friday, 19.11.2021, 14 - 18 
    
    December 2021
    Thursday, 02.12.2021, 17 - 19
    Friday, 03.12.2021, 14 - 18 
    
    Thursday, 16.12.2021, 17 - 19
    Friday, 17.12.2021, 14 - 18 
    
    January 2022
    Friday, 21.01.2022, 14 - 18
    
    February 2022 
    Friday, 04.02.2022 14 - 18 
    
    

     

    This lecture is a core elective module of the subjects "Research Methods" as well as of the specializations "European Economy" and "Economic Policy" of the master programs "Business Management" and "Economics".
    The lecture informs about the most important indicators and reporting systems of European and German economic statistics.

    Outline

    1. Subject matter and purpose of economic statistics
    2. Methods of descriptive statistics
    3. The European System of Accounts
    4. Economic indicators
    5. Price and volume indices
    6. Demographic structures and processes
    7. Employment and labour market
    8. Public finances
    9. Money and credit in the European Monetary Union
    10. statistics and databases of EuroStat and the ECB

    References

    BRÜMMERHOFF, D.: Volkswirtschaftliche Gesamtrechnung, 8. Aufl.; 
    München/Wien: Oldenbourg 2007.
    ECB (Ed.): ECB Statistics; Frankfurt: European Central Bank 2010.
    EuroStat (Ed.): Statistical Requirements Compendium; Luxembourg: 
    Office for Official Publications of the European Communities 2008.
    EuroStat (Ed.): European Economic Statistics; Luxembourg: Office for 
    Official Publications   of the European Communities 2010.
    HEMMER, H.-R./LORENZ, A.: Grundlagen der Wachstumsempirie; München: 
    Vahlen 2004.
    JUNIUS, K. u.a.: Handbuch Europäische Zentralbank; Bad Soden/Ts.: 
    Uhlenbruch 2002.
    KRUG, W./NOURNEY, M./SCHMIDT, J.: Wirtschafts- und Sozialstatistik, 6. 
    Aufl.; München/Wien: Oldenbourg 2001.
    LEINER, B.: Europäische Wirtschaftsstatistik, 3. Aufl.; München/Wien: 
    Oldenbourg 1997.
    v.d. LIPPE, P.: Wirtschaftsstatistik, 5. Aufl.; Stuttgart: Lucius & 
    Lucius 1996.
    v.d. LIPPE, P.: Wirtschafts- und Sozialstatistik heute; Sternenfels: 
    Vlg. Wissenschaft und Praxis 1997.
    MOSLER, K./SCHMIDT, F.: Beschreibende Statistik und 
    Wirtschaftsstatistik, 3. Aufl.; Berlin/Heidelberg: Springer 2006.
    OECD (Hrsg.): Was ist Wirtschaftswachstum?; Paris: OECD Publishing 2004.
    PINNEKAMP; H.-J./SIEGMANN, F.: Deskriptive Statistik, 4. Aufl.; 
    München/Wien: Oldenbourg 2001.
    RINNE, H.: Wirtschafts- und Bevölkerungsstatistik, 2. Aufl.; 
    München/Wien: Oldenbourg 1996.
    SCHULZE, P.: Beschreibende Statistik. 6. Aufl.; München/Wien: Oldenbourg 2007.
    STOBBE, A.: Volkswirtschaftliches Rechnungswesen, 8. Aufl.; 
    Berlin/Heidelberg/New York: Springer 1994.
    WINKLER, O.: Interpreting Economic and Social Data; Berlin/Heidelberg: 
    Springer 2009.

    For further information see WueCampus and WueStudy.

    Prof. Dr. Martin Kukuk

     

    Offered in: Summer term

    Tuesday, 10 am - 12 am, HS 413

    Start: 26nd April 2022

    The lecture will be held live in class. Additionally, students can follow the lecture live via Zoom.

    Language: German

    In this course, fundamental methods of empirical financial market research are presented. The models dealt with in the basic course are assumed to be the basis.

    Outline

    1. Efficiency of information
    2. Random Walk
    3. Theoretical market models
    4. Events
    5. Univariate modeling of time series data
    6. Models to explain volatility (ARCH and GARCH)
    7. Estimation of the CAPM

    References

    Alexander, C.: A Guide to Financial Data Analysis, Wiley.
    Campbell, J. Y., Lo, A. W., MacKinley, A. C.: The Econometrics of Financial Markets, Princeton University Press.
    Geyer, A.: Information, Erwartung und Risiko. Aspekte der Verteilung, Abhängigkeit und Varianz von finanzwirtschaftlichen Zeitreihen, Verlag V. Florentz.
    Hamilton, J. D.: Time Series Analysis, Princeton University Press.
    Mills, T.: Econometric Modelling of Financial Time Series, Cambridge University Press.
    Taylor, S.: Modelling Financial Time Series, Wiley.

    For further information see WueCampus and WueStudy.

    Tamara Schamberger, M.Sc.

     

    Wednesday, 12pm - 14 pm, SR 308

    Start: 11.05.2022

    The exercise will be held live in class. Additionally, students can follow the exercise live via Zoom.

    Language: German

    This exercise is accompanying the lecture " Analysis of Financial Market Data " by Prof. Kukuk. It serves to deepen the subject matter covered in the lecture as well as to practice it, including computer support. The course is offered in a 14-day rhythm.

    For further information see WueCampus and WueStudy.

    Prof. Dr. Martin Kukuk

    Please note that the lecture Microeconometrics is currently not offered!

    Language: German

    The course teaches basics, methods and concepts to analyze individual data. The scaling of the observed data will be treated adequately. The maximum likelihood method, which is important for this type of data, is explained in detail.

    Outline

    1. What is Mikroökonometrie ?
    2. Models for qualitatively dependent variables
    3. Models for limited dependent variables
    4. Time dependent models

    References

    Greene, W. H.: Econometric Analysis, Philip Alan.
    Ronning, G.: Mikroökonometrie, Springer Verlag.
    Verbeek, M.: Modern Econometrics, Wiley.
    Winkelmann, R., Boes, S.: Analysis of Microdata, Springer Verlag.

    For further information see WueCampus and WueStudy.

    Language: German

    Please note that the tutorial Microeconometrics is currently not offered!

    This exercise is accompanying the lecture " Microeconometrics " by Prof. Kukuk. It serves to deepen the subject matter covered in the lecture as well as to practice it, including computer support. The course is offered in a 14-day rhythm.

    For further information see WueCampus and WueStudy.

    Offered in: Winter term

    General Information

    In the seminar "Econometrics", topics of econometrics are to be worked out independently in a seminar paper and subsequently presented in a seminar lecture. Topics can be based on the master courses of the chair, i.e. preferably on the contents of the courses "Econometrics 3" and "Financial Market Econometrics". In addition, other econometric methods that are not part of the master's courses can be covered. The exact topics will be discussed individually with the chair's staff. Formal instructions can be found here.

     

    Schedule of the seminar:

    Topic agreement: according to individual agreement

    Handing in of written seminar papers: approx. 1 week before Christmas

    Seminar presentations: approx. 1 - 2 weeks after the Christmas holidays

     

    Suggested topics

    Volatility modeling of financial market data

    Maximum likelihood estimation

    Panel data analysis

    Vector autoregressive models

     

    For more detailed information, please refer to WueCampus where you will be automatically enrolled as soon as you have been admitted to the seminar paper. For questions about the seminar please contact tamara.schamberger@uni-wuerzburg.de.

    For further information see WueCampus and WueStudy.