Macroeconometrics
This course is tailored towards students that are interested in time series and empirical macroeconomics and will be a good complement to theoretical macroeconomics courses. The course will provide a rigorous exposition to several topics that will enable students to do competent empirical analysis: simultaneous equations, identification, endogeneity, method of moments –instrumental variables, stochastic processes and time series analysis, ARMA modelling, multivariate systems i.e. Vector Auto-Regressions and their relationship to modern dynamic macroeconomic models. Students will also learn how to implement some of these methods in statistical packages i.e. STATA.
Lecturer: Andreas Tryphonides, Ph.D.
Literature: Stock and Watson(2015), Introduction to Econometrics 3rd Edition, Pearson U Press and J.D. Hamilton(1994), Time Series Analysis, Princeton U Press.
Preconditions: None
Module: BA BWL und VWL: 6 credits “Themen der Makroökonomie“
Exam: Written exam (90 min)