Courses and exercises
Prof. Dr. Martin Kukuk
Offered in: Winter term
Start: 15th October 2024
Tuesday, 12 - 14 o'clock, HS 413
Wednesday, 10 - 12 o'clock, HS 413
Language: English
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 beginning of December 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 1 will be examined with a one-hour written exam in December (18.12.2024, 10am, HS414) whereas the exam in Econometrics 2 will be during the regular examination 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
- Introduction (problems, data, correlation/causality etc.)
- Statistical basis
- Linear regression analysis (OLS, Gauss-Markov theorem)
- Additional remarks on the multiple regression model (restrictions, hypotheses, tests)
- Specification analyses
- Multicollinearity
- 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.
Emily Fuchs, M.Sc.
Exercise " Econometrics 1"
Monday, 8 - 10 am, HS 413
Start: 28.10.2024
Language: English
Exam date: 18.12.2024, 10am, HS 414
Exercise " Econometrics 2"
Monday, 08 - 10 am, HS 413
Start: 13.01.2025
Language: English
The exercises will repeat basic vector and matrix operations which will be necessary to follow the course. The repetition will be offered in an seperate block. The date will be announced soon.
Furthermore, we offer a 4-hour R introductory course.
For further information see WueCampus and WueStudy.
Prof. Dr. Martin Kukuk
Offered in: Summer term
The lecture will only be offered online via videos this summer term 2024. The exercise will still be done in class.
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
- Introduction (building blocks, data, linear vs. non-linear models)
- Basic statistical concepts
- Classical linear regressions (simple and multiple regressions, matrix notation, OLS, Gauss-Markov, variance decomposition)
- 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
Emily Fuchs, M.Sc.
Monday, 14:00 - 16:00 - HS 413 - Begin of exercises: 22/04/24
The exercise will be held live in class and will take place in an irregular rythm.
Language: English
Prof. Dr. Martin Kukuk
Offered in: Summer term
The lecture will only be offered online via videos this summer term 2024. The exercise will still be done in class.
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
- The maximum likelihood estimation principle (ML)
- Error-in-variables, instrumental variable estimation
- The Generalized Method of Moments (GMM)
- 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.
Emily Fuchs, M.Sc
Offered in: Summer term
Monday, 08:00 - 10:00 - room 321
Start: 22.04.2024
The exercise will be held live in class.
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.
Dr. Manfred Plagens
Start: 17.10.2024
Room: 405 am Sanderring
Language: German
Dates
October 2024
(1) Donnerstag, 17.10.2024, 17 bis 19 Uhr, Raum: 405
November 2024
(2) Donnerstag, 07.11.2024, 17 bis 19 Uhr, Raum: 405
(3) Freitag, 08.11.2024, 14 bis 16 Uhr, Raum: 405 UND (4) Freitag, 08.11.2024, 16 bis 18 Uhr, Raum: 405
(5) Donnerstag, 21.11.2024, 17 bis 19 Uhr, Raum: 405
(6) Freitag, 22.11.2024, 14 bis 16 Uhr, Raum: 405 UND (7) Freitag, 22.11.2024, 16 bis 18 Uhr, Raum: 405
December 2024
(8) Donnerstag, 05.12.2024, 17 bis 19 Uhr, Raum: 405
(9) Freitag, 06.12.2024, 14 bis 16 Uhr, Raum: 405 UND (10) Freitag, 06.12.2024, 16 bis 18 Uhr, Raum: 405
January 2025
(11) Donnerstag, 09.01.2025, 17 bis 19 Uhr, Raum: 405
(12) Donnerstag, 23.01.2025, 17 bis 19 Uhr, Raum: 405
(13) Freitag, 24.01.2025, 14 bis 16 Uhr, Raum: 405 UND (14) Freitag, 24.01.2025, 16 bis 18 Uhr, Raum: 405
February 2025
(15) Freitag, 07.02.2025, 14 bis 16 Uhr, Raum: 405
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
- Subject matter and purpose of economic statistics
- Methods of descriptive statistics
- The European System of Accounts
- Economic indicators
- Price and volume indices
- Demographic structures and processes
- Employment and labour market
- Public finances
- Money and credit in the European Monetary Union
- statistics and databases of EuroStat and the ECB
References
- BRÜMMERHOFF, D./ GRÖMLING, M: Volkswirtschaftliche Gesamtrechnungen, 10. Aufl.; München/Wien: De Gruyter/Oldenbourg 2015.
- ECB (Ed.): ECB Statistics; Frankfurt: European Central Bank 2023. EuroStat (Ed.): Statistical Requirements Compendium – 2023 edition; Luxembourg: Office for Official Publications of the European Communities 2023.
- EuroStat (Ed.): European Economic Statistics; Luxembourg: Office for Official Publications of the European Communities 2023.
- 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 2014.
- 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. (Hrsg.): 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 2005. PINNEKAMP; H.-J./SIEGMANN, F.: Deskriptive Statistik, 5. Aufl.; München/Wien: Oldenbourg 2008.
- 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.
Prof. Dr. Martin Kukuk
The lecture will only be offered online via videos this summer term 2024. The exercise will still be done in class.
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
- Efficiency of information
- Random Walk
- Theoretical market models
- Events
- Univariate modeling of time series data
- Models to explain volatility (ARCH and GARCH)
- 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.
Jason Berger
Monday, 16pm - 18pm, room: 321
Start: 23.04.2024
The exercise will be held live in class and will take place in an irregular rythm.
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 irregular 14-day rhythm.
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
- What is Mikroökonometrie ?
- Models for qualitatively dependent variables
- Models for limited dependent variables
- 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 and Summer 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 emily.fuchs@uni-wuerzburg.de or jason.berger@uni-wuerzburg.de
