Part I, Anton Velinov: The first part of the course covers selected topics fundamental to understand and apply econometric methods in research. These topics include: revision of OLS and asymptotics, single and multiple equation GMM, panel data methods, and state space models.
Part II, Simone Maxand: The second part of the course will provide survey of the theory of time series methods in (advanced) econometrics. We will cover (classical) topics including univariate stationary and non-stationary models, vector autoregressions, vector error correction models and both univariate and multivariate models for volatility. Empirical applications in the course will be drawn from macroeconomics.
Master's students can choose which part they want to participate in or from which part they want to take the examination. |