Applied Macroeconometrics

Uitgebreide vaknaam	Applied Macroeconometrics
Leerdoelen	Upon completion of the course the student is able to: • Appraise macroeconometric data and main models • Relate these models to real life examples • Apply appropriate techniques for empirical problems • Use statistical packages for estimating models for time-series and cross-sectionally dependent data.
Omschrijving	The course discusses topics in applied macroeconometrics. This course consists of two parts. The first part consists of advanced models for analyzing macroeconomic time series data. We address models for nonstationary time series, identification of the response of variables to economic shocks, and the use of high-dimensional data. The second part consists of advanced models for analyzing data that are cross-sectionally dependent. In the second part, a distinction will be made between local (spatial) dependence and common factors. This is a hands-on course: students have to apply the models and concepts in homework exercises.
Uren per week	6
Onderwijsvorm	hoorcolleges (Homework, replication paper, empirical paper)
Toetsvorm	opdracht(en), paper, schriftelijk tentamen (Individual assignments will be exercises that deepen students' knowledge of the methods discussed in the course. A replication paper invites students to replicate empirical results of a published paper. In an empirical paper students prove to master techniques of the course.)
Vaksoort	master
Coördinator	prof. dr. J.P. Elhorst
Docent(en)	dr. T. Boot ,prof. dr. J.P. Elhorst
Verplichte literatuur	Titel Auteur ISBN Prijs Mostly journal articles Various
Entreevoorwaarden	For students in the Research Master in Economics & Business and/or MSc EORAS. Econometrics, Hill, R. Carter, William E. Griffiths, and Guay C. Lim, 2012, Principles of Econometrics, 4th edition, John Wiley & Sons Ltd., New York etc., A Guide to Modern Econometrics, Verbeek, M., 2012, 4th edition, John Wiley & Sons Ltd., New York etc., or equivalent. Software: working knowledge of Excel (or another spreadsheet programme); Eviews or Stata; Matlab, Gauss or R.
Opmerkingen	Prof.dr. J.P. Elhorst, phone: +31(0)50 363 3893, e-mail: j.p.elhorst@rug.nl, dr. T. Boot, phone: +31(0)50 363 4001, e-mail: t.boot@rug.nl, Secretary: K.Beute, phone: +31(0)50 363 7018, e-mail: k.beute@rug.nl
Opgenomen in	Opleiding Jaar Periode Type MSc Econometrics, Operations Research & Actuarial Studies/EORAS  ( Econometrics) 1 semester II a keuzegroep MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester II a keuze Research Master in Economics and Business  (keuzevakken ReMa-Research Methods) 1 semester II a keuze