Applied Macroeconometrics

Faculteit Economie en Bedrijfskunde
Jaar 2020/21
Vakcode EBM109A05
Vaknaam Applied Macroeconometrics
Niveau(s) master
Voertaal Engels
Periode semester II a
Rooster rooster

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 -hoorcollege ,  -individuele begeleiding
(Homework, replication paper, empirical paper)
Toetsvorm -individuele opdracht
(Individual assignments will be 1. Exercises that deepen students' knowledge of the methods discussed in the course; and 2. an empirical paper in which an existing data set needs to be replicated and further analyzed.)
Vaksoort master
Coördinator prof. dr. J.P. Elhorst
Docent(en) prof. dr. J.P. Elhorst ,dr. J.P.A.M. Jacobs
Verplichte literatuur
Titel Auteur ISBN Prijs
Mostly journal articles Various
Entreevoorwaarden For students in the Research Master in Economics & Business and/or MSc EORAS: Hill, R. Carter, William E. Griffiths, and Guay C. Lim, 2012; 4th edition, John Wiley & Sons Ltd., New York etc.; 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 Secretary: K. Beute, phone: +31(0)50 363 7018, e-mail:
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