Applied Macroeconometrics

Faculteit Economie en Bedrijfskunde
Jaar 2018/19
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 package(s) for estimating time series models
Omschrijving The course discusses topics in applied macroeconometrics. The first two lectures cover macroeconomic data and univariate testing and modelling. The next two lectures present developments in multivariate modelling, in particular Vector AutoRegressions and Vector Error Correction systems. The third block of lectures deals with unobserved component models, state space modelling, Kalman filter, factor models and FAVAR. The final set of lectures covers dynamic panel data models with and without cross-sectional independence. This is a hands-on course: students have to apply the models and concepts in homework exercises.
Uren per week 4
(Homework, replication paper, empirical paper)
Toetsvorm opdracht(en), paper
(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 Secretary: M.A. Geerlings-Koolman, 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