| Course language | Cycle | ECTS | Examination |
|---|---|---|---|
| German or English | always | 6 | Seminar paper |
The seminar offers the opportunity to write your own paper in empirical economic research or econometrics. The focus is on macroeconometrics, but other areas can also be considered. A connection to research at the Institute for Employment Research (IAB) is also possible. The seminar paper includes the motivation for the study, theoretical foundation, data search, empirical application using suitable software and interpretation of the results.
The macroeconometric seminar takes place together with Prof. Dr Rolf Tschernig in the winter semester and in English. As it can also be taken by Bachelor's students as a Bachelor's seminar, the coordinated timetable for Bachelor's seminars applies. This means that registration must take place during the summer semester. The exact schedule and the topics currently offered can be found under Seminars (external link, opens in a new window) on the website of the Institute of Economics including Econometrics.
The seminar can also be combined with a stay abroad in the winter semester. For this purpose, the main work in the seminar can also be scheduled for the lecture-free period before and/or after the winter semester. If you are interested, please contact enzo.weber(at)wiwi.uni-regensburg.de (opens your email program) to make an individual arrangement.
Notes on research:
The following databases are available from the university network:
Web of Science ( isiknowledge.com/WOS (external link, opens in a new window) )
EconLit (see below)
EBSCO (see below)
DataStream (see below)
rzblx10.uni-regensburg.de/dbinfo/dbliste.php (external link, opens in a new window)
Topics:
Here you will find a list of possible topics. Your own suggestions are welcome by arrangement! The sources should provide an initial orientation. In principle, however, you are free to choose your own literature. Main supervisors will be: Rolf Tschernig No. 1-6, Enzo Weber No. 7-8. All topics can be worked on in German or English.
1. Macroeconomic Forecasting with Factor Models
Stock, J. and Watson, M. (2002). Macroeconomic Forecasting Using Diffusion Indexes, Journal of the American Statistical Association, 20, 147 - 162.
H?rdle, W. & Simar, L. (2007). Applied Multivariate Statistical Analysis, Springer
2. Low Frequency Econometrics
Müller, U. and Watson, M. (2018). Long-Run Covariability, Econometrica, 86, 147 - 162.
Müller, U. and Watson, M. (2017). Low-Frequency Econometrics, In Advances in Economics and Econometrics: Eleventh World Congress of the Econometric Society, Volume II, ed. by B. Honoré, and L. Samuelson, Cambridge University Press, 53 - 94.
3. Long Memory Processes
Hassler, U. (2018). Time Series Analysis with Long Memory in View, Wiley.
4. Prediction with Nonlinear Time Series Models using Univariate Nonparametric Methods
Tschernig, R. (2004), Nonparametric Time Series Regression in: Lütkepohl, H. and Kr?tzig, M. (eds.), Applied Time Series Econometrics, pp. 243-288.
5. Model Selection
As an introduction: Chapter 6 in Elliot, G. and Timmermann, A. (2016). Economic Forecasting, Princeton University Press.
6. Mixed Frequency Econometrics
Ghysels, E. (2016). Macroeconometics and the reality of mixed frequency data, Journal of Econometrics, 193, 294-314
7. Nowcasting the crisis
During the corona crisis, numerous high-frequency economic indicators such as the lorry mileage index have come into focus. These can be used to obtain timely information about the course of the economy. The aim is to analyse which indicators provide the best results for nowcasting GDP. In addition, it will be examined whether this changed over phases and whether correlations remained stable, especially during the coronavirus crisis.
https://www.bundesbank.de/de/statistiken/konjunktur-und-preise/woechentlicher-aktivitaetsindex/methodik-833778 (external link, opens in a new window)
8. Unemployment hysteresis and structural change
Hysteresis effects appear when cyclical unemployment becomes permanent. This could happen if skills and experiences of the unemployed become obsolete. Therefore, the project should analyse the role of technological and structural change for unemployment hysteresis.
https://iab.de/en/project/?id=5251478 (external link, opens in a new window)