| Course language | Frequency | Hours per week | ECTS | Exam |
|---|---|---|---|---|
| English language | Winter semester | 2V+2? | 6 | 90-minute written exam |
Empirical economics combines economic theory, data and statistical-mathematical methods to answer economic and economic policy questions. The course Quantitative Economic Research II focuses on methods for identifying simultaneous causalities between macroeconomic or financial variables. Firstly, the fundamental problems of simultaneity and estimation of systems of equations are introduced. The second essential component is formed by concepts of multivariate time series analysis, which includes vector autoregressive processes and cointegration. Instrument variables, short-term exclusion restrictions, long-term restrictions and heteroscedasticity are discussed as identification techniques. The linking of theory, data and methods is achieved through application examples, which are introduced in the lecture and worked on together in computer tutorials. Topics include, for example, the effect of supply and demand shocks, which differ in their long-term effect, or the convergence of real incomes in different countries, which are modelled in a vector error correction model.
Prerequisites
Methods of econometrics; time series analysis recommended
(or corresponding equivalents)
