Angewandte Wirtschaftsforschung 1: Übung A zu Macroeconometric Analysis

Dozent/in:

Tomasz Makarewicz

Angaben:

Übung, 2 SWS

Termine:

Mo, 14:00 - 16:00, RZ/00.06

Inhalt:

This course focuses on advanced methods for macroeconometric analysis. After a brief review of univariate covariance-stationary processes and the ARMA model class, alternative time series decomposition methods such as the Hodrick-Prescott Filter as well as frequency-based filtering methods such as the Baxter-King Filter are discussed. Still in the covariance-stationary domain, the VAR model class for the analysis of multivariate covariance-stationary processes is discussed in detail. As next, non-stationary time series processes are introduced, as well as the main unit root tests. On this basis, the concept of cointegration, as well as the corresponding VECM model class is introduced and discussed in detail. Time permitting, other advanced frameworks for the modeling of different types of nonlinear behavior will be discussed.

Angewandte Wirtschaftsforschung 1: Übung B zu Macroeconometric Analysis

Dozent/in:

Tomasz Makarewicz

Angaben:

Übung, 2 SWS

Termine:

Di, 14:00 - 16:00, RZ/00.06

Inhalt:

This course focuses on advanced methods for macroeconometric analysis. After a brief review of univariate covariance-stationary processes and the ARMA model class, alternative time series decomposition methods such as the Hodrick-Prescott Filter as well as frequency-based filtering methods such as the Baxter-King Filter are discussed. Still in the covariance-stationary domain, the VAR model class for the analysis of multivariate covariance-stationary processes is discussed in detail. As next, non-stationary time series processes are introduced, as well as the main unit root tests. On this basis, the concept of cointegration, as well as the corresponding VECM model class is introduced and discussed in detail. Time permitting, other advanced frameworks for the modeling of different types of nonlinear behavior will be discussed.