Advanced Econometrics II, Part 1, SS 2023

This course is part of the first-year MSQ/Ph.D. Program course sequence at GSEFM.

Module and Program Learning Goals

Part 1 (Hassler) Mastering time series models (LGMSQ-1/LGPHD-1); Understanding stationary dynamic regressions (LGMSQ-1/LGPHD-1); Ability to apply time series methods to financial and macroeconomic data (LGMSQ-3/LGPHD- 3).

Registration for courses in MSQ and Ph.D. Programs generally is open only for students formally admitted to the MSQ and Ph.D. Programs at GSEFM. Exeptions are routinely made for students admitted as doctoral students by the "Promotionsausschuss" of the Faculty of Economics and Business Administration at Goethe University. All other students will need to individually seek the permission of the course instructor in question, the GSEF program director in question, as well as the director of their degree program to participate in MSQ and Ph.D. Program courses.

Description

Part 1 (Hassler) Outline:

1) Stochastic Processes
2) Conditional Heteroskedasticity
3) Autocorrelation
4) Asymptotic Theory
5) Stationary Regressions