Topics in Economics and Statistics

Lecturer: Dr. Peren Arin (Zayed University, Abu Dhabi, UAE and Centre for Applied Macroeconomic Analysis, Canberra, Australia)
Date: March 30 – April 02, 2015
Venue: TU Dresden
Course requirements: written exam (2 hours) or research proposal (to be completed within a month). Further details will be provided during the course.
Registration:  yvonne.bludau@tu-dresden.de until March 23, 2015. In your registration e-mail, please include a short note on your level of experience in econometrics/statistical analysis. The level and content of the course will be adjusted to the state of knowledge of the participants.

Course Description

This course is aimed to familiarize its participants with some commonly used empirical methods used in business-related subjects, particularly in economics and finance and the statistics /econometric software like STATA and E-Views.

Requirements for a certificate: Students can either choose to take the exam (recommended for more junior students), or to submit a research proposal 1 month later (recommended for more senior PhD students).

Outline

Day 1: Monday, March 30, 9am-12am and 1.30pm-3.30pm, SCH B 250

1. Introduction

– Types of Data Used in Econometrics
– Basic Statistical Methods
– Basic Regression Analysis
– Interpreting Regression Coefficients
– Interpreting Regression Diagnostics
– STATA applications

2. Regression with Crosssection data and related problems

– Co-lineraity
– Heteroskedasticity
– Endogeneity (Stochastic Regressors) and Two-Stage Least Squares
– STATA applications

Day 2: Tuesday, March 31, 9am-12am and 1.30pm-3.30pm, SCH B 250

– Binary Choice/ Discrete Dependent Variable Models: Logit and Probit Estimations

3. Regression with Panel Data: Random Effects versus Fixed Effects

– Fixed Effects, Random Effects
– Dynamic Panel Models
– Systems Equations
– STATA Applications

Day 3: Wednesday, April 1, 9am-12am and 1.30pm-3.30pm, SCH B 250

 4. Time Series Analysis

– Univariate Time-Series Analysis: ARMA models
– Multivariate Time Series Analysis and VAR models: Contemporaneous Restrictions, Long-Run Restrictions and Structural VARs
– E-Views and RATS applications
– Modelling Volatility: ARCH and GARCH models

Day 4: Thursday, April 2, 9.20am-10.50am, SCH B 037

– Written exam (details will be provided during the course)

For any comments or any other issues that concern the seminar please e-mail Kerim.arin@zu.ac.ae