Empirical Econometrics 2
Full course description
The course is an applied course that will cover various econometric models (e.g. VAR, VECM, GARCH, HAR models) and their usefulness for analyzing macro/growth/finance datasets. Special attention will be given to large econometric models and methods especially tailored towards the analysis of time series datasets that contain many time series relative to the time series length. Each topic is empirically driven in that it is motivated by choosing empirical papers published in leading economic journals illustrating the use of the techniques. These papers will be studied and the techniques used will be explained and discussed.
Students will learn how to apply and interpret econometrics and statistical techniques that are essential for empirical research in macroeconomics, monetary economics, growth, finance… The emphasis will be on the understanding the fundamentals behind the techniques used, their applicability, empirical relevance, economic interpretation, their limitations, both from an empirical and methodological point of view.
Empirical Econometrics I