Empirical Methods and Applications in Macroeconomics and Finance

ECN430 Empirical Methods and Applications in Macroeconomics and Finance

Autumn 2020

Spring 2021
  • Topics

    In empirical macroeconomics and finance we are investigating dynamic relationships between variables. This course will discuss methods for inference and forecasting in dynamic models in macroeconomics and finance, including:

    • regression with panel data;
    • identification and instrumental variables;
    • estimation and forecasting in dynamic models in macroeconomics and finance;
    • estimation and evaluation of structural econometric models;
    • volatility clustering and conditional heteroscedasticity;
    • non-linear models.

  • Learning outcome

    This course presents empirical methods and discusses applications in macroeconomics and finance. The course gives students a solid basis for practical empirical analysis in macroeconomics and finance. The course is especially suitable for students who write on an empirical master thesis in macroeconomics and finance.

    Students work on a practical empirical project, and the result will be presented towards the end of the course.

    At the end of the course students should achieve the following goals:

    Knowledge;

    - be familiar with practical econometric methods in modern macroeconomics and finance

    - apply their econometrics knowledge both to analyze and write about quantitative problems

    Skills;

    - estimate and evaluate econometric models and analyze empirical questions in macroeconomic and finance;

    - use software to handle data and to do econometric analyses;

    General competence

    - formulate and answer a research question in macro-econ. and finance

    - write a term-paper where econometrics is used

    - presentation of research ideas and the content of their own term-paper

  • Recommended prerequisites

    Basic Econometric knowledge

  • Required prerequisites

    From Fall 2015 the following prerequisites will apply:

    Students taking this course are expected to have knowledge about econometrics similar to that covered in one of the courses BUS444, ECN402, ECO403 or FIE401 at NHH. That means: multiple regression analysis, testing and inference, heteroskedasticity and serial correlation, instrumental variables estimation.

  • Requirements for course approval

    Assignment(s) and term paper  

  • Assessment

    The assessment in this course will not be changed in the spring semester of 2020.

    The final grade will be based on empirical assignments (50%) and portfolio consisting of term paper and presentation and discussion of term paper (50%). The empirical assignments, term paper and presentation must be completed in groups.

    The topic of the term paper should be decided by the beginning of February, and handed in by the end of March. The assignment(s) are posted throughout the semester (Jan - April).

    The empirical assignments and term paper should be written in English.

     

    The empirical assignments must be passed in order to submit the portfolio.

  • Grading Scale

    Grading scale A - F.

  • Computer tools

    STATA or other software (R, Matlab)

  • Literature

    Selected chapters from various textbooks and scientific empirical papers. A full reading list will be announced at the beginning of the course.

Overview

ECTS Credits
7.5
Teaching language
English
Semester

Spring. Offered spring 2020

Course responsible

Professor Gernot Doppelhofer, Department of Economics.

Professor Øivind A. Nilsen, Department of Economics.

Adjunct Associate Professor Håkon Tretvoll, Department of Economics.