Courses

Please check with the BSE Handbook which mandatory courses you have to choose in your PhD track. Not all courses listed here can be approved as Core Courses for all BSE PhD tracks.

Instructor:
Description:

This course teaches new developments in the field of monetary economics. We start by a refresher on the dynamic New Keynesian model that is at center stage in the course "Monetary Economics". We then continue with analyses of indeterminacy and welfare. In each case we will put particular emphasis on the role played by features that make New Keynesian theory attractive from an empirical point of view. We will also develop the techniques that are necessary to work with those concepts. In the second part of the course we will discuss some recent extensions of the New Keynesian model. Examples include models with labor market frictions, open economy models as well as models with financial frictions. Those features are empirically motivated and their presence also has important normative implications, as we are going to see.

Literature:
Galí, Jordi (2008): Monetary Policy, Inflation and the Business Cycle, Princeton University Press.

Credits:
6.00
Click here to get more information or to sign up
Description:

Covers the economic foundations of accounting research. Based on information economics and mechanism design. Topics include use of accounting information in contracting problems, accounting and regulation, accounting-based security valuation and performance evaluation.

Literature:
None. For reading list of current papers, refer to the full syllabus.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course covers: single unit auctions (private and common values) - role of risk aversion optimal auctions - affiliation - multi-unit auctions - sequential auctions -- applications. The course has three main objectives:
(i) Teach the mathematical methods of solving auction games and designing markets;
(ii) Review the main fields of the auctions literature and frontiers of current research;
(iii) Discuss practical experience (spectrum auctions, energy markets, take-over bidding, etc.).

Literature:
Vijai Krishna. Auction Theory. Academic Press 2002 and others

Credits:
6.00
Click here to get more information or to sign up
Description:

Bargaining is central to the working of the economy. This course is designed to introduce the major insights gained by the bargaining theory to students who will later develop, interpret or apply bargaining models in different fields within economics.

Literature:
Muthoo, A. (1999). Bargaining theory with applications. Cambridge Univ. Press
Osborne, M. J. & A. Rubinstein (1990). Bargaining and markets. Academic Press, San Diego and others

Click here to get more information or to sign up
Instructor:
Description:

To attend this class students must have completed the core micro courses (Microeconomics 1 and 2).

This course presents psychological and experimental research in economics indicating departures from perfect rationality, self interest, and other classical assumptions of economics. To do so, a variety of empirical results are discussed. The course, however, focuses on different ways of how these departures from the standard assumptions can be formally modelled. It also discusses the implications of these formal behavioral model for positive and normative predictions in different institutional settings. The course has three aims: (i) familarizing students with the lively debate in experimental and behavioral economics; (ii) providing them with the methodological competence necessary to understand and judge original emprical research; (iii) provide formal tools for using so-called behavioral approaches in other areas of economics.

Literature:

There is no standard textbook in behavioral economics and the course is not based on a given textbook. Instead, students are expected to read original papers. Nevertheless, a good starting point is: Kahneman, Daniel and Amos Tversky. Choices, Values and Frames, New York: Russell Sage Foundation; Cambridge, U.K.; New York: Cambridge University Press, 2000.

Credits:
6.00
Click here to get more information or to sign up
Description:

Estimation and testing in the general linear model, generalized least squares estimation, asymptotic theory, nonlinear regression models, stochastic regressors, instrumental variable estimation, method of moments.

 
Literature:
  • Davidson, R. and MacKinnon, J.G. (2004): Econometric Theory and Methods, Oxford University Press.
  • Hayashi, F. (2000): Econometrics, Princeton University Press.
Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The course deals with advanced estimation techniques in modern econometrics and standard single equation and systems of equations models. It covers time series as well as microeconometric methods.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The course aims at providing the basic concepts and methods for analysing time series data. The focus is on univariate modelling tools. The lecture begins with classical components models. Then we cover different types of stochastic processes like ARIMA and GARCH models, deal with the unit root methodology and procedures for forecasting as well as for the specification, estimation and validation of models. Multivariate extensions are demonstrated, with emphasis on vector autoregressive (VAR) processes and its application in causality and impulse response analyses. Nonstationary systems with integrated and cointegrated variables will also be treated.
In the tutorials the time series methods are applied to empirical data. We will intensively make use of econometric software packages. A deeper insight into advanced methods and additional topics is offered by means of assignments, empirical studies and/or literature reviews.

Literature:
Hamilton (1994). Time Series Analysis. Princeton, University Press.
Schlittgen/Streitberg (2001). Zeitreihenanalyse. Oldenburg Verlag, München.
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer Verlag, Heidelberg.

Credits:
9.00
Click here to get more information or to sign up
Description:

This course deals with advanced estimation techniques in modern econometrics.
Main topics include generalized methods of moments (GMM) estimation for single-equation models and multiple-equation models, information theoretic approaches as well as pseudo-maximum likelihood techniques. Furthermore, an introduction to Bayesian econometric methods will be given. Here the focus is on fundamental principles of Bayesian inference, Markov chain Monte-Carlo (MCMC) methods as well as different applications of Bayesian inference. The third and forth part covers non- and semiparametric methods in econometrics. We will study basic Kernel density estimation, nonparametric regression techniques and estimation of partially linear and additive models. A deep knowledge of the techniques conveyed in this course is extremely useful since they are applied in various areas in modern econometrics, including time series econometrics, micro econometrics, panel econometrics as well as financial econometrics.

Literature:
Amemiya, T. (1985): Advanced Econometrics. Basil Blackwell, Oxford.
Greenberg, E. (2008): Introduction to Bayesian Econometrics, Cambridge University Press.
Gouriéroux, C. and Monfort, A. (1995): Statistics and Econometric Models, Cambridge University Press, Vol. 1 and 2.
Hansen, L. P. (1982): “Large Sample Properties of Generalized Method of Moment Estimators”, Econometrica, 50, 1029–1054.
Hayashi, F. (2000): Econometrics, Princeton University Press.
Koop, G. (2003): Bayesian Econometrics, Wiley.
Li, Q. and Racine, J. (2007): Nonparametric Econometrics, Princeton University Press.
Newey, W. K. (1993): “Efficient Estimation of Models with Conditional Moment Restrictions”, in Handbook of Statistics, ed. by G. S. Maddala, C. R. Rao, and H. D. Vinod, pp. 419–454. Elsevier Science.
Newey, W. K. and McFadden, D. (1994): “Large sample estimation and hypothesis testing”, Handbook of Econometrics, Volume IV.
Pagan, A. and Ullah, A. (1999): Nonparametric Econometrics, Cambridge University Press.

Credits:
9.00
Click here to get more information or to sign up
Description:

This course is the Modul Ökonomische Theorie politischer Entscheidungen of the Master of Science in Public Economics and provides an introduction to the economic analysis of public …nances and public policy more generally. It considers how economic approaches can help to analyse and evaluate political decision-making processes. It starts with a brief introduction to social choice theory, covering Arrow's impossibility theorem and the Gibbard Satterthwaite theorem. The second part of the course is devoted to the tools of modern political economics. The third and longest part is devoted to applications. The course follows the textbook by Persson and Tabellini (2000), with additions from the recent literature.

Literature:
Acemoglu D 2005. Constitutions, Politics, and Economics: A Review Essay on Persson and Tabellinis The Economic Effects of Constitutions. Journal of Economic Literature, Volume 43, Number 4, pp. 1025-1048(24)
Acemoglu D, Robinson JA. 2005. Economic Origins of Dictatorship and Democracy. Cambridge University Press.
Barbera S 2010. Strategy-Proof Social Choice. Mimeo.
Barbera S, Jackson M.O. 2006. On the Weights of Nations: Assigning Vot- ing Weights in a Heterogeneous Union. Journal of Political Economy, vol. 114, no. 2.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

Covers positive accounting theory and capital market-based accounting research. Topics in the area of positive accounting research cover issues like accounting choice, disclosure quality, earnings management as well as governance-related accounting questions. Capital market-based accounting research focues on topics like the pricing impact of financial accounting disclosure on capital markets, the connection between accounting and the cost of capital or the interplay of financial accounting and corporatefinance decisions. Literature: None. For a reading list of current papers, refer to the full syllabus.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course in labor economics is appropriate for Master and Ph.D. students in Economics and other students with preparation in microeconomic theory and econometrics. The course teaches core topics in the field of labor economics as well as empirical methods for applied microeconomic analysis.

Literature:
Wooldridge, Jeffrey, 2002, Econometric Analysis of Cross Section and Panel Data, MIT Press, Cambridge, Massachusetts.
Stock, James, and Mark Watson, 2003, Introduction to Econometrics, Addison-Wesley.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course aims at equipping students with the skill-set to design and conduct empirical studies based on observational (archival) data in the fields of accounting and finance. After successful completion of the course students should

• understand the fundamentals and common pitfalls of quasi-experimental research design,
• be familiar with matching mechanisms, instrumental variable and panel data approaches which help with causal inference,
• be aware of limitations of these research designs,
• and, using the statistical software packages STATA and/or SAS, have gathered experiences in designing and conducting large-scale research projects.

Course format
The course consists of a combination of lectures, practical exercises, and student presentations of homework assignments. Lectures will be based on the relevant literature and on seminal as well as recent journal articles. Participants are responsible for reading the assigned materials before class and to hand in the homework assignments on time. The homework assignments will be group-based.

Literature:
Angrist, Joshua D. and Jörn-Steffen Pischke (2009): Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press.
Morgan. Stephen L. and Christopher Winship (2007): Counterfactuals and Causal Inference: Methods and Principles for Social Research, Cambridge University Press.
Wooldridge, Jeffrey M. (2010): Econometric Analysis of Cross Section and Panel Data, The MIT Press.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The aim of the course is to teach students how to interpret empirical research in public economics and to apply modern econometric methods commonly used in the field. Topics covered include: Effects of taxes and government transfers on labor supply and savings behavior of households; taxable income literature; welfare analysis of tax reforms; incentive and welfare effects of social insurance programs. Empirical approaches covered in the course include both structural and non-structural estimation methodologies, such as “natural experiments”, treatment effects estimation, ex-ante policy evaluation and microsimulation.

Literature: Journal articles

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This seminar is a research-oriented introduction to experimental economics. The topics of the seminar change every year, and are for example based on recent contributions to market design or contract theory. In the first part of the course, a number of lectures will provide an introduction to the topic with a focus on theory. In a (shorter) second part, the participants will learn how conduct an experiment, e.g. how to recruit participants, how to pay them for their participation, how to run the experiment itself (e.g. with computers or paper-and-pencil), how to analyze the data. The main focus in this part will be on how to design an experiment that addresses the research question in the most effective way. In the last part, participants develop an experimental design, and conduct the experiment at a small scale in order to analyze the data. Students present their findings both in a talk and in a paper.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

Market Design is a growing area of research, and it encompasses a number of different topics of which this seminar/ study project will only cover a subset of. The blog of Al Roth und Peter Coles at http://marketdesigner.blogspot.com/ gives you a good impression of the breadth and policy relevance of the topic.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The lecture deals with the statistical properties of financial market data and econometric methods that can be used to analyze these data. We will study procedures to test for the efficient market hypothesis and become familiar with methods to model the mean and the volatility of financial data series. Besides the application of nonparametric and classical test procedures, the focus will be on time series methods and models. In particular, ARMA and GARCH models will be covered.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The course focuses on theoretical concepts, which are fundamental for corporate finance. Topics include: moral hazard, adverse selection, signaling, incomplete contracts and control rights, coordination failure – all with applications to theory of the firm, organizational design, and financial structure.

Literature:
Bolton and Dewatripont. Contract Theory. MIT Press, 2005,
Tirole. Theory of Corporate Finance. Princeton University Press, 2006,
and selected articles.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course is based on academic articles and covers major theories and empirical studies in corporate finance, including financing & investment decisions, risk management, behavioral theories, capital structure, corporate governance and the market for corporate control. In addition, we will examine the impact of financial market regulations on corporate decisions.

Credits:
6.00
Click here to get more information or to sign up
Description:

Introduction to asset pricing at an advanced level. Topics include: decision-theoretic foundations of asset pricing, consumption-based asset pricing, the fundamental theorem of finance, bounds on the pricing kernel, implications for return predicability, factor models, factor representation of pricing kernels, static and dynamic models of asset pricing under asymmetric information, capital constraints and limits of arbitrage.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course introduces students to the regulation of financial markets and the participants in these markets. It consists of four parts. The first two parts analyze the financial disclosure requirements of non-financial corporations and the impact of these requirements on corporate policies. The third part discusses the most relevant financial frictions that policy makers should consider when regulating financial institutions. Part IV reviews the economics of financial crises and discusses what regulatory mechanisms exist to prevent financial crises.

Part I: Financial Reporting and Disclosure (Prof. Gassen)

Part II: Recent Changes in Financial Markets Regulations (Prof. Adam)

Part III: Financial Frictions and Macroeconomics (Prof. Weinke)

Part IV: Macroprudential Regulation of Financial Markets (Prof. Heinemann)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course familiarizes students with classic questions and models in industrial organization. We first cover basic models of static as well as dynamic competition with applications to competitive strategy, mergers, collusion, managerial incentives, and trade policy. The course then analyzes in depth competitive strategies of vertical relations and control (B to B contracting) and introduces the extensive literature on two-sided markets. We also briefly discuss research on pricing when consumers violate classic assumptions on consumer behavior, e.g. erroneously analyze prices or contract offers.

Course prerequisites: Students must have completed the first-year microeconomics sequence in the BDPEMS.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

Search and matching frictions as a fundamental defining attribute of labor markets. Introduction to search theory. Jovanovic’s model. Models of wage-posting. Roy model of spatial mobility. Incorporation of search-matching frameworks in general equilibrium models: Diamond, Mortensen/Pissarides, and other macro models. Welfare analysis.

 

The following topics will be covered in the course:

  • The drawbacks of Marshallian analysis of the labor market
  • Nonsequential and sequential models of search: Stigler v. McCall
  • Search models: A dynamic programming perspective
  • Continuous time formulations
  • Search on the job, directed search
  • The Jovanovic model
  • Equilibrium models of unemployment and search: Diamond/Mortensen/Pissarides
  • Models of wage posting and monopsony (Burdett/Mortensen)
  • Macro models with search frictions in the labor market (Merz, Andolfatto, Shimer)
  • Insights from search and matching models for economics of labor market institutions

 

Literature of Labor Markets with Search and Matching Frictions:

  • Andolfatto, David. 1996. “Business Cycles and Labor-Market Search.” American Economic Review, 86(1): 112–32.
  • Boeri, Tito and Jan van Ours (2009) Imperfect Labor Markets Princeton: Princeton University Press.
  • Burdett, Keith, and Mortensen, Dale T., (1998) “Wage Differentials, Employer Size, and Unemployment.” International Economic Review 39: 257-273.
  • Cahuc Pierre and André Sylberberg (2004) Labor Economics Cambridge, USA: MIT Press.
  • Diamond, Peter A. (1982) “Aggregate Demand Management in Search Equilibrium.” Journal of Political Economy, 90(5): 881–94.April 12 2010 3.
  • Franz, Wolfgang (2006) Arbeitsmarktökonomik Berlin: Springer.
  • Jovanovic, Boyan (1979a). “Job Matching and the Theory of Turnover.” Journal of Political Economy, 87(5): 972–90.
  • Jovanovic, Boyan (1979b) “Firm-Specific Capital and Turnover.” Journal of Political Economy, 87(6): 1246–60.
  • Lyungqvist Lars and Thomas Sargent (2004) Recursive Macroeconomic Theory Cambridge, USA: MIT Press.
  • Manning, Alan (2003) Monopsony in Motion Princeton: Princeton University Press.
  • Merz, Monika. 1995. “Search in the Labor Market and the Real Business Cycle.” Journal of Monetary Economics, 36(2): 269–300.
  • Mortensen, Dale T., and Christopher A. Pissarides.1994. “Job Creation and Job Destruction in the Theory of Unemployment.” Review of Economic Studies, 61(3): 397–415.
  • Mortensen, Dale T., and Christopher A. Pissarides.1999a. “New Developments in Models of Search in the Labor Market,” in Handbook of Labor Economics. O. Ashenfelter and D. Card, eds. Amsterdam: North Holland, 2567–2627.
  • Pissarides, Christopher (2000) Equilibrium Unemployment Theory Cambridge MA MIT Press.
  • Rogerson Richard, Robert Shimer and Randall Wright (2005) “Search-theoretic Models of the Labor Market: A Survey” Journal of Economic Literature 43: 959-588.
  • Sargent, Thomas (1987) Dynamic Macroeconomic Theory Harvard: Harvard University Press Chapter 2.
  • Shimer Robert, (2009) Labor Markets and Business Cycles, Manuscript, University of Chicago.
  • Stigler, George. 1961. “The Economics of Information.” Journal of Political Economy, 69(3):213–25.
  • Shimer, Robert (2005) “The Cyclical Behavior of Equilibrium Unemployment and Vacancies.” American Economic Review, 95(1): 25–49.
  • Zenou, Z. (2008) „Job Search and Mobility in Developing Countries: Theory and Policy Implications” Journal of Development Economics 86: 336-355.
Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

Methods of modern macroeconomics for researchers in the field: Stationary Markov environments, state-space methods, stochastic difference equations, dynamic programming and Lagrangian methods, complete markets, dynamic stochastic general equilibrium models, solution techniques, empirical consequences of macroeconomic shocks; structural estimation, the Ramsey problem, dynamic stochastic general equilibrium (DSGE) models. To this end a number of theoretical and empirical concepts are presented. Examples include the computation of impulse response functions, structural vector autoregressions, as well as an introduction to structural estimation. On the normative side the concept of Ramsey optimal policy is presented.

Literature:
Ljungqvist and Sargent, Recursive Macroeconomics, 2nd edition (Cambridge, USA: 2004)
Selected journal articles, e.g., Galí, Jordi and Pau Rabanal (2004), Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?, in: NBER Macroeconomics Annual.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

1. Money and Inflation - The Cagan Model of Money and Prices
2. Money in the Overlapping-Generations Model
3. Modelling Money in the Utility Function (Brock/Sidrauski Model, Cash-in advance model, shopping-time model)
4. Monopolistic Competition and Price Rigidities
5. The New Neoclassical Synthesis and Monetary Policy
6. Commitment and Discretion in Monetary Policy
7. Stabilizing Demand and Supply Shocks
8. Current Developments and Open Issues

Literature:
Blanchard, Olivier J.; Stanley Fischer, Lectures on Macroeconomic, MIT Press, 1989.
Walsh: Monetary Theory and Policy, MIT-Press, 2003.
Woodford: Interest and Prices: Foundations of a Theory of Monetary Policy, Princeton University Press, 2003.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The theories and methods of social network analysis have increasingly been harnessed to better understand a diverse array of topics, such as the spread of obesity, the diffusion of innovations, mobility in labor markets, risk-taking behavior in tournaments, and affiliation-based market signaling. This course offers an introduction to the theoretical perspectives and quantitative methods of the network-analytic tradition. A number of key concepts will be introduced, together with opportunities to apply corresponding methods and approaches to measurement using data made available in class. The literature on networks is approached with two goals in mind: (1) understanding the foundations of social network theory and (2) applying methods.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The course Management Science II is divided into two consecutive modules: The first module encompasses intellectual property rights and the market for technology while the second module covers marketing models. Time I and Venue I above refer to the first module, Time II and Venue II to the second module.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

This is a methodological course on statistics with a focus on research techniques used in management science. The pre-requisites are a basic level of statistics and probability theory, including distributions, sampling and inference. The topics covered in this course include linear and nonlinear modeling, time-to-event analysis and factor analysis. Applications will focus on areas such as pricing and revenue management. The course will also include empirical work, underlining the link between theory and applications and using statistical software packages such as SPSS, Matlab and SAS. The techniques developed in this course are fundamental research tools in modern management science, and they enable the students to engage in research at the interface of fields such as operations, marketing, finance, and strategy.

Literature:
Details will be provided soon.

Credits:
4.50
Click here to get more information or to sign up
Instructor:
Description:

This course on mathematics aims at refreshing basic mathematical knowledge essential for economic analysis. The course solely deals with deterministic mathematics. For some theorems formally rigorous proofs are presented in order to make participants more comfortable with - and ideally to provide some intuition for - constructing and understanding of mathematical proofs. Throughout the course proper use of notation will be stressed. It covers: sets, relations, preferences; vector spaces and linear algebra; topology and convex optimization; differential calculus.

Literature:
Schofeld, Norman. Mathematical Methods in Economics and Social Choice, Springer
de la Fuente, Angel. Mathematical Methods and Models for Economists, Cambridge University Press

Credits:
0.00
Click here to get more information or to sign up
Instructor:
Description:

The aim of microeconometrics is to analyze individual behavior on the basis of micro data (crosssection and panel data) of individuals, households, and firms. The standard linear regression model is generally not applicable to micro data due to the non-metric measurement and censoring of dependent variables at the individual level, selectivity and incomplete observability of endogenous variables, and the dependence of individual observations over time. The empirical methods most frequently applied in empirical microeconomics are surveyed and several applications in empirical microeconomics are presented. Students learn how to apply these methods using real-world microdata and the software package STATA.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course is devoted to the economic theory of preferences and choice, consumer choice, demand, production, market equilibrium, decision making under uncertainty, and game theory. The intention of the course is to familiarize students with the advanced tools of modern microeconomic theory.

Literature:
Mas-Colell, Whinston, Green: Microeconomic Theory (1995).

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

This course is devoted to market failures and welfare economics. The first part focuses on the three classical conditions under which market outcomes lead to an inefficient allocation of resources: externalities, imperfect competition and asymmetric information. It addresses these questions both from a positive and normative perspective. The second part addresses fundamental issues of welfare economics from the perspective of a policy maker who designs and implements collective decisions. It focuses in particular on social choice theory, the foundations of bargaining and welfare economics, and mechanism design. The intention of the course is to familiarize students with the standard tools of modern economic theory and to train them in applying these tools to actual economic problems.

Literature:
Mas-Colell, Whinston, and Green (1995), Microeconomic Theory, Part III and Part V

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

Participating students are expected to be familiar with basic time series analysis and methods of econometrics. The course covers advanced methods of modelling and analysing multiple time series. Students are introduced to the models, parameter estimation and specification of the relevant models. They will learn to use them for economic analysis and forecasting. 

Contents:

  • Review of univariate time series analysis
  • Vector autoregressive (VAR) models
  • Specification and estimation of VAR models
  • Cointegration
  • Vector error correction models (VECMs)
  • Estimation of VECMs
  • Cointegration tests and specifications of VECMs
  • Structural vector autoregressive analysis

Literature: 
H. Lütkepohl, New Introduction to Multiple Time Series Analysis, Springer, Berlin, 2005.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The course Non- and Semiparametric Modelling gives an overview over the flexible regression methods. The course starts with an introduction into the density estimation (histogram, kernel density estimation). Nonparametric regression methods and their applications are discussed. Furthermore additive models will be introduced in the course. At the end of the course the students will be able to implement methods to solve practical problems.

Literature:
Härdle, Müller, Sperlich, Werwatz (2004): Non- and Semiparametric Modelling, Springer
Fan, J. and Gijbels, I. (1996): Local Polynomial Modelling and Its Applications, Chapman and Hall, New York
Härdle, W. (1990): Applied Nonparametric Regression, Econometric Society Monographs No. 19, Cambridge University Press
Härdle, W. (1991): Smoothing Techniques, With Implementations in S, Springer, New York
Härdle, Klinke, Müller (1999): XploRe - Academic Edition, The Interactive Statistical Computing Environment, Springer, New York
Scott, D. W. (1992): Multivariate Density Estimation: Theory, Practice, and Visualization, John Wiley & Sons, New York, Chichester
Silverman, B. W. (1986): Density Estimation for Statistics and Data Analysis, Vol. 26 of Monographs on Statistics and Applied Probability, Chapman and Hall, London
Wand, M. P. and Jones, M. C. (1995): Kernel Smoothing, Chapman and Hall, London
Yatchew, A., (2003): Semiparametric Regression for Applied Econometrician, Cambridge University Press, Cambridge

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course will cover a variety of numerical methods for solving dynamic stochastic general equilibrium models, including policy and value function iteration, log-linearization and Euler equation methods. In addition, students will learn how to choose parameters for models by calibration.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The course aims at providing the basic concepts and methods for analyzing panel data. It begins with introducing different static panel models with fixed and random effects, and discusses the problem of estimation in these models. The course covers tests of hypotheses with panel data as well as techniques for serial correlation, heteroscedasticity, simultaneous equations, dynamic models and models for qualitative dependent variables.

In the tutorials the methods are revisited and applied to empirical data using the software STATA. A deeper insight into advanced methods and additional topics is offered by means of assignments, empirical studies and/or literature reviews.

Literature:
- Baltagi, B.H., (2005), Econometric Analysis of Panel Data, 3rd ed., Wiley, New York.
- Hsiao, C., (2003), Analysis of Panel Data, 2nd ed., Cambridge University Press.
- Arellano, M. (2003), Panel Data Econometrics, Oxford: Oxford University Press.

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

The objective of the course is twofold. First, it familiarizes students with the most standard results and standard analyses of regulation in product markets. The course addresses, in particular, regulatory issues due to market power and concentrates on monopoly, merger regulation and anti-trust. Second, the course discusses regulatory issues that are directly related to the research themes of the doctoral program, in particular environmental regulation and regulation in vertical relationships.

Course Outline:
I. Antitrust and Merger Regulation (Bester)
II. Price and Monopoly Regulation (Strausz)
III. Regulation in Vertical Markets (Baake)
IV. Environmental Regulation (Schmidt)
 
Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

This course offers students the possibility to learn about ongoing research in behavioral and experimental economics through seminar presentations from external scholars. Students who want to take this course for credit need to write three referee reports per semester selected from the list of papers that are presented and hand these in three days before the seminar. In addition, they need to attend both semi-annual internal all-day workshops and present own original research in at least one of these workshops.

Prerequisite:
Students should have taken a PhD-level class in behavioral or experimental economics.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The course covers a part of mathematical statistics which deals with the limiting behavior of different sample statistics, U-statistics, M-, L- and R-Estimates. This course gives better understanding for the basic tools learned in the elementary Statistics I and II, like Law of Large Numbers, Central Limit Theorem, Kolmogorov-Smirnov and Cramer-von-Mises tests, sample mean and sample variance behavior, etc. This course is laying a bridge between the probability theory and the mathematical statistics by manipulating with "probability" theorems to obtain "statistical" theorems. In the first part of the course we discuss basic tools of asymptotic theory in statistics: convergence in distribution, in probability, almost surely, in mean. We also consider main probability limit laws: LLN and CLT. Then we deal with the usual statistics computed from a sample: the sample distribution function, the sample moments, the sample quantiles, the order statistics. Properties, such as asymptotic normality and almost sure convergence will be derived in the lecture. Afterwards, comes the asymptotics of statistics concocted as transformations of vector of more basic statistics. Next part concerns statistics arising in classical parametric inference and contingency table analysis. These include maximum-likelihood estimates, likelihood-ratio tests, etc. Last part of the course treats U-statistics, statistics obtained as solutions of equations (M-estimates), linear function of order statistics (L-estimates) and rank statistics (R-estimates).

Literature:
Sering R.J. (1980) Approximation Theorems of Mathematical Statistics / Wiley.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The course offers an overview of advanced statistical methods in quantitative finance and insurance which should be comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer who wants to get a grip on advanced statistical tools applied in these fields.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The course starts with an introduction into the basic concepts of option pricing and its probabilistic foundations. Next, stochastic processes in discrete time are presented and the Wiener process is introduced. Itô's Lemma is derived and the Black-Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via a binomial or trinomial tree constructions are discussed in detail.
Literature:

Franke, J., Härdle, W., and Hafner, C. (2011) Statistics of Financial Markets: an Introduction. 3rd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-16520-7 (599 p)
Härdle, W., Hautsch, N. and Overbeck, L. (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)
Hull (2005) Options, Futures, and Other Derivatives. 6th ed., Prentice Hall. ISBN 0-13-149908-4 (816 p)
Härdle, W., Simar, L. (2007) Applied Multivariate Statistical Analysis. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 3-540-72243-4 (456 p)
Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Description:

Please note: This course is held in German and it is organized by the Department of Mathematics, Humboldt-Universität zu Berlin.
Einführung in die zur Analyse zufälliger Erscheinungen entwickelten mathematischen Ideen und Methoden, Gesetze der großen Zahlen und zentrale Grenzwertsätze, Elemente der Mathematischen Statistik.

Literature:
Georgii, H.-O. (2007). Stochastik, De Gruyter Verlag
Klenke, A. (2008). Wahrscheinlichkeitstheorie, Springer
Elstrodt, J. (2007). Maß- und Integrationstheorie, Springer

Credits:
9.00
Click here to get more information or to sign up
Description:

The course reviews the main topics and models of the incentive theory. It focuses on the principal-agent paradigm where the principal delegates an action to a single agent through the take-it-or-leave-it offer of a contract. Major topics are represented by the problem of adverse selection, which occurs when the agent learns some piece of information relevant to the contractual relationship, and the problem of moral hazard, which appears as soon as the agent’s actions are not observable. First, the trade-offs that emerge in these contexts are characterized: the rent extraction-efficiency trade-off under adverse selection and the trade-offs between the extraction of limited liability rent and efficiency and also between insurance and efficiency under moral hazard. Then, extensions of the basic framework to more complex environments are discussed. Mixed models with adverse selection, moral hazard and nonverifiability of the state of the world are also treated. Principal-agent models with adverse selection and moral hazard are finally considered in a dynamic context.

Credits:
6.00
Click here to get more information or to sign up
Description:

The course reviews the main topics and models of the incentive theory. It focuses on the principal-agent paradigm where the principal delegates an action to a single agent through the take-it-or-leave-it offer of a contract. Major topics are represented by the problem of adverse selection, which occurs when the agent learns some piece of information relevant to the contractual relationship, and the problem of moral hazard, which appears as soon as the agent’s actions are not observable. First, the trade-offs that emerge in these contexts are characterized: the rent extraction-efficiency trade-off under adverse selection and the trade-offs between the extraction of limited liability rent and efficiency and also between insurance and efficiency under moral hazard. Then, extensions of the basic framework to more complex environments are discussed. Mixed models with adverse selection, moral hazard and nonverifiability of the state of the world are also treated.
Principal-agent models with adverse selection and moral hazard are finally considered in a dynamic context.

Literature:
Laffont/Martimore, "The Theory of Incentives: The Principal-Agent Model", 2001
Bolton/Dewatripont, "Contract Theory", 2005
Salanié, "The Economics of Contracts", 2005
Macho-Stadler, Perez-Castrillo, "An Introduction to the Economics of Information: Incentives and Contracts", 2001
Mas-Colell, Whinston, Green, "Microeconomic Theory", 1995

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

Estimating a causal effect or "treatment effect" from nonexperminatal data is the aim of much empirical research in economics. This course will cover the most important concepts and methods in this field from an applied perspective. The proposed schedule is (i) Rubin Model of Causality, (ii) Roy Model of Self-Selection, (iii) Causality and Regression Notation, (iv) Experiments, (v) Conditional Independence, (vi) Heckman Switching Regression, (vii) Instrumental Variables and Local Average Treatment Effect, (viii) Difference-in-Differences and Panel Methods, (ix) Regression Discontinuity Design.

The tutorials provide the opportunity to apply the methods covered in class to real data using the software STATA.

The course grade will be primarily based on the final exam. BDPEMS students also need to submit a referee report on a paper that attempts to estimate a causal effect by applying one of the methods presented in class. Many suitable papers can be found on the current and past seminar schedule at http://www.arbeitsmarktforschung.net/.

Literature: Mostly Harmless Econometrics by Angrist and Pischke

Credits:
6.00
Click here to get more information or to sign up
Subscribe to Courses