Courses

Thursday,
04:00pm to 07:00pm
at SPA1, R23
Description:

Advanced Experimental Economics introduces methods and models currently used in analyses of economic experiments. The focus will be on structural models used to estimate utility functions, depth of reasoning, and subject heterogeneity. The course covers the numerical and econometric methods required to conduct structural analyses and the current behavioral approaches to model utilities and beliefs. Methods and models are developed in relation to standard experimental games and code examples illustrate their application on actual data. The topics include the estimation of social preferences in non-strategic environments (such as dictator games), the estimation of beliefs in normal-form games of complete information (e.g. level-k and quantal response equilibrium), the estimation of preferences and beliefs in strategic games (such as ultimatum and public goods games), the estimation of beliefs and updating errors in games of incomplete information (such as auctions), and the estimation of strategies in repeated games.

For the first 10 weeks of the course, I cover the core material in lectures. Along the way, topics for term papers are assigned and the participants start working on their topics. The term papers will apply the discussed methods and models to analyze existing experimental data sets, e.g. by estimating preferences and beliefs. PhD students will write papers of about 15-20 pages length, Master students will write papers of about 8-10 pages length. In the concluding five weeks of the course, the participants present the results of their projects in the class.

- Literature:
M. J. Osborne and A. Rubinstein. A course in game theory, 1994. MIT Press.
C. F. Camerer. Behavioral game theory, 2003. Princeton University Press.
K. L. Judd. Numerical methods in economics, 1998. MIT Press.
K. Train. Discrete choice methods with simulation, 2009 (2nd edition). Cambridge University Press.
C. A. Holt. Markets, games and strategic behavior, 2006. Addison Wesley.

- Exam (written? If yes: One or two exam dates?): Term paper and presentation by the end of the course

Credits:
9.00
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Instructor:
Wednesday,
10:00am to 12:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Description:

This course provides a theoretical and empirical treatment of major topics in the area of corporate finance, including capital structure, investment decisions, corporate governance and corporate cash and payout policy. We will examine these issues from both neoclassical and behavioral perspectives.

Credits:
6.00
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Instructor:
Wednesday,
12:15pm to 01:45pm
at HU Berlin, Spandauer Str. 1, Room 22
Description:

Evaluating marketing decisions and developing goal-oriented marketing strategies, e.g. maximizing firm profits, depend on the measurement of causal relationships between firms’ objectives and marketing activities. In this course, we discuss in depth advanced methods to empirically determine the causal relationship between marketing activities and firms’ objectives. In exercise courses students learn how to apply these methods to real data. Special attention is given to modeling the effects of marketing on sales and market share data. In this course we also focus on discrete choice models for individual purchase data and aggregate sales data. Successful participation in this class will enable students to quantify the impact of marketing on key performance measures and to evaluate the success of marketing activities.

Literature: will be announced in class
Exam: written assignment

Credits:
6.00
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Thursday,
02:00pm to 03:30pm
at DIW Berlin, Schmoller R1.2.026
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Instructor:
Monday,
02:00pm to 04:00pm
at SPA1, R23
Description:

The Economic Risk Seminar is one of three regular research seminars hosted by the Sonderforschungsbereich 649. The SFB-649 facilitates an exchange between national and international scientists. The Economic Risk Seminar covers a wide spectrum of topics with some focus on the quantitative analysis of financial markets. During semester the seminar takes place regularly on Mondays between 2 and 4pm in room 23 at the School of Business and Economics of the Humboldt-Universität zu Berlin at Spandauer Straße 1. The talks are held in English or German.

Exam: Oral exam

Credits:
6.00
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Instructor:
Monday,
12:00pm to 04:00pm
at SPA1, R22
Description:

This course provides an overview on the economic analysis of labor markets. The emphasis is on applied microeconomics and empirical analysis. Topics to be covered include: labor supply and demand, human capital, education and training, changes in the wages structure and inequality, biased technological change and returns to skills, organizational change and skill demand, the closing gender gap. The introduction of topics will be on textbook level, but the focus will be on the discussion of empirical implementation strategies used in recent publications.

Acquaintance of intermediate microeconomics or labor economics and econometrics is highly recommended.

Literature:
R. Ehrenberg and R. Smith, 2003, Modern Labor Economics;
P. Cahuc and A. Zylberberg, 2004, Labor Economics;
+ selected journal articles

Exam: written exam

Credits:
6.00
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Instructor:
Tuesday,
02:30pm to 05:00pm
at Dep. Economics, Garystr. 21, Berlin-Dahlem
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. The course covers alternative empirical approaches and important topics in empirical public economics. Empirical approaches include both structural and non-structural estimation methodologies. Topics include: distributional analysis and the measurement of inequality; treatment effects estimation of government programs; structural estimation of labor supply models and the effects of personal income taxation; the empirical ex-ante evaluation of tax-benefit reforms. The course assumes some knowledge of applied microeconometrics.

Exam: one written final exam; one term paper, bonus points for paper presentation

Credits:
6.00
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Instructor:
Tuesday, 08:00am at SPA1, R22
Description:

Lectures/Exercises:
Tue, 8-10, SPA 1, 22
Tue, 14-16, SPA 1, 22

This course presents nonparametric and semiparametric regression techniques and modern microeconometric methods for treatment effects estimation. The treatment focuses on the potential outcome approach, and students learn various methods to account for selection based on observables (regression, matching, inverse probability weighting) and for selection based on unobservables (Heckman selection correction, difference-in-differences, panel regression, instrumental variable regression, regression discontinuity design). These methods are used for cross-section data and longitudinal data, both repeated cross-sections and panel data. Students will familiarize themselves with applying the methods to real empirical data using Stata.

Main References:

AP: Angrist, J. D. and J.-S. Pischke (2009): Mostly Harmless Econometrics – An Empiricist’s Companion, Princeton University Press.
CT: Cameron, A. C. and P. K. Trivedi (2005): Microeconometrics – Methods and Applications, Cambridge University Press.
GR: Greene, W. (2008): Econometric Analysis, 6th ed., International Edition, Prentice Hall.
HL: Härdle, W. and O. Linton (1994): "Applied Nonparametric Methods", in: Handbook of Econometrics, Vol. 4, R. F. Engle und O. F. McFadden, (eds.), Elsevier Science.
PU: Pagan, A. and A. Ullah (1999): Nonparametric Econometrics, Cambridge University Press.
WO: Wooldridge, J. M. (2010): Econometric Analysis of Cross Section and Panel Data. 2nd edition, Cambridge, MA: MIT Press (see also: http://mitpress.mit.edu/books/econometric-analysis-cross-section-and-pan... ).

Further references, particularly regarding the method of Quantile Regression and the application of the methods, will be given in the course.

Exam: written exam (90 min)

Credits:
6.00
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Description:

The WZB reading group takes places each Wednesday from 1pm-2.30 pm.

Exam: Two presentations and/or discussions
Location: to be announced

Please contact Philipp Albert (philipp.albert@wzb.eu), if you are interested in joining the reading group.

Credits:
3.00
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Instructor:
Monday,
04:00pm to 08:00pm
at HU Berlin, Spandauer Str. 1
Description:

The theory of financial contracts explains the features of financial arrangements, such as debt and equity, the allocation of control rights, etc. from fundamentals of the contracting problem. It provides the basis for the analysis of capital structure decisions, debt overhang, bankruptcy, etc. The focus is on fundamentals and analytic methods.

Exam: One exam at the end of the term.

Credits:
6.00
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Monday,
10:00am to 12:00pm
at SPA1, R21a
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:
R.J.Serfling, Approximation theorems of mathematical statistics, 1980, Wiley series in mathematics.

Exam: Oral exam

Credits:
3.00
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Instructor:
Wednesday,
10:00am to 12:00pm
at Mohrenstr. 39, WIAS (Erhard-Schmidt-Hörsaal)
Description:

The Mathematical Statistics Seminar is one of three regular research seminars hosted by the Sonderforschungsbereich 649 (SFB-649). The SFB-649 facilitates an exchange between national and international scientists. The Mathematical Statistics Seminar covers a wide spectrum of topics with some focus on quantitative analysis methods. During semester the seminar takes place regularly on Wednesdays between 10 am and 12pm in the Erhard- Schmidt-Hörsaal at Weierstraß-Institut für Angewandte Analysis und Stochastik (Mohrenstr. 39, 10117 Berlin). The presentations are held in English or German.

Exam: Oral exam

Credits:
6.00
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Friday, 10:00am at SPA1, R21a
Description:

Dear BDPEMS students,

I am organizing this semester's micro theory reading group with Roland Strausz.
In case you are not on last semester's mailing list and you are interested in information economics, feel free to join the reading group on the informed principal problem.

First (organizational) meeting
Friday, October 21, 10am (you will be able to attend Anja's talk at 11!)
room 21 a (at HU, Spandauer Str 1)

First paper discussion
Friday, November 4, 10am - 12ish
same room

Reading the abstracts of the "seminal papers" cited below should give you some impression of what to expect. I am very open to include applications as well (see, e.g., Benabou&Tirole's social norms paper).
You may use the following list as a guide to pick a paper to discuss:
https://sites.google.com/site/tmylovanov/informed-principal

Let me know when you are interested so I can put you on the list.

Best regards,
Vincent, vincent.meisner@tu-berlin.de

Credits:
3.00
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Instructor:
Tuesday, 10:00am at DIW Berlin, Mohrenstr.58, Friedensburg room
Description:

Schedule:
Die 10:00-11:30 Einzel (1) M. Fratzscher
Die 10:00-11:30 Einzel (2) M. Fratzscher
Mo 10:00-11:30 Einzel (3) M. Fratzscher
Do 10-13 Einzel (4) M. Fratzscher
Fr 10-13 Einzel (5) M. Fratzscher
Die 10-13 Einzel (6) M. Fratzscher

1) findet am 25.10.2016 statt
2) findet am 01.11.2016 statt
3) findet am 07.11.2016 statt
4) findet am 26.01.2017 statt
5) findet am 27.01.2017 statt
6) findet am 31.01.2017 statt

Discussion of seminar topics: 25.10., 01.11., 07.11.2016
Presentation and discussion of seminar papers: 26.01., 27.01., 31.01.2017

In this seminar, the participants shall prepare and present a seminar paper. The participants choose a topic that fits to the seminar title, which means that it shall deal with the European crisis. Recommendable are topics, which analyze economic policy decisions (especially the monetary policy of the ECB) as well as the functioning of the financial markets or the contagion effects of the crisis.

The paper can be empirical or theoretical and shall orientate towards the academic literature in this field. To allow an intensive dialogue among the students, the seminar is organized in block classes. Many topics are closely related to each other.

Restriction to participation: 25
Registration: 10.10.2016 - 15.10.2016 via e-mail to mfratzscher@diw.de
Audience: Master students, PhD (BDPEMS, GC)
Exam: Seminar paper (100%) + presentation and discussion

Credits:
6.00
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Instructor:
Wednesday,
08:00am to 10:00am
at Frauenhoferstrasse 33-36 - FH314
Description:

Content:

Basic principles of international taxation
Basis framework of capital tax competition
Tax harmonization, tax coordination and fiscal equalization
Tax competition and foreign firm ownership
Tax competition and fiscal equalization
Taxation of foreign profits of multinational firms
Profit shifting of multinational firms
Seperate Accounting versus Formula Apportionment in corporate taxation
Preferential tax regimes in international taxation
Commodity tax competition

Literature:
Haufler, A. (2001), Taxation in a Global Economy, Cambridge University Press.

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Wednesday, 08:00am at SPA1, R21b
Description:

Bayesian methods have become increasingly popular, especially in macroeconomics. The large dimensionality of macro-econometric models and the complexity of modern DSGE models often require the use of prior information and computational algorithms to conduct econometric inference. This course will give an introduction to Bayesian estimation both from a technical and practical point of view. The curriculum will cover basic notions of Bayesian inference and posterior simulators, with applications to regression and state space models. Empirical applications and more advanced topics will be treated in reading groups. Although the focus of the course is on macro-oriented models, micro-oriented student presentations are encouraged. This course is tailored towards advanced masters and graduate students in Economics or other related disciplines.

Please see the attached syllabus for more detailed information. Registration will take place in the first lecture.

Credits:
3.00
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Instructor:
Tuesday,
12:00pm to 02:00pm
at SPA1, R21b
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.

Literature:
− Cizek, Härdle, Weron (2011) "Statistical Tools for Finance and Insurance" 2nd ed., Springer Verlag.
− Franke, Härdle, Hafner (2011) "Statistics of Financial Markets", 3rd ed.,Springer Verlag.
− Härdle, Hautsch, Overbeck (2009) "Applied Quantitative Finance. 2nd extended ed.,Springer Verlag.
− Härdle, Simar (2012) "Applied Multivariate Statistical Analysis", 3rd ed., Springer Verlag.
− Gentle, Härdle, Mori (2012) "Handbook of Computational Statistics, Concepts and Methods", 2nd ed., Springer Verlag.
− Klugman, Panjer and Willmot (1998) "Loss Models: From Data to Decisions", Joh Wiley & Sons.

Exam: Oral exam

Credits:
3.00
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Instructor:
Monday,
04:00pm to 08:00pm
at SPA1, R23
Description:

Learn from Nobel price winners, such as Engle (ARCH Models, 2003), Scholes, Merton, (Derivative Valuation, 1997) or Modigliani (Financial Markets Analysis, 1985) to understand statistics of financial markets!

The class is addressed to students with excellent knowledge of multivariate statistics and students with good skills in statistical software. This course is a starting point for students interested in quantitative finance and students with ambitions to work in the derivative, investment and risk-control departments. Former students of this course work for example at Deutsche Bank, Sal. Oppenheim, Citigroup, European Central Bank, BAFin, KPMG, Nadler Company and many international universities.

Literature:
− Franke, J., Härdle, W., and Hafner, C. (2015) Statistics of Financial Markets: an Introduction. 4th ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-54538-2 (555 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. (2015) Applied Multivariate Statistical Analysis. 4th ed., Springer Verlag, Heidelberg. ISBN 978-3-662-45170-0 (580 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)

Exam: Oral exam

Credits:
6.00
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Friday, 02:00pm at Eugene-Oaul-Wigner-Gebäude - EW 201
Monday, 10:00am at Hauptgebäude TU - H 0106
Description:

The Economics of Climate Policy is an introductory course into the economics of climate change mitigation and adaptation policies. Essentially, the mitigation of climate change is a global public good, posing policy challenges both at the national level (within countries) as well as at the international level (between countries). In the course, concepts such as market failures, externalities, and Pigouvian taxes are developed and applied to climate change. Game theory will be introduced to understand the challenges in international climate negotiations. The history and status quo of international negotiations will be reviewed, as well as implementation policies such as the EU ETS and Germany’s Energiewende. Since these concepts can be applied to many public policy problems, the course is also an introduction into allocation theory, environmental economics, public finance and game theory.

Grading: Students will be graded based on weekly problem sets (homework assignments) and a mid-term exam; there is no final exam. Make sure you attend the course from the beginning on, as we start with assignments immediately. Ph.D. students will be asked to write a term paper in addition to the assignments.

Schedule: The lecture takes place Fridays 2-4 pm; the tutorial Modays 10 am-12pm.

Please see the attached syllabus for more detailed information on course details and the schedule.

Credits:
6.00
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