Courses

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

Please note that this course can only be attended as BSE Core Course, if you have successfully applied for the Econometrics Beginner's Track (PhD Track in Economics). More information can be found in the BSE Handbook.

Literature:
Davidson, R. and MacKinnon, J.G. (2004): Econometric Theory and Methods, Oxford University Press.
Hayashi, F. (2000): Econometrics, Princeton University Press.

Exam:
Written exam (150 min)

The objective of this course is to teach M.A. and Ph.D. students to use macroeconomic concepts and techniques for their own research and incorporates a higher degree of formal analysis than in the introductory master's lecture (IAMA).

Part I (Prof. Burda): 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.

Part II (Prof. Weinke): Dynamic stochastic general equilibrium (DSGE) models for positive and normative macroeconomic analysis. To this end a number of theoretical and empirical concepts are presented: 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:
Reference list (Prof. Burda): Ljungqvist and Sargent, Recursive Macroeconomics, 4th edition (MIT Press, USA: 2018); selected journal articles available on moodle.
Reference list (Prof Weinke): Selected 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. Any further documents needed for the lecture will be available on moodle.

Exam:
Written exam (90 min)

This course is devoted to the core elements of microeconomics. We study both the economics of households and the economics of firms and introduce general equilibrium with particular attention to the two welfare theorems. We also examine decisions under uncertainty, introducing expected and non-expected utility theories. The analysis of choice under uncertainty leads to the examination of financial markets and to strategic interaction problems, which we introduce through the key notions in noncooperative game theory, in particular Nash equilibrium and its most important refinements. Also matching problems will be discussed.

Literature:
Mas-Colell, A., Whinston, M.D. and J.R. Green (1995), Microeconomic Theory, Oxford University Press

Time and venue:
Lectures: Mondays, 12:00-16:00, TU Berlin, Straße des 17. Juni 135, Main Building, room H 0106
Tutorials: Thursdays, 14:00-16:00, HU Berlin, Spandauer Str. 1, room 21a or Fridays, 16:00-18:00, HU Berlin, Spandauer Str. 1, room 21b

Exam:
4 written midterms and 1 written final exam