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Selected Topics: Econometrics


This course is intended to teach students how to perform an empirical research project in a variety of fields from economics and finance. The course consists of six separate teaching units. In each, a particular topic is discussed in full details. The starting point is a theoretical model, which is re-examined and discussed in some details. Based on that an econometric model is derived and statistical problem are discussed. The necessary econometric tools will be treated in details and practical aspects will be adressed. Finally, based on a data set the model is estimated and interpreted.

The following topics will be treated:

1. The methodology of empirical econometric modelling

2. The capital Asset Pricing Model

3. The forward-looking Taylor-rule for monetary policy

4. Happyness regressions

5. Present value model and speculative bubbles in stock markets

6. Purchasing power parity