This course provides a review and practical guide to a number of microeconometric models and estimators. We focus on panel and count data models and also examine a broad class of models of discrete choice behaviour. The course emphasise two estimators, the instrumental variable estimator, and...

Topics: - Volatility and forecasting I: Univariate GARCH, theory and applications - Volatility and forecasting II: Multivariate GARCH , theory and applications - Measuring contagion among stock markets. - Panel factor models in finance - The impact of macro-announcements on the term structure,...

The course concerns the theory and practice of econometric modelling and forecasting in a non-stationary and evolving world, when the model differs from the economic mechanism. The course has been designed for economic researchers in Central Banks and Ministries of Finance. [gemäß den...