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Module (6 Credits)

Bayesian Econometrics

Name in diploma supplement
Bayesian Econometrics
Responsible
Admission criteria
See exam regulations.
Workload
180 hours of student workload, in detail:
  • Attendance: 60 hours
  • Preparation, follow up: 60 hours
  • Exam preparation: 60 hours
Duration
The module takes 1 semester(s).
Qualification Targets

Students

  • acquire comprehensive knowledge of the Bayesian statistical paradigm and associated tools
  • know how to apply these to address applied questions in economics and related disciplines
  • identify and clean relevant data to do so
  • are proficient in taking an analysis from an empirical question to a suitable econometric model
  • assess the strengths and limitations of their empirical results
  • can assess the mathematical and statistical properties of core methods and are able to formally establish these
  • independently program and apply statistical software and code to practically use the methods in practice
  • independently tackle a range of theoretical problem sets
Relevance

The practical relevance of the module is high in view of the key and increasing importance of empirical work in economics and elsewhere.

Module Exam

Examination for this module takes place through a written exam (typically 60-90 minutes), or an oral exam (typically 20-40 minutes), or an empirical project (70% of the final grade) combined with a presentation (typically 20 minutes, 30% of the final grade). The type of examination will be communicated at the start of the semester.

Usage in different degree programs
  • BWL EaFWahlpflichtbereich1st-3rd Sem, Elective
  • ECMXWahlpflichtbereichME7 Econometric Methods1st-3rd Sem, Elective
  • GOEMIKWahlpflichtbereich Bereich Volkswirtschaftslehre1st-3rd Sem, Elective
  • MuUWahlpflichtbereich IWahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen1st-2nd Sem, Elective
  • VWLWahlpflichtbereich I1st-3rd Sem, Elective
Elements
Name in diploma supplement
Bayesian Econometrics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
irregular
Participants at most
no limit
Preliminary knowledge

Knowledge of basic econometric concepts such as communicated in our bachelor and master courses “Einführung in die Ökonometrie" and “Methoden der Ökonometrie“ as well as good working knowledge of mathematical statistics.

Contents
  • Bayesian inference
  • Classical simulation methods
  • Markov chains
  • Markov chain Monte-Carlo methods
  • Gibbs-Sampler, Metropolis-Hastings algorithm
  • Applications, such as linear regression, Lasso, (multivariate) time series, latent variable models
Literature
  • Greenberg, E. (2013). Introduction to Bayesian econometrics (2. Aufl.). Cambridge: Cambridge University Press.
  • Hayashi, F. (2000). Econometrics. Princeton: Princeton Univ. Press.
Teaching concept

Classes are organized around traditional lectures. Students are however expected to contribute intensively through active discussion. Lectures are complemeted via, e.g., illustrations in R, joint interactive programming to better understand the statistical concepts as well as comprehensive problem sets to deepen students’ proficiency.

Participants
Lecture: Bayesian Econometrics (WIWI‑C1205)
Name in diploma supplement
Bayesian Econometrics
Organisational Unit
Lecturers
SPW
2
Language
English
Cycle
irregular
Participants at most
no limit
Preliminary knowledge

see lecture

Contents

see lecture

Literature

see lecture

Participants
Exercise: Bayesian Econometrics (WIWI‑C1208)
Module: Bayesian Econometrics (WIWI‑M0939)