Empirical research with parametric and nonparametric statistical methods

The course teaches the theoretical and practical quantitative skills required to conduct statistical and econometric research with a particular focus on problems in a business, finance and economics context. Students are expected to have an understanding of basic descriptive statistics. Building on this, students learn about hypothesis testing, linear regression and time series analysis. Further topics, such as panel regression or special test methods can be incorporated if wished. A particular focus lies on the practical application using software. Students will find this course helpful to improve their quantitative skills or to seek assistance with empirical work during their thesis period.

While some mathematical details are needed, we emphasize the methods, their conceptual underpinnings and their application rather than their theoretical properties. Students will use the software gretl throughout the course.

• Introduction to gretl: Basic data handling and graphical methods

• A brief introduction to probability for econometrics

• Hypothesis testing: parametric tests (Gauss-, t-test, …)

• Hypothesis testing: nonparametric tests (Chi-Square-, Wilcoxon, Mann-Whitney-U-tests, …)

• An introduction to simple regression

• Multiple regression and regression with dummy variables

• The econometrics of the simple regression model

• Univariate time series analysis

• Panel regression

• Koop, G.: Introduction to Econometrics. Wiley, 2008.

• Koop, G.: Analysis of Financial Data. Wiley, 2006.

• Beatty, W.: Decision support using nonparametric statistics, Springer, 2018.

• Dougherty, Christopher: Introduction to Econometrics. 5th edition, Oxford Univeristy Press, 2016.

• Nevo. Making Sense of Data through Statistics: An Introduction. Legerity Digital Press, 2014.

Further literature that might be useful for the course:

• Jeffrey M. Wooldridge (2013/14), Introductory Econometrics, EMEA Edition, Cengage Learning
• Kleiber, C. & Zeileis, A.: Applied Econometrics with R. Springer, 2008.
• Angrist, J. D. & Pischke, J.-S.: Mostly harmless Econometrics. Princeton University Press, 2009.
• Verbeek, M.: A Guide to Modern Econometrics. 4th edition, Wiley, 2012.
• Larsen, R. J. & Marx, M. L.: An Introduction to Mathematical Statistics and its Applications. Pearson, 2012
• Anderson, Sweeney, Williams, Freeman, Shoesmith: Statistics for Business and Economics. Third edition, Cengage Learning, 2014
• Von Auer (2011), Ökonometrie
• Schira (2012), Statistische Methoden der VWL und BWL
• Jeffrey M. Wooldridge (2013), Introductory Econometrics, International Edition, 5th Edition, Cengage Learning
• James H. Stock, Mark W. Watson (2007), Introduction to Econometrics, 2nd Edition, Addison Wesley