Courses

Literature
C. Heij et al., Econometric Methods with Applications in Business and Economics, Oxford University Press (2004).

Econometrics (VU bachelor)

Lecturer
dr. Michael Massmann

Objective
The exploring of the methods and techniques of econometrics with emphasis on learning to use statistical methods, to gain insight on economical phenomena.

Outline
Econometrics focuses primarily on studying the linear regression-model. First we pay attention to the core techniques, before showing how these can be adapted to fit models that deviate from initially made presumptions. Other estimation methods than regression could be necessary in these situations, like maximum likelihood, generalised method of moments en semi-parametric methods. Models and related estimation methods are discussed for numerous kinds of data sets, e.g. cross-section, time-series, paneldata and discrete observations.

Literature
C. Heij, P.M.C. de Boer, P.H. Franses, T. Kloek and H.K. van Dijk, Econometric Methods with Applications in Business and Economics . Oxford: Oxford University Press, 2004.

Writing a thesis (VU bachelor)

1. Formal requirements to start a BSc thesis in econometrics
In order to be able to start the BSc thesis, students must have 120 ECTS and, for Econometrics, they need to have passed Econometrie deel I (period 1) and Econometrie deel II (period 4). We strongly recommend following Financiële Econometrie (period 5) and completing 2 of the 3 assignments of Financiële Econometrie (period 5) before starting with the BSc thesis.

2. Starting the BSc thesis econometrics

1. The student sends prof Siem Jan Koopman an email to inform him that (s)he want to write a BSc thesis in econometrics.
2. Supervisor: SJ Koopman then appoints a supervisor for the student wanting to write a BSc thesis in econometrics.
3. Subject of the thesis: The thesis should concentrate on 1 or 2 articles on a related topic, approved by the supervisor and SJ Koopman. The student should read the article(s) and convince the supervisor that it is all understood! The student achieves this aim by individual research, and proves his understanding in a report that could be finished after six weeks to two months full time work. The report does not need to be long but it should follow the standards of sections 3, 4 and 5 below.
4. Initial progress: All supervisors keep prof. SJ Koopman up-to-date on the progress of the various BSc theses that are under construction. The secretary of the department, Hedda Werkman maintains a list of BSc students in econometrics. Note that supervision of BSc theses in July and August cannot be guaranteed.

3. General guidelines for the BSc thesis in the study guide Econometrics and Operations Research
There are (general) guidelines for the BSc thesis (in Dutch) in the study guide for the BSc program. Note that the study guide of 2004-2005 or 2005-2006 applies to students starting their BSc thesis in 2008. http://www.feweb-vu.nl/dbfilestream.asp?id=2790, page 37 gives the rules. The thesis can be written in Dutch or in English. 4. General guidelines for scientific report writing
We refer the students to three documents: one on clear technical writing (Ehrenberg (1982)) one on style (ASA (1986) (American Statistical Association style guide) and one on replication and how to write a publishable article (King (2006)). We also use these references for the case study in the MSc Econometrics program. The documents by Ehrenberg (1982) and the ASA (1986) are short and clear. The article by King (2006) is very ambitious (being from Harvard University), but it contains a lot of useful advice about problems in replicating (empirical) results from scientific articles. The thesis advisor and co-examiner should decide how close (content-wise) the thesis should be to a publishable paper.

5. Specific guidelines for the BSc thesis Econometrics
The BSc thesis should report and explain the following.

1. The economic finance motivation of the article(s)
2. Results of an up-to-date literature study, to put the article(s) in perspective of the other related recent literature in econometrics or statistics. Sources: http://www.econlit.org (economics, finance and econometrics), http://isiknowledge.com and/or http://www.statindex.org.
3. All work (theoretical and/or empirical) must be reproduced. Theorems should be explained using the knowledge that students have, so they can explain proofs by referring to textbooks where the fundamentals are given. If a Monte Carlo is carried out in the article, at least a subset of the MC results must be reproduced. If empirical work needs to be reproduced, at least an attempt must be made to obtain the same dataset. This should be easy for many Journal of Applied Econometrics articles, see http://econ.queensu.ca/jae/. The empirical results need to be reproduced (at least a subset). When it is hard to obtain the original data, a similar data set may be tried. For the same sample period, macroeconomic and financial data are often easily obtained from FRED, see also http://www.feweb.vu.nl/econometriclinks/#data or http://www.ubvu.vu.nl.
4. The students should write a good report in 'article' style, see section 4 above. The length of the report should also be comparable to an article: minimum 20 and maximum 30 pages.

6. Finishing the thesis: Presentation and Marking
The final approved version of the thesis should be presented in an afternoon session where the supervisor, the co-examiner and all econometrics BSc students are present, organised at an appropriate moment. Marking is done by completing the official forms for marking a BSc thesis. We look at various achievements (thesis content, thesis style, fluency of written expression, students' initiative, students' creativity, students' independence etc.) and then take a weighted average of all aspects. This procedure must be transparent. The final mark is explained in person to the student.

7. Saving and publishing as a scientific report: Digital Submission to the University Library UBVU
In addition to the general guidelines of the study guide of section 4, the final (.pdf) version of the thesis should be submitted to the University Library. In this way all FEWEB theses will be published in the public domain and can be searched and found by the scientific community. See Handleiding digitaal inleveren scripties FEWEB (2007) on http://www.feweb.vu.nl. Latest URL: http://www.feweb.vu.nl/link.asp?itemnumber=11789.

References

• ASA (1986), American Statistical Association Style Guide, The American Statistician, 40, pp 80-87. Stable URL: http://www.jstor.org/stable/2683140
• Ehrenberg, A. S. C, (1982), Writing Technical Papers or Reports, The American Statistician, 36, 326-329. Stable URL: http://www.jstor.org/stable/2683079
• King, G. (2006), Publication, publication, PS: Political Science and Politics, 39, 119-125. Continuous updates via URL: http://gking.harvard.edu/papers/

Latest update: June 03, 2008. No rights can be obtained from these guidelines, formal requirements are laid out in the studiegids Econometrie en OR (BSc), see http://www.studiegids.vu.nl/ and in the regelingen/regulations site on http://www.feweb.vu.nl/link.asp?itemnumber=1219.

These guidelines can be downloaded as a document. Please click here.

Computational Econometrics (VU master)

Lecturer
Prof. dr. Siem Jan Koopman, dr. Aart de Vos and dr. Drew Creal

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Last change: 29/05/2008