MSc Econometrics. VU Amsterdam School of Business and Economics. Academic year

Transcription

1 MSc Econometrics VU Amsterdam School of Business and Economics Academic year

2 MSc SBE VU Amsterdam prof. dr. Siem Jan Koopman (s.j.koopman@vu.nl) 2 of 27

3 MSc SBE VU Amsterdam 3 of 27

4 MSc Econometrics MSc Econometrics: A study into econometric and statistical methods for modelling, analysing and predicting economic, financial and marketing data, nowadays often Big Data. Theoretical Methodological Practical Preparing for professional career (or perhaps research, PhD) 4 of 27

5 MSc Econometrics MSc Econometrics: At SBE VU Amsterdam, we want to offer you an ambitious but still enjoyable one-year MSc programme. High-quality teaching from international staff Small-scale, we aim at students Excellent support Mix of lectures, tutorials, computer classes, case studies Mix of individual work; assignments and cases in groups 5 of 27

6 Core of our Master Econometrics Bootcamp Computer Programming (last week of August) Three core courses - Advanced Econometrics: general estimation theory, methodology, asymptotic properties, parametric and nonparametric. - Multivariate Econometrics: simultaneous modelling of economic data, cointegration, panel data, factor models, dynamic extensions. - Time Series Models: modelling, analysis and prediction of time series using state space models and Kalman filter. Case Study or Econometric Research Three choices of selected courses from Master programs in Mathematics, Computer Science, Finance, Marketing, Economics/Streem (maximum of two courses in each program). Thesis 6 of 27

7 Core in Master Econometrics Master Econometrics: Open Specialisation Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Models 7 of 27

8 Econometrics Track : Specializations Econometric Theory - Bootcamp: computer programming (last week of August, optional). - Econometric core: the three core econometric courses. - Econometric Essays: reading and discussing key articles in econometric theory. - Two specialisation courses (2 / 4): (1) Asymptotic Statistics, (2) Measure Theoretical Probability, (3,4) Stochastic Processes 1,2. - One optional course: from Master program in Mathematics or Computer Science. - Thesis: on a subject in econometric theory. 8 of 27

9 Master Econometrics Master Econometrics: Open Specialisation Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Models 9 of 27

10 Econometric Theory Master Econometrics: Econometric Theory Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Econometric Time Series Thesis Thesis Econometrics Econometrics Research Models Theory Stochastic Stochastic 2 or 3 Processes 1 Processes 2 Asymptotic Statistics Measure Theoretic Probability 10 of 27

11 Econometric Theory Optional courses: You need to choose one course from A Specialization course Evolutionary Computing Large Scale Data Engineering Web Data Processing Systems Functional Analysis Dynamical Systems Time Series Stochastic Integration Computational Finance 11 of 27

12 Econometrics Track : Specializations Financial Econometrics - Bootcamp: computer programming (last week of August, optional). - Econometric core: the three core econometric courses. - Financial Econometrics Case Study: volatility modelling in financial markets. - Two specialization courses (2 / 4): (1) Asset Pricing, (2,3) Stochastic Processes for Finance 1,2, (4) Derivatives. - One optional course: from Master program in Finance. - Thesis: on a subject in financial econometrics. 12 of 27

13 Master Econometrics Master Econometrics: Open Specialisation Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Models 13 of 27

14 Financial Econometrics Master Econometrics: Financial Econometrics Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Financial Models Econometrics Finance Stochastic Stochastic Derivatives 2 or 3 Processes 1 Processes 2 Asset Pricing 14 of 27

15 Financial Econometrics Optional courses: You need to choose one course from A Specialization course Large Scale Data Engineering Web Data Processing Systems Financial Markets and Institutions Institutional Investments and ALM Quantitative Financial Risk Management Computational Finance 15 of 27

16 Econometrics Track : Specializations Marketing Data Science - Bootcamp: computer programming (last week of August, optional). - Econometric core: the three core econometric courses. - Marketing Data Science Case Study: data science methods for e-commerce. - Two specialization courses, 2 out of 4: (1) Marketing Strategy, (2) Large Scale Data Engineering, (3) Web Data Processing Systems, (4) Branding and Advertising. - One optional course: from Master program in Marketing or Computer Science. - Thesis: on a subject in marketing data science. 16 of 27

17 Master Econometrics Master Econometrics: Open Specialisation Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Models 17 of 27

18 Marketing Data Science Master Econometrics: Marketing Data Science Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Marketing Time Series Thesis Thesis Econometrics Econometrics Data Case Models Marketing Large Scale Data Web Data Data Sci Engineering Processing 2 or 3 Systems Marketing Strategy Branding and Advertising 18 of 27

19 Marketing Data Science Optional courses: You need to choose one course from A Specialization course Digital Marketing Geographic Information Systems (GIS) Regional and Urban Economics Transport Economics Big Data Analytics in GIS 19 of 27

20 Econometrics Track : Specializations Quantitative Economics - Bootcamp: computer programming (last week of August, optional). - Econometric core: the three core econometric courses. - Research Project Economics: engage in economic research. - Two specialization courses: (1) Advanced Microeconomics, (2) Advanced Macroeconomics. - One optional course: from Master program in Economics/Streem. - Thesis: on a subject in quantitative economics. 20 of 27

21 Master Econometrics Master Econometrics: Open Specialisation Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Case Time Series Thesis Thesis Econometrics Econometrics Models 21 of 27

22 Quantitative Economics Master Econometrics: Quantitative Economics Period 1 Period 2 Period 3 Period 4 Period 5 Period 6 CORE Advanced Multivariate Research Time Series Thesis Thesis Econometrics Econometrics Project Models Economics Econ Advanced Advanced 2 Microeconomics Macroeconomics 22 of 27

23 Quantitative Economics Optional courses: You need to choose one course from A Specialization course Geographic Information Systems (GIS) Financial Markets and Institutions Transport Economics Economics of Climate Change Globalization, Growth and Development Human Development Industrial Organization and Competition Policy Labour Economics 23 of 27

24 MSc SBE VU Amsterdam 24 of 27

25 Admission Requirement Bachelor study in Econometrics and Operations Research. Other Bachelor study from VU-SBE and outside but with - Minor Applied Econometrics: average score of 7 or higher. - One course from VU SBE Bachelor Econometrics: course from our third year program. Deficiency program: a selection of five courses from VU SBE Bachelor Econometrics. 25 of 27

26 Thank you Any Questions? 26 of 27

27 MSc SBE VU Amsterdam 27 of 27