Chairs of Statistics and Econometrics

Topics for Theses in Econometrics

Short description: The task is to investigate vulnerability to climate change and willingness to adapt to changes induced by climate change as determinants of economic growth. For the empirical analysis, students may use data provided by the Notre Dame Global Adaptation Initiative (ND-GAIN).

Relevant literature:

Bachelor or Master Thesis

Contact: Philipp Struthmann (philipp.struthmann@uni-goettingen.de)

Short description: Besides its effect on the real economy, vulnerability to climate change may also have an impact on financial markets. The scope of this thesis is to examine the effect of climate change vulnerability on FDI flows and foreign bank participation using a large panel of countries.

Relevant literature:

Master Thesis

Contact: Philipp Struthmann (philipp.struthmann@uni-goettingen.de)

Short description: High-frequency changes in financial assets identified within a tight window around monetary policy announcements have been shown to carry relevant information for monetary policy shocks. While they are often treated as market-based shock measures and used as instruments for identification purposes, a growing body of literature raises concerns about the multi-dimensionality regarding the informational content of these instruments (e.g., surprises in the short-rate, forward guidance, large scale asset purchases and signaling effects). The objective of the theses is to uncover the structural factors embedded in policy announcements of the European Central Bank and the Federal Reserve and exploit their macroeconomic implications.

  • The student is expected to replicate the result in Jarocinski (2024, JME).
  • Keywords of methodology: Independent component analysis, Multivariate Student-t distribution

  • The student is expected to partially replicate the result in Altavilla et al. (2019, JME).
  • Keywords of methodology: Principle component analysis, Factor models

Relevant literature: Jarocinski and Karadi, (2020, AEJ:Macro), Altavilla, Brugnolini, Gürkaynak, Motto and Ragusa (2019, JME), Swanson (2021, JME), Jarocinski (2024, JME).

Contact: Shu Wang (shu.wang@uni-goettingen.de)

Short description: Abu-Qarn and Abu-Bader (2009) have shown how arms race dynamics in the Israeli-Arab conflict can be modeled by vector auto-regression (VAR). Your task would be to (1) replicate their results based on the SIPRI data set and then (2) extend the model by data-driven identification of the structural shocks using the svars package. Own proposals for the analysis of alternative conflicts are welcomed.

Relevant literature:

Bachelor or Master thesis

Short description: Your task would be to (1) model the interaction between "economic growth" and the index "quality of liberal democracies" using a bivariate VAR model and then (2) identify economic shocks using Cholesky decomposition or independent component analysis (ICA). According to the hypothesis to be tested, economic crises may have a negative impact on the quality of democracies, just as the mediterranean EU-countries after 2010 let presume. The index data has been very recently assembled by the V-Dem Project, which is a popular data base in political science.

Relevant literature:

Bachelor or Master thesis

Short description: High-frequency changes in financial assets identified within a tight window around monetary policy announcements have been shown to carry relevant information for monetary policy shocks. While they are often treated as market-based shock measures and used as instruments for identification purposes, a growing body of literature raises concerns about the multi-dimensionality regarding the informational content of these instruments (see e.g. Nakamura and Steinsson, 2018, QJE; Miranda-Agrippino and Ricco, 2021, AEJ:Macro; Jarocinski and Karadi, 2020, AEJ:Macro; Cieslak and Schrimpf, 2019, JIE). The objective of the thesis is to uncover the structural factors embedded in policy announcements of the European Central Bank and exploit their macroeconomic implications. The student is expected to partially replicate the result in Altavilla et al. (2019, JME).

Relevant literature:

Bachelor Thesis

In collaboration with the Institute of Familiy Medicine of the University Lübeck we offer master's theses on the analysis of routine data from outpatient medical care. For more information please see the list of Master theses on the analysis of routine data from outpatient medical care.

Contact: Helmut Herwartz (hherwartz@uni-goettingen.de)

Short description: There is a lack of consensus in the academic literature on how to identify the demand and supply curves in the the global market for crude oil. The slopes of these curves, i.e., price elasticities of oil demand and supply, are relevant not only for understanding global energy markets, but also for designing effective climate policies. As illustrated in Herwartz, Theilen and Wang (2024, EE), the efficacy of policies aimed at reducing CO2 emissions by decreasing oil demand hinges on the oil supply elasticity. If the supply is inelastic, this policy may prove ineffective in reducing GHG emissions globally. The object of the theses is to identify the structural determinants of the dynamics in the global oil market using recently developed Bayesian approaches and study their implications for energy security and climate protection.

  • The student is expected to replicate the main results of the study of Baumeister and Hamilton (2019, AER).
  • Keywords of methodology: Bayesian structural vector autoregressions, Historical decompositions

  • The student is expected to replicate the study of Braun (2023, QE) using the Dirichlet process mixture approach (see Escobar and West, 1995, JASA) to model non-Gaussian shocks.
  • Keywords of methodology: Bayesian structural vector autoregressions, Dirichlet process mixture

Relevant literature: Kilian (2009, AER), Kilian and Murphy (2014, JAE), Baumeister and Hamilton (2019, AER), Baumeister and Hamilton (2022, Econometric Theory), Braun (2023, QE)

Contact: Shu Wang (shu.wang@uni-goettingen.de)

Short description: While there exists a large body of evidence on the effect of financial development on growth volatility, most works do not cover the period of and after the financial crisis 2008-09. The aim of this thesis is to replicate existing research on determinants of growth volatility using up-to-date country-level data.

Relevant literature:

Bachelor or Master Thesis

Contact: Philipp Struthmann (philipp.struthmann@uni-goettingen.de)

Short description: Contrary to the idea that developed financial markets reduce income inequality, much of the existing cross-country evidence indicates that financial development may actually exacerbate inequality. This thesis aims to empirically investigate the relationship between financial development and income inequality using a comprehensive and up-to-date cross-country dataset, with a particular focus on exploring the potential non-linear dynamics of this relationship.

Relevant literature:

Bachelor or Master Thesis

Contact: Philipp Struthmann (philipp.struthmann@uni-goettingen.de)

Short description: The task is to investigate the response of inflation and output to monetary shocks conditional on the current design of the fiscal reaction function. For the empirical analysis, students are demanded to construct an empirical model that captures fiscal and monetary interactions.

Relevant literature:

Bachelor or Master Thesis

Contact: Lasse Trienens (lasse.trienens@uni-goettingen.de)

Short description: The financial crisis, the sovereign debt crisis, the recent pandemic, and perhaps the upcoming energy and food crisis have led to a renewed interest in the possible relationship between time-varying economic uncertainty, business cycle fluctuations, and monetary policy conduct. An important step to answer this question is to empirically quantify the uncertainty, which is an unobservable second-order statistic by its nature. The objective of the theses is to exploit a data-rich environment to construct a measure of uncertainty in the macro-economy.

  • The student is expected to replicate the study of Mumtaz and Theodoridis (2018, JBES).
  • Keywords of methodology: Vector autoregressions, Impulse response functions, Stochastic volatility, Non-linear state-space model

  • The student is expected to transfer the methodology of Mumtaz and Theodoridis (2018, JBES), using either the original or a reasonably modified version of their model specification, to construct a measure of macroeconomic uncertainty in the Euro Area.
  • Keywords of methodology: Vector autoregressions, Impulse response functions, Stochastic volatility, Non-linear state-space model

Relevant literature: Jurado, Ludvigson and Ng (2015, AER), Mumtaz and Theodoridis (2018, JBES; 2020, JME)

Contact: Shu Wang (shu.wang@uni-goettingen.de)

Short description: Reporting errors occur if the eye-catcher that depicts the level of statistical significance is inconsistent with the reported statistical values. These errors may affect the statement of an article. The scope of this thesis is to examine the articles of the top 50 economic journals with the highest share of reporting errors among their statistical tests manually and give a first indication about the severity of reporting errors. Conclusions if reporting errors occur more in a single variable or for a single model can be drawn. Data is already available and will be provided.

Relevant literature:

Bachelor or Master thesis

Short description: The usage of Bayesian methods in economics is on the rise. Using special keyword searches the aim is to detect trends in time. Additionally, these methods can be analysed for statistical accuracy in comparison to the statistical accuracy of frequentist approaches (e. g. reporting errors). Data is already available and will be provided.

Relevant literature:

Master thesis

Short description: Many journals require the authors to publish their data and code. In a first step, one has to develop a method for checking if the authors shared their data and code for real. To meet this end either regular expressions or web scraping might be useful. In a second step the implications for publication bias have to be analysed by drawing counterfactual p-distributions. Assuming that there is less p-hacking among authors who publish their data and code this allows to separate publication bias and p-hacking at least rudimentarily. Data is already available and will be provided.

Relevant literature:

Bachelor or Master thesis

Short description: Reporting errors occur if the eye-catcher that depicts the level of statistical significance is inconsistent with the reported statistical values. Their occurrence might indicate a lack of diligence. This thesis aims to check to what extent reporting errors occur e. g. because of transposed digits or in articles where the authors use only a few decimal places or just very few words in the table notes. Data is already available and will be provided.

Relevant literature:

Bachelor or Master thesis

Short description: Regular expression and other text-mining techniques allow us to examine trends in the research landscape in economics, e. g. the usage of pre-analysis plans or the increase of observations. To meet this end a newly developed tool called DORIS can be used and also be extended. Data is already available and will be provided.

Relevant literature:

Master thesis

Short description: There is increasing evidence that at least some of the published results in economics are subject to selective reporting. By using Caliper tests on the published t-values, indications of p-hacking can be unravelled. Additionally, these tests shall be embedded in a regression framework in order to analyse the effect of potential covariates. Lastly, a difference-in-difference design shall give hints about the impact of open data and code policies by the journals on selective reporting. Data is already available and will be provided.

Relevant literature:

Master thesis

Short description: In their seminal paper, Beaudry and Portier (2006, AER) tested the news-driven business cycle hypothesis (Pigou 1927, Keynes 1936) in a stylized two-dimensional SVAR model. After sequentially imposing two theory-driven exclusion restrictions on the short- and long-run relations of the model variables, they highlight the viability of the hypothesis positing that business cycles may arise from an exogenous shock to the expectations of future fundamentals, in particular, news about future technological development. In recent years, statistical identification scheme proves to be fruitful in testing theory-based restrictions, which are just-identifying in previous SVAR studies (see, e.g., Herwartz 2019, JAE). The objective of the theses is to test the news-driven business cycle hypothesis by imposing statistical independence among the structural shocks using the state-of-the-art techniques for independent component analysis (ICA).

  • The student is expected to replicate the study of Beaudry and Portier (2006, AER) by using the independence-based identification approach developed in Hafner, Herwartz and Wang (2023).
  • Keywords of methodology: Structural vector autoregressions, Independent component analysis, Kernel density estimation

  • The student is expected to replicate the study of Beaudry and Portier (2006, AER) by using the independence-based identification approach developed in Herwartz and Wang (2024).
  • Keywords of methodology: Structural vector autoregressions, Independent component analysis, Kernel density estimation

Relevant literature: Beaudry and Portier (2006, AER), Herwartz (2019, JAE), Forni, Gambetti, Lippi and Sala (2017, AEJ:Macro), Barsky and Sims (2011, JME)

Contact: Shu Wang (shu.wang@uni-goettingen.de)

Short description:The task is to carry out a two-step estimation using the "BEKKs" R package from Fülle et.al. (2022). First, a BEKK(1,1,1) model is to be estimated. The second step of the estimation uses the estimated residuals of the BEKK model and fits an orthogonalised copula distribution to them. The estimation should be carried out and interpreted for different copulas.

Relevant literature:

Master Thesis

Contact: Helmut Herwartz (hherwartz@uni-goettingen.de)

Short description:The task is to compare the Value-at-Risk (VaR) and Expected Shortfall (ES) for various BEKK(1,1,1) models by means of backtesting. Different portfolio compositions of Bitcoin, gold and S&P 500 are to be analysed. The "BEKKs" R package from Fülle et.al. (2022) is to be used for the estimation. The works of Christoffersen (1998) and Du and Escanciano (2017) will be used as the basis for backtesting.

Relevant literature:

Master Thesis

Contact: Helmut Herwartz (hherwartz@uni-goettingen.de)

Relevant literature:

Master Thesis

Contact: Helmut Herwartz (hherwartz@uni-goettingen.de)