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VU Econometrics

The Department of Econometrics and OR is part of the Faculty of Economics and Business Administration of the Vrije Universiteit Amsterdam or, in English, VU University Amsterdam.

VU Econometrics group

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BSc Econometrics and OR

The bachelor program includes various mathematical and statistical courses such as Basic Mathematical Skills, Calculus, Linear Algebra and Introduction to Probability Calculation. The core of the program consists of courses related to Econometrics, Mathematical Economics and Operations Research. In addition, a number of economics subjects need to be studied including Macroeconomics, Microeconomics, Marketing, Accounting and Finance.
The Econometric courses for which our group is responsible are

The bachelor programme can be completed in three years and concludes with the writing of a thesis.

MSc Econometrics

The master program in Econometrics at VU University provides you with the opportunity to study Econometrics in depth. The program takes one year and is worth 60 credit points (ECTS). It focuses on econometric theory and methods with a focus on applications in economics and finance.

The thesis can be based on practical or theoretical work. The first option gives you the opportunity to analyse real-life problems in finance or economics. The second option allows you to focus on your topic of interest by studying the relevant literature and doing independent scientific work but with the support of the academic staff.

Writing a (Bachelor) thesis

1. Formal requirements to start a BSc thesis in Econometrics at VU
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 in Econometrics

  1. The student sends prof SJ 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. 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 look after the progress of the various BSc theses that are under construction. The secretary of the department maintains a list of BSc students in econometrics (make sure you are on it!). The supervision of BSc theses during the months of July and August cannot be guaranteed.

3. General guidelines for writing a 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, 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 writing a scientific report
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 focuses on studying one or more articles. Student should report and explain the following.

  1. The economic or 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 in article(s), 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


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.