| Code |
16279
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| Year |
1
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| Semester |
S1
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| ECTS Credits |
6
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| Workload |
TP(30H)
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| Scientific area |
Economics
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Entry requirements |
No Exigible
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Learning outcomes |
- To develop the skills in, and knowledge of, econometrics necessary for theoretical and empirical work based on cross-sectional,
time-series or panel data.
- To learn how to conduct empirical studies in economics and financial, related fields using modern econometric techniques.
- Develop strategies to adapt the analysed methods to specific problems in empirical applications, such as missing data, data with
noise, endogeneity problems and spurious correlations
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Syllabus |
I. Linear Regression Model for Cross-Sectional Data: Specification, Estimation and Inference; Endogenous Explanatory Variables.
II. Time Series Models: Multivariate Models; Unit Roots and Cointegration.
III. Panel Data Models: Fixed Effects and Random Effects Models; Dynamic Models.
IV. Estimation of Fractional Models. Estimation of models with truncated or censored dependent variable.
V. Estimation using the instrumental variables method.
VI. Estimation using the Generalised Method of Moments.
VII. Estimation by non-parametric and parametric methods
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Main Bibliography |
Wooldridge, J.M. (2015), "Introductory Econometrics: A Modern Approach", 6th Ed., South Western Publishers.
Franses, P.H. and van Dijk, D. (2000). Non-Linear Time Series Models in Empirical Finance. Hamilton, J.D. (1994). Time Series
Analysis, PUP.
Kim, C-J and C.R. Nelson (1999), State-Space Models with Regime Switching, The MIT Pres
William H. Greene; Econometric Analysis, 7th ed., Pearson Education, Inc., 2012. ISBN: 0-13-139538-6
Verbeek, M. (2012), A Guide to Modern Econometrics, 4th Ed., Wiley.
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Teaching Methodologies and Assessment Criteria |
Students should attend classes every week to understand and to learn to use the main econometric tools for cross-sectional, time series and panel data, the theoretical arguments used to obtain the main results and to be familiar with the interpreting results for selected pratical examples.
Lessons are based on theoretical-practical classes, with a limited number of students (30). After theoretical and practical subjects are taught, students will solve practical problems that help them understand the contents and implement this knowledge in their work. When solving the exercises, priority is given to using real data with the support of appropriate econometric software.
Assessment consists of an individual written test (55%) and an individual practical assignment per student, weighted at 45% (20% in the intermediate presentation in the last lesson of November and 25% in the final report.
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Language |
Portuguese. Tutorial support is available in English.
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