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Macroeconometria

Código 14177
Ano 1
Semestre S2
Créditos ECTS 7,5
Carga Horária OT(3H)/TP(30H)
Área Científica Economia
Learning outcomes Preparing students to handle econometric techniques related to empiric macroeconomics, specially time series analysis, and apply them at research work.
Developing students’ ability to use econometric software and working with real data.
Syllabus 1. Univariate Time Series Models.
2. Multivariate Time Series Models.
3. ARCH and GARCH Models.
4. Multi-Factor Models.
5. Models for Long Memory Stochastic Processes.
6. Simulation Methods.
7. Empirical Examples.
Teaching Methodologies and Assessment Criteria Lectures and computer classes.
The teaching-learning grading is composed of two moments of evaluation: Individual empirical work (50%) April 19 and individual empirical work (50%) until June 7
Main Bibliography Kleiber, C., Zeileis A. (2023), Applied Econometrics with R
Canova, F. (2007), “Methods for Applied Macro Research”, Princeton University Press.
Enders, W. (2014), “Applied Econometric Time Series, 4.ª ed., Wiley.
Favero, C. (2001), “Applied Macroeconometrics”, Oxford University Press.
Tsay, R.S. (2010), “Analysis of Financial Time Series”, 3.ª ed., Wiley.
Language Portuguese. Tutorial support is available in English.
Imagem d@ Tiago Afonso [Ficheiro Local]
Tiago Afonso

Curso

Economia
Data da última atualização: 2026-03-12
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