Macroeconometria

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Tiago Afonso
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.
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.
Esta informação promove os seguintes Objetivos de Desenvolvimento Sustentável da ONU:
Garantir o acesso à educação inclusiva, de qualidade e equitativa, e promover oportunidades de aprendizagem ao longo da vida para todos