| Código |
15653
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| Ano |
2
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| Semestre |
S1
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| Créditos ECTS |
6
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| Carga Horária |
TP(30H)
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| Área Científica |
Economia
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Learning outcomes |
At the end of the course unit, students should be able to:
• Carry out theoretical and empirical work, whether based on cross-sectional, time series or panel data.
• Apply the latest econometric techniques in the analysis of various economic problems.
• Design and develop strategies that allow the methods studied to be adapted to specific problems that are always encountered in practical applications, such as lack of data, noisy data, endogeneity problems, and spurious correlations.
• Use econometric software to estimate models.
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Syllabus |
1. Linear Regression Model: Cross-sectional Data: Specification, Estimation and Inference; Endogenous Explanatory Variables
2. Cross-sectional Data: Specification; Endogenous Explanatory Variables and Exogenous Explanatory Variables. Violation of Assumptions, Quality of Fit, Hypothesis Testing
3. Diagnosis of Normality, Multicollinearity and Heteroscedasticity.
4. Fixed Effects and Random Effects Models in Static Models; Hausman Test; Wald Tests, Heteroscedasticity, Autocorrelation.
5. Panel corrected standard errors (PCSE) estimation model Post-estimation tests
6. Models for Dynamic Panel Data: Fixed Effects and Random Effects Models: with bias correction.
7. Estimation of Dynamic Models: Inconsistency of Static estimators. Instrumental variable estimators.
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Teaching Methodologies and Assessment Criteria |
The teaching-learning assessment corresponds to the weighting of two assessment moments: written test (50%) + group work (50%).
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Main Bibliography |
Croissant, Y., & Millo, G. (2018). Panel Data Econometrics with R. Wiley.
Pesaran, M. H. (2015). Time Series and Panel Data Econometrics. OUP Catalogue.
Verbeek, M. (2017). A guide to modern econometrics. John Wiley & Sons.
Wooldridge, J.M. (2019), "Introductory Econometrics: A Modern Approach", 7th Ed., South Western Publishers.Franses
Artigos científicos selecionados.
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| Language |
Portuguese. Tutorial support is available in English.
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