| Código |
16279
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| Ano |
1
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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 |
- 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: Cross-Sectional Data: Specification, Estimation and Inference; Endogenous Explanatory Variables
II Cross-Sectional Data: Specification; Endogenous Explanatory Variables and Exogenous Explanatory Variables. Violation of assumptions, Quality of adjustment, Hypothesis tests
iii. Diagnosis of normality, multicollinearity and heteroscedasticity.
iV. Fixed Effects and Random Effects in Static Models; Hausman Test; Wald Tests, Heteroscedasticity, Autocorrelation.
V. Panel corrected standard errors (PCSE) estimation model Post-estimation tests
VI. Dynamic Panel Data Models: Fixed Effects and Random Effects Models: with bias correction.
VII. Estimation of Dynamic Models: Inconsistency of Static estimators. Instrumental variable estimators:
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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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| Language |
Portuguese. Tutorial support is available in English.
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