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Econometrics

Code 14163
Year 1
Semester S1
ECTS Credits 7,5
Workload OT(3H)/TP(30H)
Scientific area Economics
Entry requirements No exigible or required.
Learning outcomes Aims: - 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 related fields using modern econometric techniques. Competences: - Data analysis and manipulation. - Reason logically and work analytically. - Work with abstract concepts and in a context of generality. - Select and apply appropriate techniques to solve econometric problems. - Team work, written and oral communication. - Computing skills and knowledge of econometric software.
Syllabus I. Econometrics Introductory : Revisions II. Topics on Linear Regression: Estimation and Specification Analysis; Endogenous Regressors (Instrumental Variables; Generalized Method of Moments). III. Discrete and Limited Dependent Variable Models: Discrete Choice Models; Multinomial Models, Ordered choice Models; Count Data Models; Fractional Regression Models.. IV. Panel Data Models: Alternative Models; Specification Analysis. Nonstationarity Series; Unit roots; Cointegration V. Time Series Models: ARMA Processes; Nonstationarity Series; Unit roots; Cointegration; Vector Autoregressive Models; ARCH models
Main Bibliography Davidson, R., J.G. Mackinnon, (2003), Econometric Theory and Methods, Oxford University Press. Greene, W. (2018), Econometric Analysis, 8th Edition, Pearson. Verbeek, M. (2017), A Guide to Modern Econometrics, 5.ª ed., Wiley.
Language Portuguese. Tutorial support is available in English.
Last updated on: 2020-03-11

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