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Macroeconometrics

Code 14177
Year 1
Semester S2
ECTS Credits 7,5
Workload OT(3H)/TP(30H)
Scientific area Economics
Entry requirements Not required.
Learning outcomes - To develop the skills in, and knowledge of, econometrics necessary for theoretical and empirical work based on time-series and forecasting techniques, including macroeconomic data ( consumer product, unemployment rate) can be seen monthly, quartel or annualy, and the financial data, such as stock or Exchange rate returns can be observed with a much higher frequency in some cases at intervals of minutes or second consecutuves observations.
- To learn how to conduct empirical studies in economics and financial to related fields using parametric and non-parametric econometric techniques.
-To learn the importance of forecasting economic magnitudes or variables
-To learn some of the more important techniques of forecasting economic and financial variables, either in the short, medium, long and very long terms

Syllabus 1.Stochastic Process: revisions
1.1. Conditional expected values:Key results.
1.2. Conditional distribution versus marginal distribution
1.3. Elementart Stochastic Process, Stationarity and poor divergence
2. Avergare Modeling linear approach
2.1. Preliminary definitios
2.2. Stationary linear process
2.3. Non stationary linear process
2.4. ARMA modeling
2.5. Impulse Dummy variables in regression models
3.Average Modeling Non Linear approach
3.1. Threshold AR-TAR model
3.2. Markov-Switching Model
4.Conditional Heteroscedasticity modeling: Univarite case
4.1. GARCH Model
4.2. IGARCH Model
4.3. CGARCH Model
4.4. GJR-GARCH Model
4.5. GARCH-M
5.Conditional Heteroscedasticity : Multivariate case
5.1. VECH (or VEC) Model
5.2. BEKK Model
5.3. Constant Conditional Correlations Mode
Main Bibliography Wooldridge, J.M. (2015, "Introductory Econometrics: A Modern Approach", 6th Ed., South Western Publishers.
Verbeek, M. (2012), A Guide to Modern Econometrics, 4th Ed., Wiley.
A. Reza Hoshmand (2009). Business Forecasting Methods A Practical Approach, 2nd ed, Routlege
•Brockwell, P. e Davis, R. A. (2002), Introduction to Time Series and Forecasting, 2nd ed., Springer
Language Portuguese. Tutorial support is available in English.
Last updated on: 2020-07-02

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