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Code 14177
Year 1
Semester S2
ECTS Credits 7,5
Workload OT(3H)/TP(30H)
Scientific area Economics
Entry requirements Knowladge of econometrics.
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 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.
Last updated on: 2023-06-05

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