Macroeconometrics

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	Kleiber, C., Zeileis A. (2023), Applied Econometrics with R 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.
Teaching Methodologies and Assessment Criteria	Lectures and computer classes. The teaching-learning grading is composed of two moments of evaluation: Individual empirical work (50%) April 19 and individual empirical work (50%) until June 7
Language	Portuguese. Tutorial support is available in English.