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	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.