| Code |
14177
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| Year |
1
|
| Semester |
S2
|
| ECTS Credits |
7,5
|
| Workload |
OT(3H)/TP(30H)
|
| Scientific area |
Economics
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|
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.
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|
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.
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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.
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Teaching Methodologies and Assessment Criteria |
Theoretical-practical classes with the support of appropriate econometric software.
The Teaching-Learning Classification corresponds to the weighting of the following assessment moments:
1st Assignment (20%) 31 March
2nd Assignment (40%) 2nd May
3rd assignment (40%) 6th June
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Language |
Portuguese. Tutorial support is available in English.
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