Econometrics

Code	15653
Year	2
Semester	S1
ECTS Credits	6
Workload	TP(45H)
Scientific area	Economics
Entry requirements	Does not have.
Learning outcomes	Aims: - To develop the skills in, and knowledge of, econometrics necessary for theoretical and empirical work based on cross-sectional, time-series or panel data. - To learn how to conduct empirical studies in economics and financial related fields using modern econometric techniques. Competences: - Data analysis and manipulation. - Select and apply appropriate techniques to solve econometric problems. - Computing skills and knowledge of econometric software (EViews and Stata).
Syllabus	I. Linear Regression Models for Cross-sectional data: Specification, Estimation and Inference; Endogenous Regressors. II. Time Series Models: Univariate and Multivariate Models; Unit roots and Cointegration. III. Panel Data Models: Fixed and Random Effects Models; Dynamic Models. IV. Introduction to Nonlinear Regression Models: Estimation and Inference; Binary Choice Models Estimation models with dependent variable truncated or censored. V. Estimation by the method of instrumental variables. VI. Estimation of simultaneous equations VII. Estimation by Generalized Method of Moments.
Main Bibliography	Franses, P.H. and van Dijk, D. (2000). Non-Linear Time Series Models in Empirical Finance. Hamilton, J.D. (1994). Time Series Analysis, PUP. Kim, C-J and C.R. Nelson (1999), State-Space Models with Regime Switching, The MIT Pres William H. Greene; Econometric Analysis, 7th ed., Pearson Education, Inc., 2012. ISBN: 0-13-139538-6 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.
Language	Portuguese. Tutorial support is available in English.