Learning outcomes |
- 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. - Develop strategies to adapt the analysed methods to specific problems in empirical applications, such as missing data, data with noise, endogeneity problems and spurious correlations
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Main Bibliography |
Wooldridge, J.M. (2015), "Introductory Econometrics: A Modern Approach", 6th Ed., South Western Publishers. 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 Verbeek, M. (2012), A Guide to Modern Econometrics, 4th Ed., Wiley.
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