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Econometrics

Econometrics

Code	16279
Year	1
Semester	S1
ECTS Credits	6
Workload	TP(30H)
Scientific area	Economics
Entry requirements	No Exigible
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
Syllabus	I. Linear Regression Model for Cross-Sectional Data: Specification, Estimation and Inference; Endogenous Explanatory Variables. II. Time Series Models: Multivariate Models; Unit Roots and Cointegration. III. Panel Data Models: Fixed Effects and Random Effects Models; Dynamic Models. IV. Estimation of Fractional Models. Estimation of models with truncated or censored dependent variable. V. Estimation using the instrumental variables method. VI. Estimation using the Generalised Method of Moments. VII. Estimation by non-parametric and parametric methods
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.
Language	Portuguese. Tutorial support is available in English.