Intermediate Econometrics

Recommended Prerequisites

The students should be familiar with basic economic, statistical and econometric concepts, as well as with linear algebra, differentiation, integration and optimization. Ability to use computer software will be helpful.   

Teaching Methods

To acquire specific competencies: classes with both a lecture and a tutorial component; class discussion of computer-based exercises. To develop generic competencies: class discussion of computer-based exercises will be an essential element of every class.

Learning Outcomes

  By the end of this unit, the student is expected to be able to:

- selected and apply appropriate estimation methods;

- apply appropriate testing procedures;

- analyse and manipulated basic expressions with stochastic elements.

 

Competencies:

1) Specific:

- analyse the properties of statistical series and suggest adequate models;

- present different estimation methods and discuss their advantages and disadvantages given the model to be estimated;

- apply appropriate testing procedures;

- use software to estimate and analyse econometric models.

2) Generic:

- analyse data;

- solve problems;

- use computer software.  

Work Placement(s)

No

Syllabus

 1. The linear regression model

2. Panel data

3. Instrumental variables

4. GMM estimation

5. ML estimation

6. Discrete choice models.

7. Truncated and censored variables, duration and count data models

8. Time series and autocorrelation

9. ARMA models

10. VAR models

11. Non-stationary processes.   

Head Lecturer(s)

Pedro Miguel Avelino Bação

Assessment Methods

Assessment
Periodic or by final exam as given in the course information: 100.0%

Bibliography

BALTAGI, Badi H. — Econometric analysis of panel data. 5th ed.. Chichester : John Wiley & Sons, 2013.

GREENE, William H. — Econometric analysis. 7th ed.. Boston : Pearson, 2012.

HAMILTON, James D. - Time series analysis. Princeton : Princeton University Press, 1994.