Intermediate Econometrics

Recommended Prerequisites

Econometrics.

Teaching Methods

Theoretical-practical lectures will approach theoretical lectures in the moments of exposure of concepts, theories and models; and will take the form of practical lectures when carrying out exercises and applied economics research.

Learning Outcomes

At the end of this curricular unit, the student is expected to be able to:
- Choose and apply appropriate estimation methods against the model to be estimated.
- Apply appropriate diagnostic tests.
- Analyze and manipulate basic expressions with stochastic elements.
Skills to develop:
1. Specific
- Analyze the properties of statistical series and suggest suitable models.
- Present different estimation methods, discussing the advantages and disadvantages of each one in the face of the model to be estimated.
- Apply appropriate tests to the model under analysis.
- Use computer programs to estimate and analyze econometric models.
2. Generics
- Analyze data.
- Solve economic problems.
- Use computer programs.

Work Placement(s)

No

Syllabus

1. Principles of econometric analysis
2. Fundamentals of econometrics in empirical research
3. Using econometric programs
4. Data problems
5. Order of integration and testing for unit roots
6. ARIMA models and Box-Jenkins methodology
7. ARCH-GARCH models
8. VAR models
9. Cointegration and error correction models
10. Panel data models
11. Limited dependent variable models
12. Replication of empirical research
13. Ethical issues in applied research

Head Lecturer(s)

José Alberto Serra Ferreira Rodrigues Fuinhas

Assessment Methods

Assessment
Mini Tests: 50.0%
Exam: 50.0%

Bibliography

Asteriou, Dimitrios and Hall, Stephen G., Applied Econometrics, MacMillan, 4th edition., 2021.
Greene, William H., Econometric Analysis, Pearson Higher Education, 8th edition, 2018.
Wooldridge, Jeffrey M., Introductory Econometrics: A modern approach, Cengage Learning, 7th edition, 2020.