Econometric Applications

Recommended Prerequisites

Statistics and Maths. 

Teaching Methods

The theoretical lectures are accompanied by practical examples relevant to the presented topic for a better understanding of the given material. The student’s participation is motivated by discussing the problems of empirical studies in order to confirm economic theory. Practical exercises are solved to consolidate the basic concepts and empirical techniques with the use of statistical methods and econometric software packages. Students are encouraged to overtake an empirical study where they can apply econometric techniques and gain a complementary experience in economic researching. 

Learning Outcomes

Overall objectives

-Transmit the knowledge and practice necessary for the realization of applied studies

- Provide the skills that allow to understand the connection between theory and practice

- Provide the statistical and software tools for the realization of econometric applications

- Gain the ability of interpreting the empirical results in conformity with the existing economic theory

Generic competencies

The students attending this course must be able to:

- build an econometric model consistent with the economic theory

- gain the ability of estimating the econometric model with the use of real data

- interpret correctly the obtained results from the estimated model

- suggest economic policies derived from the estimated model

- learn how and where to search for statistical data, analyse them and apply data transformations

- become familiar with the use of econometric packages in order to run regressions and interpret the obtained results. 

Work Placement(s)

No

Syllabus

1. MULIPLE REGRESSION MODELS

Estimation methods of the econometric models

Statistical inferences and diagnostics tests

Violation of the classical assumptions

Correction of the violated assumptions

2. DYNAMIC MODELS

Stationarity and cointegration

The Error Correction Model and methods of estimation

The partial adjustment model

3. ENDOGENOUS REGRESSORS

     Testing the endogeneity of regressors

      Instrumental variables estimation technique

      Two stages least squares

     Testing over identification and the quality of instruments

4. PANEL DATA MODELS

Fixed and Random effects models

      Panel diagnostic tests for model selection

      Estimation methods of panel models

 5. SIMULTANEOUS EQUATION SYSTEMS

Examples of Simultaneous Equations Systems

System Identification rules

      Limited information System estimation methods (Indirect Least Square and 2sls)

Full Information System Estimation (3SLSQ and SUR). 

Head Lecturer(s)

Pedro André Ribeiro Madeira Cerqueira

Assessment Methods

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

Bibliography

ASHLEY, Richard A. - Fundamentals of applied econometrics. Hoboken : John Wiley & Sons, 2012. [BP 519.8 ASH]

GUJARATI, Damodar N. - Basic econometrics. 4th ed.. Boston : McGraw-Hill, 2003. [BP 519.8 GUJ]

PINDYCK, Robert S. ; RUBINFELD, Daniel L. - Econometric models and economic forecast, 4th ed.. Boston : Irwin/McGraw-Hill, 1998. [BP 519.8 PIN]

STOCK, James H. ; WATSON, Mark W. - Introduction to econometrics. 2nd ed.. Boston : Pearson-Addison Wesley, 2007. [BP 519.8 STO]

WOOLDRIDGE, Jeffrey M. - Introductory econometrics : a modern approach. 5th ed.. Mason: South-Western/Cengage Learning, 2013. [Ed. de 2009: BP 519.8 WOO]