Advanced Econometrics II
1
2021-2022
03672043
Economics
Portuguese
Face-to-face
SEMESTRIAL
7.5
Elective
3rd Cycle Studies
Recommended Prerequisites
Statistics, Econometrics, Intermediate Econometrics, Advanced Econometrics I
Teaching Methods
Theoretical lectures complemented with practical applications supported by econometric software.
Learning Outcomes
1. To master a set of theoretical results related to the models and estimation methods used in Econometrics, and be able to adapt those to the problem in hand.
2. To identify, interpret and discuss the main characteristics of Time Series Analysis.
3. To identify, interpret and discuss the main characteristics of Dynamic Panel Data modelling.
Work Placement(s)
NoSyllabus
1. Time Series
a. Stationary ARMA processes
b. Nonstationary stochatic processes
c. Vector Auto Regressions
d. State-Space Models
2. Microeconometrics
a. Discrete choice models.
b. Regression, correlation and causality
c. Tobit and selectin models
3. Dynamic Panel Data Model
a. Generalized Method of the Moments (GMM)
b. Dynamic panel data model: Arellano and Bond estimation
c. Instruments and first differences
d. System GMM
e. Unit root tests
Head Lecturer(s)
Pedro André Ribeiro Madeira Cerqueira
Assessment Methods
Assessment
Homeworks (50%) and one final test(50%): 100.0%
Bibliography
Arellano, M. (2003). Panel Data Econometrics. Oxford University Press: New York
Cameron, A. Colin and Trivedi, Pravin K. (2005). Microeconometrics: Methods and Applications. Cambridge University Press: New York
Cameron, A. Colin and Trivedi, Pravin K. (2010). Microeconometrics Using Stata, Rev. Ed., Stata Press: College Station, Texas
Davidson, Russell and Mackinnon, J. G. (2004). Econometric theory and methods. New York: Oxford University Press
Durbin, James and Koopman, S. J. (2012). Time series analysis by state space methods, 2nd Ed. Oxford: Oxford University Press
Greene, W. (2011). Econometric Analysis, 7th Ed. Prentice Hall
Hayashi, F. (2000). Econometrics. Princeton University Press
Hamilton, J. D. (1994). Time Series Analysis, Prentice-Hall
Roodman (2009), “How to Do xtabond2: An Introduction to Difference and System GMM in Stata”, Stata Journal 9(1): 86–136
Wooldridge, J. M. (2010). Econometric analysis of cross section and panel data, 2nd Ed. Cambridge, Mass.: MIT Press