Advanced Econometrics II

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)

No

Syllabus

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)

António Alberto Ferreira Santos

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