Advanced Econometrics I
1
2021-2022
03672004
Economics
Portuguese
Face-to-face
SEMESTRIAL
7.5
Compulsory
3rd Cycle Studies
Recommended Prerequisites
Statistics, Econometrics and Intermediate Econometrics
Teaching Methods
The teaching methodologies are based on face-to-face lectures, where theoretical results associated with the curricular unit are presented, namely through the main theorems related to the models and estimation methods that are considered.
Learning Outcomes
1. To name the main assumptions of each estimation method. To describe the main properties of each method.
2. To prove the main properties and theorems.
3. To identify the correct econometric approach to the different empirical economic analyses.
4. To develop strategies that can adjust the theoretical models to real data applications.
5. To apply econometric methods to economic data.
Work Placement(s)
NoSyllabus
1. Ordinary Least of Squares Method.
a. Numerical properties.
b. Statistical Properties.
c. Heteroscedasticity and Autocorrelation.
d. Hypothesis testing
e. Asymptotic results
2. Endogeneity, Instrumental Variables and Generalized Method of Moments.
3. Maximum Likelihood Estimation.
4. Panel Data Models.
Head Lecturer(s)
Paulino Maria Freitas Teixeira
Assessment Methods
Assessment
One test (60%). Two homeworks (20%+20%): 100.0%
Bibliography
Davidson, Russell; Mackinnon, James G. - Econometric theory and methods. New York : Oxford University Press, 2004.
Greene, William (2011), Econometric Analysis, 7th Edition, Prentice Hall: New Jersey.
Wooldridge, J. (2010) Econometric Analysis of Cross Section and Panel Data, 2nd Ed., The MIT Press.