Advanced Econometrics I

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)

No

Syllabus

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)

António Alberto Ferreira Santos

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.