30166 - TIME SERIES ECONOMETRICS
CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF
Course taught in English
Go to class group/s: 31
The course is an introduction to Econometrics, with a focus on time series analysis and estimation techniques, applied to Macroeconomics. The main topics of the course are: the linear regression model, its specification, estimation, testing and use; univariate and multivariate dynamic models, with stationary and integrated series. All topics are presented in theory and in practice: classroom lectures are mixed with computer lab sessions where applications in micro and macroeconomics are developed using Eviews, an econometrics software.
- The linear regression model: assumptions, properties and applications of Ordinary Least Squares estimators.
The linear regression model with stochastic regressors: appropriate assumptions and asymptotic properties of OLS estimators.
Introduction to univariate Time Series Analysis: stationarity, ARMA models, Dynamic models with distributed lags.
Non stationary time series: Integrated time series, unit root test, cointegration, Error Correction Mechanism (ECM).
It is necessary to enroll in the exams (partials and general)in order to enable the creation of the minutes. Once the exam has been passed the grade will be automatically enrolled.
M. VERBEEK, A Guide to Modern Econometrics, Wiley, 2008, 3th ed.
M. VERBEEK, Econometria, Zanichelli, 2006.
- F.X. Diebold, Elements of forecasting, Thomson Southwestern, Thomson - South Western , 2007, 4th edition.