Time-Series and Panel Data Econometrics

course

Aims of the course

No description

Course syllabus

1. Difference equations 2. Univariate time series 2.1. Stationary and integrated processes 2.2. ARIMA models 2.3. GARCH models 2.4. Unit root tests 3. Vector autoregressive and error correction models 3.1. Estimation 3.2. Model specification 3.3. Model checking 4. Uses of multiple time series models 4.1. Forecasting 4.2. Causality Analysis 4.3. Impulse response analysis 4.4. Forecast error variance decomposition
5. Microeconometrics
5.1. Heterogeneity and the role of panel data
5.2. Fixed effects model
5.3. Random effects model
5.4. Model specification tests
5.5. Hypotheses testing
5.6. Discrete-choice models

Course director(s)

	Sašo Polanec, PhD, Full Professor Academic Unit for Economics (Regular Member) Academic Unit for Mathematics, Statistics and Operations Research (Associate Member)
	E: saso.polanec@ef.uni-lj.si  T: +386 1 5892-762	Skype: saso.polanec
	Office Hours Monday at 9:15 in P-219

	Igor Masten, PhD, Full Professor Academic Unit for Money and Finance (Regular Member) Academic Unit for Mathematics, Statistics and Operations Research (Associate Member)
	E: igor.masten@ef.uni-lj.si  T: +386 1 5892-623
	Office Hours Tuesday at 14:00 in RZ-205