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Time-Series and Panel Data Econometrics

Aims of the course

The course of introduces the student to basic econometric models used in applied economic analysis. A formal treatment of the models is complemented with empirical applications in exercise classes. At the end of the course the student is prepared to study econometrics at an advanced masters level.

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)

  • Igor Masten, PhD, Full Professor

  • Academic Unit for Money and Finance (Regular Member)
  • Academic Unit for Mathematics, Statistics and Operations Research (Associate Member)
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  • Office Hours
  • Tuesday at 14:00 in RZ-205
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  • Skype: saso.polanec 
  • Office Hours
  • Monday at 9:15 in P-219
 
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