Time-Series and Panel Data Econometrics (MASTER)
Goals
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.
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
Contacts
Igor Masten
Office hours
Tuesday at 14:00
room RZ-205
Sašo Polanec
Office hours
Monday at 9:15
room P-219
