2000x580 15

Time-Series and Panel Data Econometrics (MASTER)

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

Business portrait of Sašo Polanec in the green atrium of the School of Economics and Business on a sunny day in June 2024