Public University of Navarre



Academic year: 2018/2019 | Previous academic years:  2017/2018  |  2016/2017  |  2015/2016  |  2014/2015 
International Double Bachelor's degree in Economics, Management and Business Administration
Course code: 176802 Subject title: ECONOMETRICS II
Credits: 6 Type of subject: Mandatory Year: 4 Period: 2º S
Department: Economía
Lecturers
HUALDE BILBAO, JAVIER (Resp)

Partes de este texto:

 

Module/Subject matter

Quantitative Methods: Econometrics.

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Descriptors

Maximum likelihood. Time Series. ARIMA models. Autocorrelation. Stationarity, integration and cointegration. Simultaneous equation models. Panel data. Limited dependent variable models.

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General proficiencies

CG01. Capacity for analysis and synthesis.

CG04. Oral and written communication in a foreign language.

CG07. Capacity to solve problems.

CG09. Capacity to work in teams.

CG11. Work in an international context.

CG12. Ability to retrieve and analyze information from different sources.

CG17. Capacity to self-learning.

CG19. Work with creativity

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Specific proficiencies

CE01. Understand the economic institutions as a result and application of theoretical and formal representations of the mechanisms which operate in economics.

CE02. Identify relevant economic information sources.

CE03. Derive from micro and macroeconomic data relevant information impossible to assess by non-specialists.

CE04. Use of professional criteria in the economic analysis, mainly those criteria based on technical tools.

CE05. Draft policy advice reports on international, national or regional economics.

CE10. Evaluate the consequences of alternative policy actions and select the optimal one for a given target.

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Learning outcomes

R14. Econometrics and the estimation of economic models. Time series.

Learning outcomes Formative activity Evaluation
Understand the advantages and disadvantages of the different applicable econometric tools depending on the particular characteristics of the available data. Lectures Team work Individual work Exam Assignments
Use the specific econometric tools designed to model time series data. Computer class session Computer class assignments
Choose the econometric tool which adapts best to the model to be estimated and to the available data. Discussion of real cases in seminars Report analysis Assignments Exams

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Methodology

Lectures. Presentation of the main theoretical aspects of the course. Student participation: questions made by the lecturer, brief presentations of previous lectures. (Lecturer)

Individual work (Student)

Classes in computer room. Presentation and revision of exercises made individually and in small groups. Use of econometric packages.

Evaluation (classes, team and individual exercises, final exam)

 

Methodology - Activity On-site Self preparation
A-1 Lectures 28  
A-2 Classes 26  
A-3 Debates, tutorials   12
A-4 Preparation of assignments   24
A-5 Reading of material   18
A-6 Individual study   30
A-7 Exams 06  
A-8 Individual tutorials   06
Total 60 90

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Relationship between formative activities and proficiencies

Proficiency Formative activity
CG01. Capacity for analysis and synthesis A-1, A-3, A-4, A-5, A-6, A-7
CG04. Oral and written communication in a foreign language. A-2, A-3, A-4, A-5, A-6, A-7, A-8
CG07. Capacity to solve problems. A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8
CG09. Capacity to work in teams. A-2, A-3, A-4
CG11. Work in an international context A-3, A-4, A-5, A-6
CG12. Ability to retrieve and analyze information from different sources A-2, A-3, A-4, A-5, A-6, A-7, A-8
CG17. Capacity to self-learning. A-3, A-4, A-5, A-6, A-7, A-8
CG19. Work with creativity A-2, A-3, A-4, A-5, A-6, A-7, A-8
CE01. Understand the economic institutions as a result and application of theoretical and formal representations of the mechanisms which operate in economics. A-1, A-2, A-3, A-4, A-5, A-6
CE02. . Identify relevant economic information sources. A-2, A-3, A-4, A-5, A-6
CE03. Derive from micro and macroeconomic data relevant information impossible to assess by non-specialists. A-2, A-3, A-4, A-5, A-8
CE04. Use of professional criteria in the economic analysis, mainly those criteria based on technical tools. A-1, A-2, A-3, A-4, A-5, A-6, A-7
CE05. Draft policy advice reports on international, national or regional economics. A-2, A-3, A-4, A-5
CE10. Evaluate the consequences of alternative policy actions and select the optimal one for a given target. A-1, A-2, A-3, A-4, A-5, A-6, A-7

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Languages

English.

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Evaluation

Learning outcomes Type of assessment Weight (%) Recoverable
R14. Econometrics and the estimation of economic models. Time series Preparation and submission of individual problem sets Test 20% Recoverable
R14. Econometrics and the estimation of economic models. Time series Preparation and submission of team problem sets Computer class exercises 30% Non-recoverable
R14. Econometrics and the estimation of economic models. Time series Final exam 50% Recoverable

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Contents

Most of the course will be devoted to the analysis of the dynamic dimension of different econometric models. The course starts with a quick review of maximum likelihood inference. Then, the classical methodology employed with time series models, known as Box-Jenkins methodology, is revised. Additionally, we analyze the properties of standard regression models when time series data is employed. In this context, issues like stationarity are crucial, and this will be later analyzed in relation to integrated and cointegrated time series.

The second part of the course will be devoted to discuss different concepts which should belong to the toolkit of any applied econometrician: simultaneous equation models, panel data models and limited dependent variable models

Each chapter will be illustrated by corresponding empirical applications.

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Agenda

1. Maximum likelihood inference

1.1. Estimation.

1.2. Hypothesis testing.

2. Univariate analysis of time series

2.1. Introduction and main concepts.

2.2. Autoregressive (AR) models. Definition and properties.

2.3. Moving average (MA) models. Definition and properties.

2.4. Autoregressive and moving average (ARMA) models

2.5. Nonstationary models. ARIMA models

2.6. Seasonal ARIMA models

2.7. Forecasting.

3. Regression models with time series data

3.1. Finite sample properties of the OLS estimator.

3.2. Asymptotic properties.

3.3. Autocorrelation and heteroskedasticity in regressions with time series data: efficient estimation and robust inference.

3.4. Autoregressive conditional heteroskedasticity (ARCH) models.

3.5. Generalized autoregressive conditional heteroskedasticity (GARCH) models.

3.6. Detection and estimation in GARCH models.

3.7. Forecasting.

4. Regression models with nonstationary time series

4.1. Spurious regression

4.2. Unit root hypothesis testing.

4.3. Cointegration.

4.4. Error correction models.

4.5. Forecasting.

5. Simultaneous equation models

5.1. Instrumental variables estimation.

5.2. Two stage least squares.

5.3. Simultaneity bias of the OLS estimator.

5.4. Identification and estimation.

6. Panel data models

6.1. Simple methods.

6.2. Fixed effects estimator.

6.3. Random effects estimator

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Bibliography

Acceda a la bibliografía que su profesor ha solicitado a la Biblioteca.


The main reference for the course is:

Wooldridge, J.M. "Introductory econometrics: a modern approach". South-Western College Pub; 4 edition (2008).

Alternative useful textbooks are:

Brooks, C.: Introductory Econometrics for Finance (2nd Edition), Cambridge University Press. 2008

Granger, C.W.J.: Forecasting in Business and Economics (2nd Edition) Academic Press. 1986.

Greene, W. H.: Econometric Analysis (7th Edition). Prentice Hall, 2011.

Hamilton J.D.: Time Series Analysis Princeton University Press, 1994

Lütkepohl, H.: New Introduction to Multiple Time Series Analysis. Springer-Verlag 2006.

Tsay, R.S.: Analysis of Financial Time Series. Wiley. 2005.

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Location

Classroom and Computer room at the Aulario.

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