|Course code: 172828||Subject title: ECONOMETRICS II|
|Credits: 6||Type of subject: Optative||Year: 4||Period: 2º S|
|DOMINGUEZ IRASTORZA, EMILIO JOSE (Resp) [Mentoring ]||DEL VILLAR OLANO, ALBA MARIA [Mentoring ]|
Quantitative Methods: Econometrics.
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
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.
R_MC_06. To know and know how to use the most appropriate econometric model for each economic or business situation, determining what type of data and what requirements these must meet in order to carry out the specification, estimation and validation phases of the model.
R_MC_07. Use appropriate software for data processing or for solving analytical problems.
R_MC_08. Prepare and report results of quantitative analysis of economic and business data, using appropriate information sources.
R_MC_09. To interpret and question the conclusions of a quantitative analysis in relation to the environment where the data have been generated.
R_MC_10. Develop the right attitude to understand and be able to use new quantitative techniques that may be necessary in the exercise of the profession.
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-3 Debates, tutorials||12|
|A-4 Preparation of assignments||24|
|A-5 Reading of material||18|
|A-6 Individual study||30|
|A-8 Individual tutorials||06|
|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|
|Weight (%)||It allows
|R_MC_06 R_MC_08 R_MC_10||Individual tests related to problem sets||25%||Yes||None|
|R_MC_06 R_MC_07 R_MC_08 R_MC_09||Team and individual work related to computer class exercises||25%||No||None|
|R_MC_06 R_MC_07 R_MC_08 R_MC_09 R_MC_10||Final exam||50%||Yes||None|
Those students who do not attend the final exam will get a grade of "No Presentado"
The contents of this course are a logical continuation of those included in Econometrics I. It covers a selection of current topics: instrumental variables regression, program evaluation using randomized experiments and natural experiments, forecasting and estimation of dynamic causal effects, advanced tools for time series analysis.
Each chapter will be illustrated by corresponding empirical applications.
1. Instrumental variables regression
2. Experiments and quasi-experiments
3. Introduction to time series regression and forecasting
4. Estimation of dynamic causal effects
5. Additional topics in time series regression
The main reference for the course is:
Stock, J.H. & M. Watson: Introduction to Econometrics (4th Edition) Pearson Education. 2020
Alternative useful textbooks are:
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.
Wooldridge, J.M. "Introductory econometrics: a modern approach". South-Western College Pub; 4 edition (2008).
Classroom and Computer room at the Aulario.