Universidad Pública de Navarra - Nafarroako Univertsitate Publikoa
Public University of Navarre
| Course code: 172828 | Subject title: ECONOMETRICS II | ||||
| Credits: 6 | Type of subject: Optative | Year: 4 | Period: 2º S | ||
| Department: Economía | |||||
| Lecturers: | |||||
| DOMINGUEZ IRASTORZA, EMILIO JOSE (Resp) [Mentoring ] | DEL VILLAR OLANO, ALBA MARIA [Mentoring ] | ||||
Contents
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.
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 |
Evaluation
| Learning outcome |
Assessment activity |
Weight (%) | It allows test resit |
Minimum required grade |
|---|---|---|---|---|
| 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"
Agenda
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
Bibliography
Access the bibliography that your professor has requested from the Library.
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).