Universidad Pública de Navarra - Nafarroako Univertsitate Publikoa

Module/Subject matter

Quantitative Methods: Econometrics.

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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.

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General proficiencies

Not applicable.

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Specific proficiencies

Not applicable.

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Learning outcomes

RA07: Understand the relationship between verbal, graphical, mathematical, and econometric analysis in the study of economics.

RA09: Identify and recognize relevant sources of economic information and their content.

RA10: Derive relevant information from economic and social data that is difficult for non-professionals to recognize.

RA11: Use professional criteria for economic analysis, preferably those based on the use of technical instruments

RA14: Evaluate the consequences of different action alternatives and select the best ones given the objectives.

RA16: Apply statistical foundations and econometric methodologies to analyze and systematize economic and business information.

RA17: Prepare reports and convey ideas on any economic matter, clearly and coherently, to both specialized and non-specialized audiences.

RA18: Work in a team, being able to argue their proposals and validate or reasonably refuse the arguments of others.

RA19: Organize work, in terms of good time management, order, and planning.

RA20: Select and generate the necessary information for each problem, analyze it, and make decisions based on it.

RA21: Value ethical, social, and environmental commitment in professional practice.

RA22: Continue learning in the future independently, deepening the knowledge acquired or starting in new areas of knowledge.

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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)

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Evaluation

Those students who do not attend the final exam will get a grade of "No Presentado"

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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

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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).

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Languages

English.

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Location

Classroom and Computer room at the Aulario.

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