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Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the
following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1
6.0
0.0 h/sem
12.0 h/sem
12.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
1.0 h/sem
25.0 h/sem
125.0 h/sem
0.0 h/sem
150.0 h/sem
Since year
2017/2018
Pre-requisites
Basic knowledge in econometrics.
Objectives
The main aim of this course is to provide students knowledge about a list of topics in modern econometric analysis, mainly in techniques applied to monetary economics such as analysis of stationarity of time series, modeling with VAR and cointegration, besides ARCH and non-linear models. Along these lines, it is important that the students not only understand the theoretical aspects of the course but also that he/she is able to apply them to specific empirical projects associated to monetary economics.
Program
1. VAR models and Cointegration 1.1. VAR models 1.2. Unit roots 1.3. Cointegration 2. ARCH models 2.1. ARCH and GARCH models 2.2. Asymetric volatility models 3. Non-linear models 3.1. TAR models 3.2. Regime Switching models
Evaluation Method
The approval in the class can be achieved by continuous assessment or a final examination. 1.Continuous assessment: Test (50% of the grade); Team Project (50% of the grade). 2. Final exam (100% worth)
Teaching Method
Lectures (theoretical, applied and laboratorial); Presentation and discussion of group work in the classroom
Observations
Basic Bibliographic
Enders, W. (2009), "Applied Econometric Time Series", 3rd, John Wiley & Sons. Hamilton, J. (1994), "Time Series Analysis", Princeton University Press.
Complementar Bibliographic
Franses, P.H. (1998), "Time series models for business and economic forecasting", Cambridge University Press. Franses, P.H. and van Dick, D. (2000), "Non-Linear Time Series Models in Empirical Finance", Cambridge University Press. Greene, W.H. (2011), "Econometric Analysis", 7th Ed., Prentice Hall, New Jersey. Wooldridge, J.M. (2012), "Introductory Econometrics: A Modern Approach", 5th Ed., South Western Publishers.
