ISCTE-IUL > Education > ME

Econometric Methods II (2 º Sem 2018/2019)

Code:	03422
Acronym:	03422
Level:	2nd Cycle
Basic:	Yes
Teaching Language(s):	English, Portuguese
Friendly languages:

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.

Semester	ECTS Credits	Theoretical Lesson (T)	Theoretical and Pratical Lesson (TP)	Practical and laboratorial lesson (PL)	Seminary (S)	Field Work (TC)	Training Period (E)	Tutorial Orientation (OT)	Contact Hours	Autonomous Work	Others (O)	Total Load Hours [?]Contact Hours + Autonomous Work
1	6.0	0.0 h/sem	30.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	0.0 h/sem	1.0 h/sem	31.0 h/sem	119.0 h/sem	0.0 h/sem	150.0 h/sem


Since year	2018/2019
Pre-requisites	Econometric Methods I
Objectives	By the end of this course students should be able to apply the most appropriate econometric methods to analyze time series macroeconomic data.
Program	S1. Introduction 1.1 Examples of time series variables in Economics 1.2 Main properties of time series data S2. VAR models 2.1 Specification, Estimation and Inference 2.2 Granger Causality and Impulse-Response Functions 2.3 Variance Decomposition 2.4 Forecasting 2.5 Structural VARs S3. Unit Roots and Cointgration 3.1 Stationarity tests 3.2 Single-Equation Cointegration 3.3 Vector Cointegration Models S4. Volatility Models 4.1 Symmetric volatility 4.2 Asymmetric volatility S5. Non-linear models 5.1 TAR models 5.2 STAR models 5.3 Markov-Switching models S6. Applications in Macroeconomics 6.1 The Demand for Money 6.2. The Phillips Curve 6.3. Asset returns
Evaluation Method	The evaluation can be done through Periodic Assessment or Assessment by Exam. Evaluation in periodic assessment includes a team work (40%) and a test (60%) covering the entire topics - the score must be at least 7.5 points. In periodic assessment students must attend at least 66.67% of the classes. In the assessment by exam there is only a final exam representing 100%. In the written assessment students can use a form and a calculator.
Teaching Method	To achieve the learning outcomes, the following learning methodologies (LM) are used: LM1. Expositional, for presentation of models, methods and tests; LM2. Participatory, with the analysis of empirical exercises based on real data; LM3. Active, through the realization of an individual research work; LM4. Experimental, with the development and estimation of models using econometric software; LM5. Self-study, implying autonomous learning activities by the student.
Observations	-
Basic Bibliographic	Enders, W. (2014), "Applied Econometric Time Series", 4th Edition, John Wiley & Sons..
Complementar Bibliographic	Franses, P.H. (2014), "Time series models for business and economic forecasting", 2nd Edition, Cambridge University Press. Franses, P.H. and van Dick, D. (2000), "Non-Linear Time Series Models in Empirical Finance", Cambridge University Press Hamilton, J. (1994), "Time Series Analysis", Princeton University Press. Lütkepohl, H. (2005), ?New Introduction to Multiple Time Series Analysis?, Springer-Verlag Berlin Heidelberg Patterson, K. (2000), ?An Introduction to Applied Econometrics: A Time Series Approach?, Palgrave.