General Information
| Course Code | E_EOR3_TR3 |
|---|---|
| Credits | 6 EC |
| Period | P4 |
| Course Level | 300 |
| Language of Tuition | English |
| Faculty | School of Business and Economics |
| Course Coordinator | prof. dr. S.J. Koopman |
| Examiner | prof. dr. S.J. Koopman |
| Teaching Staff |
prof. dr. S.J. Koopman |
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Part of programme(s)
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Practical Information
You need to register for this course yourself. The (de)registration deadlines can be found on VU.nl
| Teaching Methods | Seminar, Computer lab, Lecture |
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Target audiences
This course is also available as:
Course Objective
Obtaining basic understanding of multivariate econometric methods including seemingly unrelated regressions, panel data methods, difference-in-differences, vector autoregressive models, impulse responses, cointegration, and vector error correction models. The theory, practice and empirical aspects are equally important.
Course Content
Econometrics III provides a thorough introduction to multivariate econometrics including panel data models and multivariate time series models. In particular, we will discuss fixed effects, random effects, one- and two-error component panel models, vector autoregressive models, impulse responses, cointegration, vector error correction models, including model properties, estimation, and implementation for real data.
Additional Information Teaching Methods
Lectures, tutorials, (online) support for assignments
Method of Assessment
Exam (50%) and practical assignments (50%)
Entry Requirements
There are no formal entry requirements but please take a look at the recommended background knowledge.
Literature
Literature references:
- H. Lütkepohl, New Introduction to Multiple Time Series Analysis (2006), Springer
- J.D. Hamilton, Time Series Analysis (1994), Princeton University Press
- B.H. Baltagi, Econometric Analysis of Panel Data (5th Edition, 2013), Wiley
Additional Information Target Audience
The course is targeted at students in the Bachelor Econometrics and Operations Research (EOR) and in the Bachelor Econometrics and Data Science (EDS).
It is also recommended for students who are not enrolled in the Bachelor EOR and EDS, but who are interested in pursuing a M.Sc. in Econometrics.
Additional Information
The course is suitable to be taken in an exchange program.Explanation Canvas
All course materials will be made available on Canvas.Recommended background knowledge
This course is open to all students; it is the responsibility of the student to have obtained the necessary background for this technical and challenging course. A strong recommendation is to have successfully completed the main courses in Year 1 and the Year 2 course Econometrics I. It is further strongly recommended to have completed the Year 2 courses Econometrics II. Generally, we require students to master an intermediate level in algebra, calculus, computer science (programming in R, Matlab or Python), probability, statistics and econometrics.