Multivariate Econometrics

Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

This course introduces students to advanced econometric theory and
methods for analyzing linear multivariate non-stationary time-series and
panel data.

By the end of this course, participants will:
(1) have detailed knowledge of VAR, VECM and dynamic panel-data models.
(2) understand the limit theory behind spurious regression and
(3) be familiar with advanced unit-root and cointegration tests;
(4) understand the challenges in designing, estimating and analyzing
linear econometric models for non-stationary time-series and panel data.

Inhoud vak

This course covers both theoretical and practical aspects of modeling
multivariate non-stationary time-series and panel data, with special
emphasis on unit-root processes and cointegration.

The students will be introduced to linear multivariate time-series
models and linear panel data models used in econometrics. Important
topics include marginalizing, conditioning, exogeneity, vector
autoregressive (VAR) models, and vector error correction models (VECM).

Important limit results will be carefully derived providing the students
with a deep understanding of the theory and practice behind a wide range
of advanced unit roots test, spurious regression, cointegration, and
dynamic panels.


Lectures and tutorials


Final exam and group assignment – Individual assessment


Main textbook:
Davidson (2000), Econometric Theory, Blackwell publishing;

Supplementary textbooks:
Lutkepohl (2005), New Introduction to Multiple Time Series Analysis,
Hamilton (1994), Time Series Analysis, Princeton University Press;
Pesaran (2015), Time series and Panel Data Econometrics, Oxford
University Press;
Baltagi (2005), Econometric Analysis of Panel Data, Third edition, John
iley & Sons, Ltd;

Other reading materials:
Lecture notes provided by the teacher;
Journal articles recommended by the teacher: will be uploaded under the
module: Articles to read

Aanbevolen voorkennis

This course presumes that the students are familiar with econometric
methods, probability theory, mathematical statistics. The theory and
practice behind the regression model should be well understood.
Furthermore, the students should have been introduced to time-series
analysis. In particular, the students should be familiar with the
concepts of stationarity and ARMA models.

Algemene informatie

Vakcode E_EORM_MVE
Studiepunten 6 EC
Periode P2
Vakniveau 400
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator dr. H. Karabiyik
Examinator dr. H. Karabiyik
Docenten dr. H. Karabiyik

Praktische informatie

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