Econometrics III

2018-2019
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

Obtaining basic understanding of multivariate dynamic linear modeling
and time series analysis and panel data. Understanding the introductory
theory and practice of econometric analysis of stationary and
non-stationary multivariate stochastic processes and panel data.

Inhoud vak

Econometrics III provides an introduction to multivariate dynamic models
and time-series analysis. The course covers both theoretical and
practical aspects of time-series econometrics including analysis of
multivariate stationary and non-stationary processes, vector
autoregressive (VAR) models, vector error correction models (VECMs), and
cointegration tests. The course also introduces panel data models,
methods and techniques.

Onderwijsvorm

4 hours per week of lectures, 4 hours per week solving/discussing
theoretical and practical exercises

Toetsvorm

Exam (80%) and practical assignment (29%)

Vereiste voorkennis

Basics of statistics, probability, econometrics, algebra, and calculus

Literatuur

Main reference:
H. Lütkepohl, New Introduction to Multiple Time Series Analysis (2006),
Springer

Supplementary literature:
J.D. Hamilton, Time Series Analysis (1994), Princeton University Press
B.H. Baltagi, Econometric Analysis of Panel Data (5th Edition, 2013),
Wiley

Doelgroep

The course is targeted at students in the Bachelor Econometrics and
Operations Research (EOR).
It is also recommended for students who are not enrolled in the Bachelor
EOR, but who are interested in pursuing a M.Sc. in Econometrics.

Overige informatie

The course is suitable to be taken in an exchange program.

Toelichting Canvas

All course materials will be made available on Canvas.

Algemene informatie

Vakcode E_EOR3_TR3
Studiepunten 6 EC
Periode P4
Vakniveau 300
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator dr. J. Schaumburg
Examinator dr. J. Schaumburg
Docenten

Praktische informatie

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Werkvormen Werkcollege, Hoorcollege
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