Algemene informatie
| Vakcode | E_EOR3_TR3 |
|---|---|
| Studiepunten | 6 EC |
| Periode | P4 |
| Vakniveau | 300 |
| Onderwijstaal | Engels |
| Faculteit | School of Business and Economics |
| Vakcoördinator | prof. dr. S.J. Koopman |
| Examinator | prof. dr. S.J. Koopman |
| Docenten |
prof. dr. S.J. Koopman |
|
Onderdeel van opleiding(en)
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Praktische informatie
Voor dit vak moet je zelf intekenen. De inteken- en afmeldtermijnen staan op VU.nl
| Onderwijsvorm | Werkcollege, Computerpracticum, Hoorcollege |
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Doelgroepen
Dit vak is ook toegankelijk als:
Doel vak
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.
Inhoud vak
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.
Aanvullende informatie onderwijsvormen
Lectures, tutorials, (online) support for assignments
Toetsvorm
Exam (50%) and practical assignments (50%)
Vereiste voorkennis
There are no formal entry requirements but please take a look at the recommended background knowledge.
Literatuur
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
Aanvullende informatie doelgroep
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.
Overige informatie
The course is suitable to be taken in an exchange program.Toelichting Canvas
All course materials will be made available on Canvas.Aanbevolen voorkennis
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.