Applied Econometrics

Course Code :2128TEWECP
Study domain:Research Methodology
Academic year:2017-2018
Semester:1st semester
Contact hours:60
Study load (hours):168
Contract restrictions: No contract restriction
Language of instruction:English
Exam period:exam in the 1st semester
Lecturer(s)Sunčica Vujić

3. Course contents *

Applied Econometrics is designed as an advanced course in econometrics. The goal of this course is to further broaden the understanding of methods and practical use of econometrics such that: you can apply these tools to modelling, estimation, inference, and forecasting in the context of real world economic problems; you are able to critically evaluate policy oriented and scientific work using standard econometric tools; you have a foundation for further study of more advanced econometric methods. The course is not theorem-proof driven, but emphasizes motivation, understanding, implementation, and interpretation.

Part I. Methods for cross-sectional and panel data: a selection from the following topics

  • Dummy variables
  • Simultaneous equations
  • Instrumental variables estimation
  • Qualitative and limited dependent variable models
  • Panel data estimators
  • Program evaluation methods

Part II. Time Series Analysis: a selection from the following topics

  • Autocorrelation and ARDL models
  • Stationary and nonstationary series
  • ARIMA models
  • Unit root test
  • Cointegration and error correction models
  • Granger causality
  • Vector Autoregression (VAR) models