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ECOM-R321 Advanced Econometrics 3: Macroeconometrics, 5 sp 
Kod ECOM-R321  Giltighet 01.01.2017 -
Namn Advanced Econometrics 3: Macroeconometrics  Förkortning Advanced Econom 
Omfattning5 sp   
UndervisningsformFördjupade studier
Klass/KategoriStudieperiod   
  BedömningAllmän skala 
  nej
    Kan genomföras flera gångernej
Ansvarig enhet Magisterprogrammet i ekonomi 

Lärare
Namn
Mika Meitz 

Beskrivning
Målgrupp 

Master’s Programme in Economics (Research track). Open also to doctoral students in economics.

 
Timing 

Annually in the third period

 
Kunskapsmål 

After the course, the student should

  • Know the basic properties of the time series models and the related methods introduced 
  • Be able to critically follow empirical research that employs them 
  • Be able to apply them in empirical research 
  • Have the basic knowledge for more advanced methodological and applied studies in time series econometrics
 
Studieavsnittets form 

The course consists of lectures (24 hours) and exercise sessions (8 hours), where solutions to the homework assignments are discussed. The lectures and exercise sessions are not mandatory. The course is completed by (i) a written final exam and (ii) homework assignments. The homework assignments consist of both analytical and empirical exercises.

 
Tidigare studier eller kunskaper 

Advanced Econometrics 1 and 2, or Econometrics 1

 
Rekommenderade valfria studier 

Knowledge of R (or some other matrix programming language) is useful.

 
Innehåll 

This course covers a number of models and methods employed in time series econometrics. The emphasis is on univariate models, but vector autoregressive models and nonstationarity are also discussed. Specifically, the topics covered on the course include the following:

  • Basic time series concepts 
  • Methods for stationary univariate data: ARMA models, ARCH models 
  • Nonstationarity (unit roots, cointegration) 
  • Vector autoregressive models
 
Studiematerial och litteratur 

Lecture slides and other material assigned by the lecturer

 
Aktiviteter och undervisningsmetoder som stöder lärandet 

All material related to the course is delivered through the Moodle area of the course, which also contains a discussion forum where students can discuss issues related to the course with each other and the teacher.

 
Bedömningsmetoder och kriterier 

The grade on a scale from 0 (fail) to 5 is based on the points earned in the final exam (70%) and in the homework assignments (30%).

 


Pågående och framtida undervisning
Funktioner Namn Typ sp Lärare Tid
anmälningstiden avslutad Advanced Econometrics 3: Macroeconometrics   Föreläsningskurs    21.01.21 -07.05.21

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