Econometrics II

Code:

LEC310

Acronym:

ECO II

Keywords
Classification	Keyword
OFICIAL	Economics

Instance: 2005/2006 - 2S

Active?	Yes
Web Page:	http://www.fep.up.pt/disciplinas/lec310/
Responsible unit:	Grupo de Economia
Course/CS Responsible:	ECONOMICS

Cycles of Study/Courses

Acronym	No. of Students	Study Plan	Curricular Years	Credits UCN	Credits ECTS	Contact hours	Total Time
ECO	662	Official Curricular Structure since 2004	3	2		-

Objectives

The course is the second-semester sequel to an introductory Econometrics course taught during the fall term. Both courses assume a solid background in Economic Theory, in Statistics and in Linear Algebra.
As is the case with Econometrics I, Econometrics II aims at achieving profficiency in reading, understanding and evaluating basic econometric results. Differently from Econometrics I, however, applied work with econometric techniques is given more emphasis in Econometrics II and classes will be routinely held in computer labs.

Program

0. INTRODUCTION TO ECONOMETRICS SOFTWARE: the EViews application

1. THE GENERAL LINEAR MODEL: assumptions; generalized least squares (GLS) estimators; heteroskedasticity: nature, properties of OLS estimators, testing for heteroskedasticity, estimation; autocorrelation: nature, elementary stochastic processes, properties of OLS estimators, testing for autocorrelation, estimation; specification errors: omitting explanatory variables, including irrelevant variables; multicolinearity: nature, properties of OLS estimators, diagnostic, estimation

2. MODELS WITH LAGGED VARIABLES: distributed lag models; the Koyck model; partial adjustment models; adaptive expectations models; Durbin's h-test; estimation of auto-regressive models

3. BINARY CHOICE MODELS: linear probability models; probit and logit models; estimation methods; inference and evaluation

Main Bibliography

Damodar N. GUJARATI, Basic Econometrics, 4th ed., McGraw-Hill, New York, 2003

M. Mendes de OLIVEIRA et al., Econometria: Exercícios, McGraw-Hill, Lisbon, 1997

Complementary Bibliography

Jack JOHNSTON and John DINARDO, Econometric Methods, 4th ed., McGraw-Hill, New York, 1997

Jeffrey M. WOOLDRIDGE, Introductory Econometrics: A Modern Approach, South-Western College Publishing, 2000

Teaching methods and learning activities

Classes held in computer labs. Methods for testing and estimation will be illustrated with several data sets in the EViews framework.

Software

Extensive use of the EVIews application will be made in class.

Evaluation Type

Evaluation with final exam