Applied Econometrics: Econ 542

Msc. In Economics

The course covers the problems in Least Squares estimation and testing methods, Times series analysis and Modelling such as unit toot testing, the Box and Jenkins methodology and volatility modelling (ARCH-GARCH model). Course topics include the Engle-Granger and Johansen cointegration approaches and the ARDL Bound testing approaches to cointegration and long-run dynamics. Also, the course covers the Granger Causality, Vector AutoRegressive, IRF, VD, and Vector Error Correction Models. The course topics will be mainly devoted to review the appropriate econometric models suitable for Economic theory analysis as well as conducting empirical applications for selected economic problems.

Course Learning Outcomes and objectives:

The objective of this course is to introduce students to advanced topics of econometrics methods and analysis.  The course provides the fundamental methods of advanced econometric modeling necessary de conduct empirical research.

By the end of this course student will be able to:
-    be familiar with methods of advanced econometric modeling.
-    Formulate econometric models suitable for Economic analysis.
-    Explain and illustrate how econometric tools are used to estimate specific economic models and analyze and interpret the obtained results.
-    Explain how to combine econometric methodologies and economic theory for understanding economic phenomena.
-    Demonstrate how to use econometrics and statistical software to estimate models and perform tests.
-    Provide students with the skills necessary to use econometric methods and estimation and forecasting techniques to conduct empirical research.
-    Demonstrate how to use econometrics tools and analysis to conduct empirical research.