Empirical Methods in Economics IIb
In this course you are provided with a deeper understanding of the statistical methods used in the empirical analysis of economic problems involving time-series data.
The course requires you from start to have a fair knowledge and understanding of estimation of linear models with cross-section data. After the course you will be able to construct econometric models involving one or more time series variables in order to analyse economic problems and to do and evaluate forecasts. These skills are demonstrated by writing a term paper on a problem of your own choice using the methods covered by the course. The term paper is the main means of assessment.
The course includes the following topics: Estimation of linear models (OLS) with time-series data, robust inference correcting for heteroscedasticity and autocorrelation, auto-correlation, deterministic trends and seasons and their remedies, detecting and modelling structural breaks, stationarity, various tests (ADF and KPSS) and remedies for stochastic trends, autoregressive, moving average and ARMA/ARIMA models, maximum-likelihood estimation, information criteria for model selection, co-integration and error-correction models, vectorautoregressiv models (VAR), Granger causality, impulse response functions, forecasting and forecast evaluation.
This course replaces Empirical Methods in Economics 3 with course code EC2405.
-
Course structure
This is a 7.5 credit course.
The language of instruction is English.
Course material will be available through the learning platform Athena during the course.
Teaching format
Lectures, exercises and individual studies in computer labs. The term paper is discussed at a pre-seminar before final submission.
Assessment
Written assignments, term paper, and oral review of another student’s term paper at a pre-seminar.
Examiner
Examiner and course director
Michael Lundholm -
Schedule
The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course. -
Course literature
Note that the course literature can be changed up to two months before the start of the course.
See syllabus.
-
Contact
Course administration
economics2@ne.su.se
Studievägledare och lärare
- Visiting address
Södra huset A, rum A617
- Frågor om:
Behörighet, antagning och tillgodoräknande.
- Office hours
Kontakta oss via e-post eller telefon.
- Phone hours
Mån-tor kl. 12.30-13.30
Studierektor grundnivå och avancerad nivå
- Visiting address
Södra huset A, rum A791
