2019/20
61334 - Econometrics and Mathematical Instruments
Compulsory
4.3. Syllabus
The course will address the following topics:
SECTION I. ECONOMETRICS
Topic 1. PRELIMINARIES
1.1 The Method in Economics. Empirical Testing and Econometrics
1.2 Statistics Review. Estimation and Testing. LR, W and LM tests
1.3 The General Linear Model
1.4 Internal and External Validation
1.5 Threads to Internal Validation
1.6 Information Criteria: the bias-variance trade-off
Topic 2. TIME SERIES MODELS
2.1 Models for Stationary Variables
2.1.1 Univariate Time Series Models.ARIMA
2.1.2 Multivariate Time Series Models. ARD and CRD
2.1.3 The VAR Model
2.2 Models for Non-stationary Variables
2.2.1 Unit Root. Testing
2.2.2 Cointegration. Testing
2.2.3 ECM Model
2.3 Non-linear Models
2.3.1 ARCH and GARCH Models
2.3.2 TAR Models
2.3.3 Bilinear Models
Topic 3. MICROECONOMETRICS
3.1 Panel Data Models
3.1.1 Pooled Model
3.1.2 Fixed Effects Model
3.1.3 Random Effects Model
3.2 Qualitative and Limited Dependent Variable Models
3.2.1 Models with Binary Dependent Variables: Logit and Probit
3.2.2 Multinomial Models
3.2.3 Ordered Choice Models
3.2.4 Models for Count Data
SECTION II. ADVANCED MATHEMATICAL INSTRUMENTS IN ECONOMIC ANALYSIS
Topic 1. DISCRETE ANALYSIS
1.1 Infinite series. Convergence tests.
1.2 Difference equations.
1.3 Discrete systems of equations.
1.4 Economic Analysis Applications.
Topic 2: MATHEMATICAL PROGRAMMING
2.1 Inequality constraints programs.
2.2 Kuhn-Tucker conditions.
2.3 Global optimality conditions.
2.4 Economic Analysis Applications.
Topic 3. OPTIMAL CONTROL THEORY
3.1 Hamiltonian. The Pontryagin maximun principle.
3.2 Dynamic programming.
3.3 Economic Applications.
Topic 4. MILLENNIUM PROBLEMS
4.1 The input-output framework.
4.2 Other Economic Analysis Applications.