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Information
| Unit | INSTITUTE OF SOCIAL SCIENCES |
| ECONOMETRICS (MASTER) (WITH THESIS) | |
| Code | IEM704 |
| Name | Applied Econometrics II |
| Term | 2018-2019 Academic Year |
| Term | Fall |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 6 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Yüksek Lisans Dersi |
| Type | Normal |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. MEHMET ÖZMEN |
| Course Instructor |
The current term course schedule has not been prepared yet.
|
Course Goal / Objective
It has been aimed to model economic relations by using econometric methods, their computer-based applications and interpret the models.
Course Content
DF and ADF unit root tests, Engle-Granger and Johansen cointegration tests, estimation of VEC model, estimation of ARIMA models, estimation of VAR model
Course Precondition
Resources
Notes
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Builds a macroeconomic model |
| LO02 | Investigates time series properties of the variables involved in the model. |
| LO03 | Estimates a proper model and evaluates estimation results. |
| LO04 | Analyzes short and long term relationships between variables. |
| LO05 | Analyzes short and long term relationships between variables and discusses student estimation results fora model of Turkish economy. |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Explains contemporary concepts about Econometrics, Statistics, and Operation Research | 4 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Explains relationships between acquired knowledge about Econometrics, Statistics, and Operation Research | 3 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explains how to apply acquired knowledge in the field to Economics, Business, and other social sciences | 3 |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | 5 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 5 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field of research | |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Searches for new approaches and methods to solve problems being faced | 4 |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | 5 |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Collects/analyzes data in a purposeful way | 5 |
| PLO12 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | 4 |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops solutions for organizations using Econometrics, Statistics, and Operation Research | 5 |
| PLO14 | Beceriler - Bilişsel, Uygulamalı | Uses a package program/writes a new code for Econometrics, Statistics, and Operation Research | 5 |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs an individual work to solve a problem with Econometrics, Statistics, and Operation Research | 4 |
| PLO16 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | 4 |
| PLO17 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in the field of study | 3 |
| PLO18 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Interprets the feelings, thoughts and behaviors of the related persons correctly/expresses himself/herself correctly in written and verbal form | |
| PLO19 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues | 4 |
| PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Introduction to time series | Reading | |
| 2 | Some Basic Concepts, Difference Equations, White Noise Process, AR, MA, ARMA and ARIMA models | Readings,Problem Set and Application | |
| 3 | Box-Jenkins Forecasting Models (application) | Readings,Problem Set and Application | |
| 4 | Random Walk Hypothesis, deterministic and stochastic trend, spurious regression | Readings,Problem Set and Application | |
| 5 | Non-Stationary Stochastic Processes | Readings,Problem Set and Application | |
| 6 | Elimination of Time SeriesTrend:The Difference and Trend Stationarity Processes | Readings,Problem Set and Application | |
| 7 | Testing of Stationarity, StationarityTesting with the help of Autocorrelation Function (ACF) | Readings,Problem Set and Application | |
| 8 | Mid-Term Exam | Studying the course content | |
| 9 | Testing of Stationarity with help of partial autocorrelation function (PACF), the Q statistic, LB, IDW | Readings,Problem Set and Application | |
| 10 | Unit Root Tests for Stationarity: DF, ADF, PP, KPSS, DF-GLS, etc. and applications | Readings,Problem Set and Application | |
| 11 | VAR analysis and applications | Readings,Problem Set and Application | |
| 12 | Introduction to Cointegration (co-integration) Analysis, Testing the Existence of cointegration | Readings,Problem Set and Application | |
| 13 | Engle-Granger test, Engle-Granger and Yoo Approach, Johansen trace test statistic and the maximum eigenvalue statistics | Readings,Problem Set and Application | |
| 14 | Error Correction Models and Applications | Readings,Problem Set and Application | |
| 15 | Causality Analysis, Variance Decomposition and applications related to Impulse Response functions | Readings,Problem Set and Application | |
| 16 | Term Exams | Readings,Problem Set and Application | |
| 17 | Term Exams | Readings,Problem Set and Application |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 3 | 42 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 5 | 70 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 15 | 15 |
| Final Exam | 1 | 30 | 30 |
| Total Workload (Hour) | 157 | ||
| Total Workload / 25 (h) | 6,28 | ||
| ECTS | 6 ECTS | ||