TÜRKÇE
ENGLISH
Information
| Code | EKMZ404 |
| Name | Applied Econometrics II |
| Term | 2022-2023 Academic Year |
| Semester | 8. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 4 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Lisans Dersi |
| Type | Normal |
| Label | C Compulsory |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. MEHMET ÖZMEN |
| Course Instructor |
Prof. Dr. MEHMET ÖZMEN
(A Group)
(Ins. in Charge)
Prof. Dr. MEHMET ÖZMEN (B Group) (Ins. in Charge) |
Course Goal / Objective
The goal of this course is to enable students to analyze financial and economic data using Eviews econometric software and to apply appropriate econometric techniques to data.
Course Content
This course includes the topics of 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
None
Resources
Gujarati, D. N. and Porter, D. C. (2012). Temel Ekonometri. Translation from 5th Edition (Ümit Şenesen, Gülay Günlük Şenesen), Literatür Publishing, İstanbul.
Notes
Sevüktekin, M. and Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi - Eviews Uygulamalı. 3rd Edition, Nobel Publishing.
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Building macroeconomic models using Eviews software |
| LO02 | Revealing the time series properties of the variables involved in the model |
| LO03 | Evaluating econometric estimation results |
| LO04 | Analyzing short and long term relationships between variables |
| LO05 | Discussing model estimation results obtained using data for Turkey |
| LO06 | Carrying out DF, ADF, KPSS and PP unit root tests |
| LO07 | Explaining the concepts of cointegration and error correction mechanism |
| LO08 | Describing the dynamic relationships between variables |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Explain the basic concepts and theorems in the fields of Econometrics, Statistics and Operations research | 4 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Acquires basic Mathematics, Statistics and Operation Research concepts | 3 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Describes the necessary concepts of Business | |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Equipped with the foundations of Economics, and develops Economic models | 5 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Has the ability to analyze/interpret at the conceptual level to develop solutions to problems | 5 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Collects/analyses data | 5 |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Interprets the results analyzed with the model | 5 |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Combines the information obtained from different sources within the framework of academic rules in a field which does not research | 4 |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | It develops traditional approaches, practices and methods into new working methods when it deems necessary | 4 |
| PLO11 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | 4 |
| PLO12 | Yetkinlikler - Öğrenme Yetkinliği | In addition to herself/himself professional development, constantly improves in scientific, cultural, artistic and social fields in line with interests and abilities | |
| PLO13 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in its field. | 3 |
| PLO14 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research | 5 |
| PLO15 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses Turkish and at least one other foreign language, academically and in the business context | |
| PLO16 | 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 | |
| PLO17 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on current economic and social issues | 5 |
| PLO18 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Introduction to Time Series Econometrics | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 2 | Some Basic Concepts; Difference Equations; White Noise Process; AR, MA, ARMA and ARIMA models | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22) | |
| 3 | Box-Jenkins Forecasting Models (Application) | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22) | |
| 4 | Random Walk Hypothesis, Deterministic and Stochastic Trend, Superious Regression | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 5 | Non-Stationary Stochastic Processes | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 6 | Elimination of Time Series Trend: Difference and Trend Stationarity Processes | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 7 | Testing of Stationarity , Stationarity Testing with the help of Autocorrelation Function (ACF) | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 8 | Midterm Exam | Studying the course content | |
| 9 | Testing of Stationarity Using Partial Autocorrelation Function (PACF), Q Statistics | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 10 | Unit Root Tests for Stationarity: DF, ADF, PP, KPSS, DF-GLS etc. and Their Applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 11 | VAR Analysis and Applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22) | |
| 12 | Introduction to Cointegration Analysis, Testing the Existence of Cointegration | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | |
| 13 | Engle-Granger Test, Engle-Granger and Yoo Approach, Johansen Trace Test Statistic and Maximum Eigenvalue Statistic | Sevüktekin and Nargeleçekenler (2010) - Ekonometrik Zaman Serileri Analizi (Chapter 8) | |
| 14 | Error Correction Models and Applications | Sevüktekin and Nargeleçekenler (2010) - Ekonometrik Zaman Serileri Analizi (Chapter 8) | |
| 15 | Causality Analyses, Variance Decomposition and Impulse Response Function Applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 17, Chapter 21) | |
| 16 | Final Exam | Studying the whole course content | |
| 17 | Final Exam | Studying the whole course content |
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 | 3 | 42 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 7 | 7 |
| Final Exam | 1 | 18 | 18 |
| Total Workload (Hour) | 109 | ||
| Total Workload / 25 (h) | 4,36 | ||
| ECTS | 4 ECTS | ||