ECMZ404 Applied Econometrics II

4 ECTS - 3-0 Duration (T+A)- 8. Semester- 3 National Credit

Information

Code ECMZ404
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 İngilizce
Level Lisans Dersi
Type Normal
Mode of study Yüz Yüze Öğretim
Catalog Information Coordinator Dr. Öğr. Üyesi FELA ÖZBEY
Course Instructor Arş.Gör.Dr. SERA ŞANLI (A Group) (Ins. in Charge)


Course Goal / Objective

The aim of this course is to introduce students the time series econometrics methods in the analysis of financial and economic data using the Eviews package program.

Course Content

This course covers the topics of DF, ADF, KPSS, PP unit root tests; vector autoregression (VAR) analysis; Engle-Granger and Johansen cointegration tests; estimation of VEC model; ARIMA models; ARCH-GARCH models.

Course Precondition

None

Resources

Gujarati, Damodar N. (2004). Basic Econometrics. 4th Edition, McGraw-Hill Companies.

Notes

Enders, Walter. (2015). Applied Econometric Time Series. 4th Edition, Wiley. Kirchgassner, G., and Wolters, J. (2008). Introduction to Modern Time Series Analysis. Springer.


Course Learning Outcomes

Order Course Learning Outcomes
LO01 Implementing DF, ADF, KPSS, PP unit root tests using Eviews software
LO02 Explaining the concepts of cointegration and error correction mechanism
LO03 Estimating ARIMA models
LO04 Examining the dynamic relationships between variables in details
LO05 Revealing the causality relationships between variables via Granger test
LO06 Illustrating impulse-response and variance decomposition analyses
LO07 Investigating the most suitable model for data via Box-Jenkins methodology
LO08 Modelling the volatility of financial time series


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 Bilgi - Kuramsal, Olgusal 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 follows the current developments in the field / constantly renews itself 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 Random walk hypothesis, Deterministic and stochastic trends, Stationarity and unit root concepts Gujarati (2004) - Basic Econometrics (Chapter 21) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
2 Non-stationary stochastic processes, Difference and trend stationary processes, Spurious regression, Autocorrelation function (ACF), Partial autocorrelation function (PACF), Q statistic Gujarati (2004) - Basic Econometrics (Chapter 21) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
3 DF, ADF, KPSS, PP, DF-GLS unit root tests and their applications Kirchgassner and Wolters (2008) - Introduction to Modern Time Series Analysis (Chapter 5); Gujarati (2004) - Basic Econometrics (Chapter 21) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
4 VAR analysis and its applications Gujarati (2004) - Basic Econometrics (Chapter 22) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
5 Introduction to cointegration analysis, Testing the presence of cointegration Gujarati (2004) - Basic Econometrics (Chapter 21) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
6 Engle-Granger test, Johansen cointegration test (Trace and Maximum Eigenvalue test statistics) Enders (2015) - Applied Econometric Time Series (Chapter 6) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
7 Error correction models and their applications Enders (2015) - Applied Econometric Time Series (Chapter 6) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
8 Midterm Exam Studying the course content Ölçme Yöntemleri:
Yazılı Sınav, Ödev, Proje / Tasarım
9 Causality analyses Gujarati (2004) - Basic Econometrics (Chapter 17) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
10 Impulse-response function and variance decomposition analysis applications Enders (2015) - Applied Econometric Time Series (Chapter 5) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
11 Estimation of AR, MA, ARMA and ARIMA models Gujarati (2004) - Basic Econometrics (Chapter 22) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
12 Box-Jenkins methodology and its applications Gujarati (2004) - Basic Econometrics (Chapter 22) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
13 Dynamic econometric models Gujarati (2004) - Basic Econometrics (Chapter 17) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
14 ARCH-GARCH models Gujarati (2004) - Basic Econometrics (Chapter 22) Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
15 A repetition on Eviews applications regarding all course contents prior to final exam Studying the whole content of the course Öğretim Yöntemleri:
Anlatım, Alıştırma ve Uygulama
16 Final Exam Studying the whole content of the course Ölçme Yöntemleri:
Yazılı Sınav
17 Final Exam Studying the whole content of the course Ölçme Yöntemleri:
Yazılı Sınav


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

Update Time: 18.11.2022 03:06