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Information
| Code | ECMZ404 |
| Name | Applied Econometrics II |
| Term | 2024-2025 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 |
1 2 |
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 | ||