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Information
| Code | ECMS402 |
| Name | Econometric Models II |
| Term | 2024-2025 Academic Year |
| Semester | 8. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 6 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | İngilizce |
| Level | Lisans Dersi |
| Type | Normal |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. KENAN LOPCU |
| Course Instructor |
1 2 |
Course Goal / Objective
By the end of the course, students are expected to be completely mastered funfamental aspects of theTime Series Models, Univariate; Multivariate Time Series Models and be able to use different modelling methods in this regard.
Course Content
This course is the second of two semesters designed to provide students with the application of economic theory and econometric methods. A detailed overview of the econometric methods will be provided and the applications considered most useful will be presented. Economic inferences will be made with taking into account different data types and advanced estimation methods.
Course Precondition
No Prerequisites
Resources
Gujarathi, D. M. (2022). Gujarati: Basic Econometrics. McGraw-hill. Hamilton, J. D. (2020). Time series analysis. Princeton university press. Cameron, A. C., & Trivedi, P. K. (2010). Microeconometrics using stata (Vol. 2). College Station, TX: Stata press.
Notes
Lecture Notes
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Students grasp the fundamental methods of the Time Series Analysis |
| LO02 | Learn the estimation by using time series data |
| LO03 | Estimate the univariate and multivariate time series models |
| LO04 | Learns the necessary software for the estimation of the relevant time series models. |
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 | 3 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Acquires basic Mathematics, Statistics and Operation Research concepts | 4 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Describes the necessary concepts of Business | |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Equipped with the foundations of Economics, and develops Economic models | 4 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 3 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Has the ability to analyze/interpret at the conceptual level to develop solutions to problems | 4 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Collects/analyses data | 3 |
| PLO08 | Bilgi - Kuramsal, Olgusal | Interprets the results analyzed with the model | 4 |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Combines the information obtained from different sources within the framework of academic rules in a field which does not research | |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | It develops traditional approaches, practices and methods into new working methods when it deems necessary | 3 |
| PLO11 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | |
| 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 | 3 |
| PLO13 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it follows the current developments in the field / constantly renews itself | |
| PLO14 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research | 4 |
| PLO15 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses Turkish and at least one other foreign language, academically and in the business context | 3 |
| 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 | 4 |
| PLO17 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on current economic and social issues | |
| PLO18 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Time Series Models | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 2 | Time Series Models: a Classification 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 3 | Time Series Models: a Classification 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 4 | Univariate Time Series Models 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 5 | Univariate Time Series Models 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 6 | Multivariate Time Series Models 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 7 | Multivariate Time Series Models 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 8 | Mid-Term Exam | Ölçme Yöntemleri: Yazılı Sınav |
|
| 9 | Panel Data Models | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 10 | Modelling Time-Varying Volatility 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 11 | Modelling Time-Varying Volatility 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 12 | Univariate GARCH Models 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 13 | Univariate GARCH Models 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 14 | Multivariate GARCH Models 1 | Readings and problem set | Öğretim Yöntemleri: Anlatım |
| 15 | Multivariate GARCH Models 2 | Readings and problem set | Öğretim Yöntemleri: Anlatım, Problem Çözme |
| 16 | General application | problem set | Öğretim Yöntemleri: Alıştırma ve Uygulama |
| 17 | Term Exams | 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 | 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 | ||