Applied Econometrics

General

• Code: 853
• Semester: 8th
• Study Level: Undergraduate
• Course type: Specialization
• Teaching and exams language: Greek
• Teaching Methods (Hours/Week): Lectures and Practice Works (3)
• ECTS Units: 6
• Course homepage: https://elearning.cm.ihu.gr/course/view.php?id=116
• Instructors: Polychronidou Persefoni
• Exams Schedule:
  • 06/09/2024, 13:00 - 15:00: Πολυχρονίδου

Course Contents

1. Basic concepts in time series analysis.
2. ARIMA models.
3. ARCH-GARCH models.
4. VAR models.
5. Non-stationarity. Unit root tests.
6. Cointegration.
7. Identification.
8. Solving models.
9. Time-varying coefficient models.
10. Models with panel data.
11. Dynamically heterogeneous panels.
12. Non-stationary panels.
13. Case studies.

Educational Goals

The purpose of the course is for students to fully understand the possibilities of an econometric model for the interpretation of various economic phenomena. Depending on each considered case, students will be able to specialize in the appropriate model.

Upon successful completion of the course, the student will be able to:

• Acquire skills in using computer programs to perform econometric applications.
• Acquire knowledge of advanced econometric models.
• Specialize in time series analysis techniques.

General Skills

• Independent work.
• Team work.
• Decision making.
• Production of free, creative and inductive thinking.

Teaching Methods

• In the classroom, face to face.

Use of ICT means

• Basic software (windows, word, power point, the web, etc.).
• Support of learning process through the electronic platform / e-class.

Teaching Organization

Students Evaluation

Written final exams (60%) that may include:

• Judgemental questions.
• Short answer questions.
• Application exercises.
• True/false and multiple choice questions.
• Composite theoratical questions.

In each question, corresponding evaluation points are specified.
Optional assignment (Essay writing and presentation) corresponds to 40% of the final grade.

Recommended Bibliography

1. Κατρακυλίδης Κωνσταντίνος, Κοντέος Γεώργιος, Σαριαννίδης Νικόλαος, Εισαγωγή στη σύγχρονη οικονομετρική ανάλυση, εκδ. Αλέξανδρος ΙΚΕ, 2017.
2. Gujarati, Οικονομετρία, Αρχές και Εφαρμογές, εκδ. Α. Τζιόλα & Υιοί Α.Ε., 2012.

Related Research Journals

• Journal of Econometrics.
• Econometrics.
• The Econometrics Journal.
• Journal of Forecasting.