Cursos / 1º Ciclo / Faculty of Economy and Business Management :: Economics

Versao Portuguesa

ECONOMETRIA - 2018/2019

2º curricular year
Semestralidade: 2nd semester
ECTS: 6

Teachers

Leading Teacher: Prof. Doutor Francisco Vitorino Martins
Assistant Professor: Prof. Doutor Francisco Vitorino Martins

Class type and School hours

Orientação Tutorial : 1 Horas
Teórico-prática : 2 Horas

Main Aims/Objectives

The main objectives of this undergraduate course in Economics are to prepare the students for the procedures of measurement and validation of econometric models, and to practice applied econometric models. With this course students learn to build and analyse econometric models.

Specific Aims/Objectives

Students must understand: 1) the structure of econometric models and their hypothesis; 2) databases and the use of metric and qualitative variables; 3) measurement of economic parameters (estimation methods); 4) tests of hypothesis and explicative variables selection; 5) forecasting and simulation; 6) the use of specialized software (Eviews).

Skills to be acquired

1) To read and to interpret econometric models published in the specialized literature.
2) To build econometric models for developing applied economic studies.
3) Initiation to research in economics.
4) To understand the value of economic information systems and their methodological interest (databases, samples).
5)To use professional software - EVIEWS - for economic and econometric analysis.

Teaching Procedures

The methodology of teaching and learning is based on the study of theory, exercises (technical and applied) and in the case study method through specialized software.
Students must do, autonomously, practical exercises, analyse estimated econometric models proposed by the teacher, and build databases and econometric models through specialized software.

Programme

Introduction
1. Uses of Econometrics
2. The object of Econometrics
3. The methodology of Econometrics
4. Dificulties of formalisation

1. The Classical Multiple Linear Regression Model
1.1 Estimation
1.1.1 Population Regression Function (PRF) and Sample Regression Function (SRF)
1.1.2 Simple Linear Regression Model
1.1.3 Least Squares Method (LS). Coefficients estimation
1.1.4 Non linear models
1.1.5 Properties of the sample regression function
1.1.6 Coefficient of determination
1.1.7 Hypothesis of the Classical Multiple Linear Regression Model
1.1.8 Properties of the coefficients Least Squares estimators
1.1.9 Errors variance estimator. Properties
1.1.10 Dummy variables. Codification and coefficients variation

1.2 Statistical Inference
1.2.1 Probability distributions related to the coefficients and errors variance estimators
1.2.2 Confidence intervals for coefficients and errors variance
1.2.3 Individual test of coefficients. Individual significance test
1.2.4 Test of global significance
1.2.5 Test of variables´ addition (subset of coefficients)
1.2.6 Test of linear combination of coefficients
1.2.7 Test of structure permanence (Chow)

1.3 Forecasting
1.3.1 Forecasting of the dependente variable value. Hypothesis
1.3.2 Point and interval forecasting. Forecasting error probability distribution
1.3.3 Ex-ante and ex-post forecasting. Indicators.

2. Autocorrelation
2.1 The concept of autocorrelation
2.2 Estimation by Ordinary Least Squares (OLS) : consequences
2.3 Durbin-Watson statistic
2.4 Test of autocorrelation of Breusch-Godfrey
2.5 Parametrs estimation by OLS with correction of Newey-West and Non Linear Least Squares (NLLS)

3. Heteroscedasticity
3.1 The concept of heteroscedasticity
3.2 Tests of heteroscedasticity of White
3.3 Estimation of the parametrs by OLS with White correction and Weighted Least Squares (WLS)

Evaluation Type

2 tests and a global exam

Teaching Resources

Software Eviews and other common resources of the classroom, namely computers.

Keywords

Econometrics
Multiple Regression
Least Squares Method
Estimation
Tests and inference
Forecasting and simulation
Autocorrelation
Heteroscedasticity
EVIEWS

Main Bibliography

Author M. Mendes de Oliveira, F. Vitorino Martins et al.
Title Econometria
Place Lisboa
Editor Mc Graw-Hill
Year 1997
Author Gujarati
Title Basic Econometrics
Place New York
Editor Mc Graw-Hill
Year 2003
Author Kmenta
Title Elements of Econometrics
Edition 2nd edition
Place New York
Editor Maxwell MacMillan
Year 1990