Professor:
Department:
Department of Economics
Program:
МА «Финансовая экономика»;
MA «Исследовательская экономика»
Semester:
2
Credits:
4
Course description
The main objective of this course is to introduce students to basic econometrics techniques of working with data that have the time dimension and to prepare them for their own applied work using this type of data. In this course students will learn time series analysis (unit root tests, ARIMA models, vector autoregression, cointegration (Engle-Granger procedure and Johansen methodology)) and basic panel data models. While studying different statistical methods, students apply them to real data in EViews and Stata software packages.
Topics
Literature
- Greene W. H., Econometric Analysis. Prentice Hall, 2011.
- Verbeek M. A Guide to Modern Econometrics, 3d ed. Wiley, 2008.
- Wooldridge J. M. Introductory Econometrics — Modern Approach. South-Western College Publishers, 2015.