Checking date: 02/04/2019


Course: 2019/2020

Quantitative Methods II
(17166)
Study: Master in Business and Finance (69)
EPE


Coordinating teacher: LOPES MOREIRA DA VEIGA, MARIA HELENA

Department assigned to the subject: Department of Statistics

Type: Compulsory
ECTS Credits: 5.0 ECTS

Course:
Semester:




Students are expected to have completed
Statistics, Quantitative Methods I
Competences and skills that will be acquired and learning results.
Models with discrete dependent variables and applications of panel data methods in all fields of economics have become increasingly important. This course starts with a brief review of concepts previously carried out in other courses of the program and focuses afterwards mainly on the methodological and empirical issues concerning the analysis of cross section and panel data in the specific context of economic models. Selected topics in time series analysis, especially topics of importance for the panel data analysis of dynamic models, will also be discussed. On satisfactory completion of this course, students will be provided with a number of sophisticated econometric tools which are of use in advanced empirical research or professional work.
Description of contents: programme
Chapter1. Endogeneity of Regressors 1.1 Stochastic regressors and the properties of OLS estimators 1.2 Measurement errors in the variables 1.3 Simultaneous equation bias 1.4 Instrumental variables 1.5 Testing for endogeneity Chapter 2. Models with Discrete Dependent Variables 2.1 Models for binary choice 2.2 Estimation and inference in binary choice models 2.3 Multinomial models 2.4 A Poisson model for count data Chapter 3. Limited Dependent Variable Models 3.1 The truncated regression model 3.2 The censored regression model Chapter 4. Panel Data 4.1 Basic panel data models 4.2 Estimation and testing methods for random and fixed effect models 4.3 Estimating Standard Errors in Finance Panel Data Sets
Learning activities and methodology
The course is organized in theoretical classes whose materials are slides and problem sets for consolidation of concepts. In addition there are several laboratory sessions where students will use STATA.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Basic Bibliography
  • Greene, W.H.. Econometrics Analysis.. Prentice-Hall. (Library code: D 330.43 GRE).
  • Creel, M.. Econometrics.. Available at http://pareto.uab.es/mcreel/Econometrics/econometrics.pdf.
  • Hayashi, F.. Econometrics.. Princeton University Press. (Library code: D 330.43 HAY)..
  • Wooldridge, J.M.. Introductory Econometrics: A Modern Approach.. South Western College Publishing (Library code: D 330.43 WOO)..

The course syllabus and the academic weekly planning may change due academic events or other reasons.