Information Package
baskent.edu.tr

Program of Economics (English)

ECO441

APPLIED ECONOMETRICS I

Course Code
ECO441
Semester
-
Theory+Practice
3 + 0
ECTS
5
Course TypeElective Course
Course LevelBachelor's Degree
Year of Study-
Semester-
ECTS5
Name of Lecturer(s)
Learning Outcomes

At the end of this course, the students;

  1. Use time series econometric analysis techniques in the analysis of economic problems.
  2. Able to forecast time series variables
  3. Apply different econometric analysis methods through the Stata package program.
Mode of DeliveryFace to face
PrerequisitesNo
Recommended Optional Programme ComponentsNone
Course DescriptionIn this course, AR and MA processes, AR and MA signatures in data, ARMA forecasting, the concept of unit root and stationarity, unit root tests, ARIMA forecasting, Engle Granger cointegration analysis, Pesaran?s Bounds test for cointegration, Hodrick-Prescott Filter, Baxter-King Filter, Winters Filter, and structural time series analysis of Unobserved Components Model (UCM) are discussed.
Course Contents
WEEK TOPICS
1st Week Introduction to Stata; AR and MA processes and signatures
2nd Week ARMA process and forecasting
3rd Week Unit root and stationarity
4th Week Unit root tests (DF, ADF,PP, KPSS, DFGLS)
5th Week ARIMA process and forecasting
6th Week Cointegration
7th Week Midterm
8th Week Engle Granger cointegration analysis and Error Correction Model (ECM)
9th Week Hodrick-Prescott Filter
10th Week Baxter-King Filter
11th Week Winters Filter
12th Week Unobserved Components Model (UCM)
13th Week ARDL Models
14th Week Pesaran's Bounds test for cointegration
Recommended or Required ReadingDamodar N. Gujarati and Dawn C. Porter, Basic Econometrics, 5th Edition. McGraw-Hill/Irwin.
Jeffrey M. Wooldridge, Introductory Econometrics: Modern Approach, 5th Edition. South-Western, Cengage Learning.
Lee C. Adkins and R. Carter Hill, Using Stata for Principles of Econometrics, 4th Edition. John Wiley & Sons, Inc.
R. Carter Hill, William E. Griffiths and Guay C. Lim, Principles of Econometrics, 4th Edition. John Wiley & Sons, Inc.
Planned Learning Activities and Teaching Methods
  • Lecture
  • Discussion
  • Problem Solving
Assessment Methods and Criteria
Quantity Percentage (%)
Mid-term 1 15
Project 1 30
Attendance 1 15
Total(%) 60
Contribution of In-term Studies to Overall Grade(%) 60
Contribution of Final Examination to Overall Grade(%) 40
Total(%) 100
ECTS Allocated Based on Student Workload
Activities Quantity Duration (Hour) Total Workload (Hour)
Midterm exam 1 1.5 1.5
Preparation for Quiz 0 0 0
Individual or group work 14 3 42
Preparation for Final exam 1 30 30
Course hours 14 2 28
Preparation for Midterm exam 1 25 25
Laboratory (including preparation) 14 1 14
Final exam 1 1.5 1.5
Homework 1 5 5
Total Work Load147
Total Work Load / 30 (h)4.9
ECTS Credit of the Course5
Language of InstructionEnglish
Work Placement(s)No

Programme Qualifications / Learning Outcomes

LO1 LO2 LO3
K1 X
K2
K3
K4
K5 X X
K6
K7 X X X
K8 X X
K9 X
K10
K11
K12
K13