Computational Estimation Techniques
Objectives:
Learning outcomes:
Theory testing or empirical verification
Exercise of economic policy
Forecasting future values in economic variables
Skills:
Use of econometric software E-Views
Prerequisites:
Statistics - Econometrics
Content:
Time-series analysis [Introduction, Basic definitions, Spurious Regressions, Stationarity of time-series, Stationarity testing, Unit root, Unit root testing, (Augmented Dickey-Fuller, Dickey Fuller GLS (ERS), Phillips-Perron, Kwiatkowski-Phillips-Schmidt-Shin (KPSS), Elliot-Rothenberg-Stock Point Optimal Ng-Perron), Unit root test with structural breaks (Zivot-Andrews, Lumsdaine and Papelli)]
Cointegration (Definitions and meanings, Cointegration testing, Engel – Granger Testing, Johansen Testing, Phillips- Quliaris Testing, Park added variables, Hansen stability, Cointegration testing with structural breaks, Gregory – Hansen testing)
Error correction model (Error correction model with cointegration test F-test)
Causality (Definitions, Granger testing)
Panel Data testing
Unit Root tests (Levin-Lin-Chu,Breitung,Im-Pesaran-Shin,Fisher Hadri)
Cointegration tests (Pedroni, Kao, Maddala and Wu)
Textbooks:
Δημέλη. Σ. (2002). Σύγχρονες Μέθοδοι Ανάλυσης Χρονολογικών Σειρών, Αθήνα, Κριτική.
Συριόπουλος,Κ, Φίλιππας, Δ. (2010). Οικονομετρικά.Υποδείγματα, ΕκδόσειςΑνικούλα, Θεσσαλονίκη
Baltagi, Badi (2008). Econometric Analysis of Panel Data, John Wiley & Sons, U.K.
Ben Vogelvang (2005). Econometrics Theory and Applications with E-Views, Pearson Education Limited, England.
Assessment:
50% Written examination and 50% Written assignment
