Econometrics III

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Econometrics III

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Economics, Statistics

  • Language Level

    Taught In English

  • Course Level Recommendations

    Upper

    ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.

    Hours & Credits

  • ECTS Credits

    6
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    4
  • Overview

    COURSE OBJECTIVE
    Obtaining basic understanding of multivariate dynamic linear modeling and time series analysis and panel data. Understanding the introductory theory and practice of econometric analysis of stationary and non-stationary multivariate stochastic processes and panel data.

    COURSE CONTENT
    Econometrics III provides an introduction to multivariate dynamic models and time-series analysis. The course covers both theoretical and practical aspects of time-series econometrics including analysis of multivariate stationary and non-stationary processes, vector autoregressive (VAR) models, vector error correction models (VECMs), and cointegration tests. The course also introduces panel data models, methods and techniques.

    TEACHING METHODS 
    Lectures, solving/discussing both theoretical and practical exercises

    TYPE OF ASSESSMENT
    Exam (80%) and practical assignment (20%)

    ENTRY REQUIREMENTS
    Basics of statistics, probability, econometrics, algebra, and calculus

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Courses and course hours of instruction are subject to change.

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