Econometrics

The aim of the lecture is to teach students so that they are able: 1. to use econometric modelling tools in estimating the strength and direction of economic relationships, 2. to use time-series models in analyzing the dynamic response of the economy to structural shocks, 3. to use econometric models in macroeconomic forecasting, 4. to work with advanced econometric software packages (e.g. R-project, Stata), 5. to conduct an econometric research project.

See the semester schedule.

Literatura podstawowa:

1. Course materials

2. R.C. Hill, W.E. Griffiths, G.C. Lim, 2012. Principles of Econometrics, Wiley

3. J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, 2nd Edition, MIT 2010.

4. M. H. Pesaran, Time series and panel data econometrics. Oxford, 2015.

5. Alistair Dieppe, Romain Legrand and Björn van Roye, 2016. The BEAR toolbox, ECB WP 1934

Literatura uzupełniająca:

1. Ca' Zorzi M., Kolasa M., Rubaszek M., 2017. Exchange rate forecasting with DSGE models, Journal of International Economics 107: 127-146

2. M. Rubaszek (red.), 2020, Skrypt do przedmiotu ""Ekonometria I"", Warszawa, http://web.sgh.waw.pl/~mrubas/Econometrics/pdf/EI_TallPL.pdf

Wiedza: Knowledge of research on the use of panel data in economics; Knowledge of research on the use of time series models in economics; Knowledge of research on forecasting

Umiejętności: Ability to use panel data models to analyze economic processes; Ability to use time series models to analyze economic processes; Ability to conduct forecast evaluation

Kompetencje społeczne: Critical evaluation of the results of research conducted with the use of econometric models; Better understanding of the role of economics for society

inne: 0; egzamin ustny: 0; kolokwium: 0; referaty/eseje: 0,70; egzamin tradycyjny-pisemny: 0; ćwiczenia: 0,10; egzamin testowy: 0,20