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Information
| Unit | FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES |
| ECONOMETRICS PR. | |
| Code | EKMZ404 |
| Name | Applied Econometrics II |
| Term | 2019-2020 Academic Year |
| Semester | 8. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 4 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Lisans Dersi |
| Type | Normal |
| Label | C Compulsory |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. MEHMET ÖZMEN |
| Course Instructor |
Prof. Dr. MEHMET ÖZMEN
(Bahar)
(A Group)
(Ins. in Charge)
Prof. Dr. MEHMET ÖZMEN (Bahar) (B Group) (Ins. in Charge) |
Course Goal / Objective
It has been aimed to model economic relations by using econometric methods, their computer based applications and interpret the models.
Course Content
DF and ADF unit root tests, Engel-Granger and Johansen cointegration tests, estimation of VEC model, estimation of ARIMA models, estimation of VAR model
Course Precondition
Resources
Notes
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Builds a macroeconomic model |
| LO02 | Investigates time series properties of the variables involved in the model. |
| LO03 | Estimates a proper model and evaluates estimation results. |
| LO04 | Analyzes short and long term relationships between variables. |
| LO05 | Analyzes short and long term relationships between variables and discusses student estimation results for a model of Turkish economy. |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | - | Explains Econometric concepts | 5 |
| PLO02 | - | Acquires basic Mathematics, Statistics and Operation Research concepts | 4 |
| PLO03 | - | Equipped with the foundations of Economics, and develops Economic models | 4 |
| PLO04 | - | Describes the necessary concepts of Business | 0 |
| PLO05 | - | Models problems with Mathematics, Statistics, and Econometrics | 4 |
| PLO06 | - | Estimates the model consistently and analyzes & interprets its results | 4 |
| PLO07 | - | Acquires the ability to analyze, benchmark, evaluate and interpret at conceptual levels to develop solutions to problems | 4 |
| PLO08 | - | Collects, edits, and analyzes data | 5 |
| PLO09 | - | Uses a package program of Econometrics, Statistics, and Operation Research | 5 |
| PLO10 | - | Effectively works, take responsibility, and the leadership individually or as a member of a team | 4 |
| PLO11 | - | Awareness towards life-long learning and follow-up of the new information and knowledge in the field of study | 3 |
| PLO12 | - | Develops the ability of using different resources in the form of academic rules, synthesis the information gathered, and effective presentation in an area which has not been studied | 4 |
| PLO13 | - | Uses Turkish and at least one other foreign language, academically and in the business context | 3 |
| PLO14 | - | Good understanding, interpretation, efficient written and oral expression of the people involved | 3 |
| PLO15 | - | Improves himself/herself constantly by defining educational requirements considering interests and talents in scientific, cultural, art and social fields besides career development | 0 |
| PLO16 | - | Questions traditional approaches and their implementation while developing alternative study programs when required | 4 |
| PLO17 | - | Recognizes and implements social, scientific, and professional ethic values | 2 |
| PLO18 | - | Follows actuality, and interprets the data about economic and social events | 4 |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | İntroduction to time series | Reading | |
| 2 | Some Basic Concepts, Difference Equations, White Noise Process, AR, MA, ARMA and ARIMA models | Readings ,Problem Set and Application | |
| 3 | Box-Jenkins Forecasting Models (application) | Readings ,Problem Set and Application | |
| 4 | Random Walk Hypothesis, deterministic and stochastic trend, superious regression | Readings ,Problem Set and Application | |
| 5 | Non-Stationary Stochastic Processes | Readings ,Problem Set and Application | |
| 6 | Elimination of Time Series Trend: The Difference and Trend Stationarity Processes | Readings ,Problem Set and Application | |
| 7 | Testing of Stationarity , Stationarity Testing with the help of Autocorrelation Function (ACF) | Readings ,Problem Set and Application | |
| 8 | Mid-Term Exam | Studying the course content | |
| 9 | Testing of Stationarity with help of partial autocorrelation function (PACF), the Q statistic, LB, IDW | Readings ,Problem Set and Application | |
| 10 | Unit Root Tests for Stationarity: DF, ADF, PP, KPSS, DF-GLS, etc. and applications | Readings ,Problem Set and Application | |
| 11 | VAR analysis and applications | Readings ,Problem Set and Application | |
| 12 | Cointegration (co-integration) Analysis Introduction to Testing the Existence of co-integration | Readings ,Problem Set and Application | |
| 13 | Engle-Granger test, Engle-Granger and Yoo Approach, Johansen trace test statistic and the maximum eigenvalue statistics | Readings ,Problem Set and Application | |
| 14 | Error Correction Models and Applications | Readings ,Problem Set and Application | |
| 15 | Causality Analysis, Variance Decomposition and Impulse Response applications related functions | Readings ,Problem Set and Application | |
| 16 | Term Exams | Studying the whole course content | |
| 17 | Term Exams | Studying the whole course content |
Assessment (Exam) Methods and Criteria
| Assessment Type | Midterm / Year Impact | End of Term / End of Year Impact |
|---|---|---|
| 1. Midterm Exam | 100 | 20 |
| General Assessment | ||
| Midterm / Year Total | 100 | 20 |
| 1. Final Exam | - | 80 |
| Grand Total | - | 100 |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 3 | 42 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 3 | 42 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 7 | 7 |
| Final Exam | 1 | 18 | 18 |
| Total Workload (Hour) | 109 | ||
| Total Workload / 25 (h) | 4,36 | ||
| ECTS | 4 ECTS | ||