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Information
| Code | IEM1838 |
| Name | Asymptotic Theory II |
| Term | 2023-2024 Academic Year |
| Semester | . Semester |
| Duration (T+A) | 4-0 (T-A) (17 Week) |
| ECTS | 8 ECTS |
| National Credit | 4 National Credit |
| Teaching Language | Türkçe |
| Level | Doktora Dersi |
| Type | Normal |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. HÜSEYİN GÜLER |
Course Goal / Objective
The aim of this course is to bring the knowledge of asymptotic properties of some estimators used frequently in econometrics.
Course Content
This course is a continuation of Asymptotic Theory I, where further asymptotic properties of estimators used in econometrics is examined. In this direction, appropriate estimators and their asymptotic properties that are used in contemporary econometric models for multiple-equation systems, vector autoregressive processes, unit root tests, and co-integration analysis will be examined.
Course Precondition
None
Resources
Hayashi, F., Econometrics, Princeton University Press, 2000.
Notes
White, H., Asymptotic Theory for Econometricians, Elsevier, 1984
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Defines asymptotic properties of GMM for multiple-equation systems |
| LO02 | Lists special cases of GMM |
| LO03 | Defines AR, MA, and ARMA processes |
| LO04 | Defines vector autoregressive model |
| LO05 | Lists asymptotic properties of appropriate estimator for autocorrelated models |
| LO06 | Determines the asymptotic distribution of unit root test statistics |
| LO07 | Defines a suitable test statistic for testing cointegration |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Identify an econometric problem and propose a new solution to it | 4 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Develops new knowledge using current concepts in Econometrics, Statistics and Operations Research | 5 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explain for what purpose and how econometric methods are applied to other fields and disciplines | 3 |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Using her knowledge, brings original solutions to problems in Economics, Business Administration and other social sciences | 4 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Creates a new model using mathematics, statistics and econometrics knowledge to solve the problem encountered | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 3 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Collects data on purpose | |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field that does not research | |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | |
| PLO12 | Beceriler - Bilişsel, Uygulamalı | It researches current approaches and methods to solve the problems it encounters and proposes new solutions | 3 |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops long-term plans and strategies using econometric and statistical methods | 4 |
| PLO14 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs self-study using knowledge of Econometrics, Statistics and Operations to solve a problem | |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads the team by taking responsibility | |
| PLO16 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in the field of study | |
| PLO17 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | |
| PLO18 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research or writes a new code | |
| PLO19 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Interprets the feelings, thoughts and behaviors of the related persons correctly/expresses himself/herself correctly in written and verbal form | |
| PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values | |
| PLO21 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | GMM for multiple-equation systems and its asymptotic properties - 1 | Refer to textbook | Öğretim Yöntemleri: Anlatım |
| 2 | GMM for multiple-equation systems and its asymptotic properties - 2 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 3 | Special cases of GMM: 3SLS, SUR - 1 | Refer to textbook | Öğretim Yöntemleri: Anlatım |
| 4 | Special cases of GMM: 3SLS, SUR - 2 | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 5 | AR, MA, ARMA processes | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 6 | Vector autoregressive processes | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 7 | Estimation for autocorrelated models | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 8 | Mid-Term Exam | General review | Ölçme Yöntemleri: Yazılı Sınav |
| 9 | Asymptotic properties of sample mean for autocorrelated models | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 10 | Models with unit root: I(0), I(1), ARMA, and random walk models | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 11 | Models with unit root: Wiener process | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 12 | Models with unit root: Dickey-Fuller and Augmented Dickey-Fuller tests | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 13 | Co-integration: Spurious regression | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 14 | Co-integration: Testing for co-integration | Refer to textbook | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 15 | Co-integration: Error correction model | Refer to textbook | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama |
| 16 | Term Exams | General review | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Term Exams | General review | Ölçme Yöntemleri: Yazılı Sınav |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 4 | 56 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 8 | 112 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 2 | 4 | 8 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 12 | 12 |
| Final Exam | 1 | 24 | 24 |
| Total Workload (Hour) | 212 | ||
| Total Workload / 25 (h) | 8,48 | ||
| ECTS | 8 ECTS | ||