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Information
| Unit | INSTITUTE OF SOCIAL SCIENCES |
| ECONOMETRICS (MASTER) (WITH THESIS) | |
| Code | IEM704 |
| Name | Applied Econometrics II |
| Term | 2024-2025 Academic Year |
| Term | Fall and Spring |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 6 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Yüksek Lisans Dersi |
| Type | Normal |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Prof. Dr. MEHMET ÖZMEN |
| Course Instructor |
The current term course schedule has not been prepared yet.
|
Course Goal / Objective
The goal of this course is to enable students to analyze financial and economic data using Eviews econometric software and to apply appropriate econometric techniques to data.
Course Content
This course includes the topics of DF and ADF unit root tests, Engle-Granger and Johansen cointegration tests, estimation of VEC model, estimation of ARIMA models, estimation of VAR model.
Course Precondition
None
Resources
Gujarati, D. N. and Porter, D. C. (2012). Temel Ekonometri. Translation from 5th Edition (Ümit Şenesen, Gülay Günlük Şenesen), Literatür Publishing, İstanbul.
Notes
Sevüktekin, M. and Nargeleçekenler, M. (2010). Ekonometrik Zaman Serileri Analizi - Eviews Uygulamalı. 3rd Edition, Nobel Publishing.
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Building macroeconomic models using Eviews software |
| LO02 | Revealing the time series properties of the variables involved in the model |
| LO03 | Evaluating econometric estimation results |
| LO04 | Analyzing short and long term relationships between variables |
| LO05 | Discussing model estimation results obtained using data for Turkey |
| LO06 | Carrying out DF, ADF, KPSS and PP unit root tests |
| LO07 | Explaining the concepts of cointegration and error correction mechanism |
| LO08 | Describing the dynamic relationships between variables |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Explains contemporary concepts about Econometrics, Statistics, and Operation Research | 4 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Explains relationships between acquired knowledge about Econometrics, Statistics, and Operation Research | 3 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explains how to apply acquired knowledge in the field to Economics, Business, and other social sciences | 3 |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | 5 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 5 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field of research | |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Searches for new approaches and methods to solve problems being faced | 4 |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | 5 |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Collects/analyzes data in a purposeful way | 5 |
| PLO12 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | 4 |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops solutions for organizations using Econometrics, Statistics, and Operation Research | 5 |
| PLO14 | Beceriler - Bilişsel, Uygulamalı | Uses a package program/writes a new code for Econometrics, Statistics, and Operation Research | 5 |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs an individual work to solve a problem with Econometrics, Statistics, and Operation Research | 4 |
| PLO16 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | 4 |
| PLO17 | 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 | 3 |
| PLO18 | 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 | |
| PLO19 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues | 4 |
| PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Introduction to Time Series | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21) | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Soru-Cevap |
| 2 | Some Basic Concepts, Difference Equations, White Noise Process, AR, MA, ARMA and ARIMA models | Gujarati and Porter (2012) - Temel Ekonometri (Chapters 21-22) | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması, Problem Çözme |
| 3 | Box-Jenkins Forecasting Models (application) | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Deney / Laboratuvar |
| 4 | Random Walk Hypothesis, Deterministic and Stochastic Trend, Spurious Regression | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Problem Çözme |
| 5 | Non-Stationary Stochastic Processes | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Problem Çözme |
| 6 | Elimination of Time Series Trend: The Difference and Trend Stationarity Processes | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması |
| 7 | Testing of Stationarity, Stationarity Testing Using Autocorrelation Function (ACF) | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 21), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması, Deney / Laboratuvar |
| 8 | Mid-Term Exam | Studying the course content | Ölçme Yöntemleri: Ödev, Proje / Tasarım, Yazılı Sınav |
| 9 | Testing of Stationarity Using Partial Autocorrelation Function (PACF), Q Statistic, LB, IDW | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması, Problem Çözme |
| 10 | Unit Root Tests for Stationarity: DF, ADF, PP, KPSS, DF-GLS, etc. and applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Deney / Laboratuvar |
| 11 | VAR Analysis and Applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Deney / Laboratuvar, Tartışma |
| 12 | Introduction to Cointegration Analysis, Testing the Existence of Cointegration | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Problem Çözme, Soru-Cevap |
| 13 | Engle-Granger Test, Engle-Granger and Yoo Approach, Johansen Trace Test Statistic and the Maximum Eigenvalue Statistics | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Deney / Laboratuvar |
| 14 | Error Correction Models and Applications | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması, Deney / Laboratuvar |
| 15 | Causality Analysis, Variance Decomposition and Applications Related to Impulse Response Functions | Gujarati and Porter (2012) - Temel Ekonometri (Chapter 22), Problem Set and Application | Öğretim Yöntemleri: Anlatım, Alıştırma ve Uygulama, Grup Çalışması, Tartışma |
| 16 | Final Exam | Studying the course content | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Final Exam | Studying the course content | Ölçme Yöntemleri: Yazılı Sınav |
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 | 5 | 70 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 15 | 15 |
| Final Exam | 1 | 30 | 30 |
| Total Workload (Hour) | 157 | ||
| Total Workload / 25 (h) | 6,28 | ||
| ECTS | 6 ECTS | ||