BA6507 APPLIED TIME SERIES AND PANEL DATA ANALYSIS
| Course Code: |
3126507 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
10.0 |
| Department: |
Business Administration |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
Prof.Dr. RAMAZAN SARI |
| Offered Semester: |
Fall or Spring Semesters. |
Course Content
This course will cover the following materials in two parts. with an applied emphasis in finance and accounting. TIME SERIES: Data handling. Univariate time series. VARs and VECMs. Structural VAR modeling and Impulse Response Analysis. forecast error variance decomposition. Conditional Heteroscedasticity; PANEL DATA: One-way error component: fixed effects. random effects. Two-way error component: fixed effects. random effects. SUR. Nonstationary Panels: panel unit root. panel co-integration. estimation and inference in integrated panels. A statistical software package will be extensively used- i.e. Eviews. Microfit. RATS & CATS
