BA6507 APPLIED TIME SERIES AND PANEL DATA ANALYSIS
| Course Code: | 3126507 |
| METU Credit (Theoretical-Laboratory hours/week): | 3 (3.00 - 0.00) |
| 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 Objectives
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