Compulsory Course - 2nd Semester (Spring 1st year) | Course ID: 008 | E-Class

Lecturer

Dimitrios Moschos

Language of instruction

Greek

Course outline

• Panel data models: least squares estimator, fixed effects estimator, random effects estimator. Properties and selection of an appropriate estimator. Dynamic Panel models and estimation methods.
• The Maximum Likelihood Estimator:  Hypothesis testing and model selection.
• Discrete choice models: Qualitative (dichotomous or polychotomous) explanatory variables. Logit and Probit models and their estimation by the Maximum Likelihood Method.
• Time series models: Stationary and non-stationary series. Non-stationarity and unit roots. Statistical tests for unit roots in economic time series data.
• Models of stationary time series: Dynamic econometric models and long-run equilibrium.  Short-term multipliers (elasticities) and long-term multipliers and long-term multipliers (elasticities).  Models with autoregressive terms and explanatory variables with distributed time lags (Autoregressive Distributed Lag Models)
• Models with non-stationary time series: The spurious regression problem. Cointegration and long-run equilibrium.  Statistical tests of cointegration. Cointegration and Error Correction Models.
• Vector Autoregression Models and Vector Error Correction Models.
• Short and long-term Granger Causality.

Bibliography

• William H. Green, Econometric Analysis, 7^th edition, Essex, Pearson, 2012.
• Jack Johnston and John Dinardo, Econometric Methods, 4^th edition, McGraw-Hill, 1996.
• James H. Stock and Mark W. Watson, Introduction toEconometrics, 4^th edition, Pearson, 2020
• Fumio Hayashi, Econometrics, Princeton, NJ, Princeton University Press, 2000.
• Γεώργιος Κ. Χρήστου, Εισαγωγή στην Οικονομετρία, Α και Β Τόμος, Αθήνα, Gutenberg, 2004.
• Ηλίας Τζαβαλής, Οικονομετρία, Αθήνα, Έκδοση Οικονομικού Πανεπιστημίου Αθηνών, 2008

Assessment

Written assignment-examination in Greek (handed in before the written exams) and written exams after the end of the semester as well as a re-examination in September. The examination paper and the written examinations are of equal value. The answer to each question will receive a certain number of points explicitly specified.