DMCA - 008 - Econometria II

 

Créditos: 4

Ementa: Regressões com dados em Painel: Efeito fixo, efeito variável; Teste Hausman; Diff-and-Diff; Outros. Séries de Tempo: Método generalizado dos momentos; Processos ARMA; Vetores auto Regressivos; Processos univariados e raiz unitária; Raízes unitárias em séries de tempo multivariadas; Cointegração; Quebras estruturais - mudanças de regime.

Bibliografia:
DAVIDSON, R. & MACKINNON, J. Econometric theory and methods. Oxford University Press, 2003.
ENDERS, Walter. Applied econometric time series. 2. ed. EUA: Wiley, 2004.
GREENE, William H. Econometric Analysis. 3 ed. Prentice Hall, 1997.
HAMILTON, J. Time series analyses. Princeton University Press, 1994.
WOOLDRIDGE, J. Economic analysis of cross section and panel data. MIT press, 2001.
BAWVENS, Luc, LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. Multivariate models: a survey. Journal of Applied Econometrics, vol. 21, issue 1,
p.p. 79-109, 2006.
BOLLERSLEV, Tim, ENGLE, Robert F. & WOOLDRIGE, J. A Capital Asset Pricing Model with Time Varying Covariances. Journal of Political
Economy, vol. 96, n.º 1, p. 116-131, 1988. (MGARCH- M)
DICKEY, David & PANTULA, Wayne A. Determining the Order of Differencing in Autoregressive Processes. Journal of Business and Economic
Statistics, vol. 74, n.º 3, p. 599-607, 1984.
ELLIOTT, Graham, ROTHENBERG, Thomas J. & STOCK, James H. Efficient Tests for an Autoregressive Unit Root. Econometrica, vol. 64, pp. 813-
836, 1996.
ENGLE, Robert F. Dynamic Conditional Correlation: A Simple Class of Multivariate Models. Journal of Business and Economic Statistics, vol. 17, n.o
5, 2002.
FOX, A. J. Outliers in Time Series. Journal of Royal Statistical Society, n.º 3, p. 350-363, 1972.
HANSEN, Lars P. & SINGLETON, Kenneth J. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. The Journal of
Political Economy, vol. 91, n.o 2, pp. 249-265, 1983.
NEWEY, Whitney & WEST, Kenneth. Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, vol. 61, pp. 631-653,
1994.
NG, Serena & PERRON, Pierre. Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Econometrica, vol. 69, n.o
6, pp. 1519-1554, 2001.
PERMAN, Roger. Cointegration: An introduction to the literature. Journal of Economic Studies, vol. 18, n.º 3, p. 3-30, 1991.