Dokuz Eylül University Information Package / Courses Catalog

Description of Individual Course Units

Course Unit Code	Course Unit Title	Type Of Course	D	U	L	ECTS
IKT 6057	ADVANCED ECONOMETRIC APPLICATIONS	ELECTIVE	3	0	0	8

Offered By

Economics

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

PROFESSOR RECEP KÖK

Offered to

Economics

Course Objective

To internalize models that explain economic theory with the help of advanced econometric analysis techniques and discuss findings of applied literature.

Learning Outcomes of the Course Unit

1	To be able to define models which are parallel to objective functions oriented to explaining economics models while seperating econometric models
2	To be able to internalize and search econometric models that are parallel to developments in economic theory
3	To be able to define data analysis (time series, cross section, pool data, etc.) which are consistent with theories explaining researh subject and get effective estimators directed to policy making
4	To be able to develop forecastings which are parallel to researcher s objective function
5	To be able to discuss criticisms about econometric models and compare evonometric models

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week	Subject	Description
1	Mathematical Concepts
2	Simultaneous equation systems: Hausmann Test
3	VAR I(1)
4	VAR I(2)
5	Panel (non-stationary) and Panel Unit Root Tests
6	Panel Cointegration
7	Partial Cointegration
8	MIDTERM EXAM
9	GMM
10	Dynamic Panel and ARDL
11	SUR
12	POOL
13	High-Frequency Time Series Analysis Techniques
14	Delayed volatility models: GARCH, ARCH

Recomended or Required Reading

Kök, R. & E. Deliktaş (2003), Endüstri Iktisadında Verimlilik Ölçme ve Strateji Geliştirme Teknikleri, Izmir.
Christian Gourierous,Joann Jasiak,Financial Econometrics: Problems, Models, and Methods, Princeton Series in Finance,2001.
Chris Brooks, Introductory Econometrics for Finance, Cambridge University Press, 2008.
Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi Teo Ja i , Financial Econometrics: From Basics to Advanced Modeling Techniques,2007.
Carol Alexander, Practical Financial Econometrics,2008
Carol Alexander, Quantitative Methods in Finance,2008
Carol Alexander, Value at Risk Models,2008.
Terence C. Mills ve Raphael N. Markellos, The Econometric Modelling of Financial Time Series,2008.
Referances: The publications(SSCI, Econlit vb.) based on economic and econometric methods.

Planned Learning Activities and Teaching Methods

Expression, as well as classroom lessons and discussions about the cases, in accordance with the theoretical framework will be supported by each topic in computer applications in econometrics

Assessment Methods

SORTING NUMBER	SHORT CODE	LONG CODE	FORMULA
1	MTE	MIDTERM EXAM
2	STT	TERM WORK (SEMESTER)
3	FIN	FINAL EXAM
4	FCG	FINAL COURSE GRADE	MTE * 0.25 + STT * 0.25 + FIN* 0.50
5	RST	RESIT
6	FCGR	FINAL COURSE GRADE (RESIT)	MTE* 0.25 + STT * 0.25 + RST* 0.50

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

English

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

recep.kok@deu.edu.tr

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities	Number	Time (hours)	Total Work Load (hours)
Lectures	13	3	39
Preparations before/after weekly lectures	13	3	39
Preparation for midterm exam	1	20	20
Preparation for final exam	1	30	30
Reading	2	15	30
Preparing assignments	2	15	30
Final	1	4	4
Midterm	1	3	3
TOTAL WORKLOAD (hours)			195

Contribution of Learning Outcomes to Programme Outcomes

PO/LO	PO.1	PO.2	PO.3	PO.4	PO.5	PO.6	PO.7	PO.8	PO.9
LO.1	5	5	5	5	5	5	5	5	5
LO.2	5
LO.3
LO.4	5
LO.5	5

COURSE UNIT TITLE

DEGREE PROGRAMMES

Description of Individual Course Units

Offered By

Level of Course Unit

Course Coordinator

Offered to

Course Objective

Learning Outcomes of the Course Unit

Mode of Delivery

Prerequisites and Co-requisites

Recomended Optional Programme Components

Course Contents

Recomended or Required Reading

Planned Learning Activities and Teaching Methods

Assessment Methods

Further Notes About Assessment Methods

Assessment Criteria

Language of Instruction

Course Policies and Rules

Contact Details for the Lecturer(s)

Office Hours

Work Placement(s)

Workload Calculation

Contribution of Learning Outcomes to Programme Outcomes

CONTACT INFORMATION