COURSE UNIT TITLE

: PANEL TIME SERIES ANALYSIS

DEGREE PROGRAMMES

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
EKO 6113 PANEL TIME SERIES ANALYSIS ELECTIVE 3 0 0 6

Offered By

Econometrics

Level of Course Unit

Third Cycle Programmes (Doctorate Degree)

Course Coordinator

ASSOCIATE PROFESSOR MURAT TANIK

Offered to

Econometrics

Course Objective

The aim of this course is to provide students with advanced techniques required for panel time series.

Learning Outcomes of the Course Unit

1   Exploring time series properties in panel data
2   To examine panel unit root tests in panel time series.
3   Examining and predicting panel vector autoregressive models in panel time series.
4   To examine causality tests in panel time series.
5   To examine the cointegration properties in panel time series and to introduce the methods.
6   Examining and estimating Panel Error Correction Models in panel time series.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 Basic concepts 1
2 First Generation Panel Unit Root Tests: First Group Panel Unit Root Tests, Second Group Panel Unit Root Tests 2
3 Second Generation Panel Unit Root Tests: First Group Panel Unit Root Tests 3
4 Second Generation Panel Unit Root Tests Continued: Second Group Panel Unit Root Tests, Third Group Panel Unit Root Tests, Inter-unit Correlation Test 4
5 Real data-based applications for First and Second Generation Panel Unit Root Tests 5
6 Panel Vector Autoregressive Models: Homogeneous Panel VAR Models, Heterogeneous Panel VAR Models 6
7 Panel Causality Analysis: Causality Test for Homogeneous Panels, Causality Tests for Heterogeneous Panels. 7
8 Panel Cointegration Tests: First Generation Panel Cointegration Tests, Second Generation Panel Cointegration Tests. 8
9 Estimation of Panel Cointegration Model: First Generation Estimators; Second Generation Estimators. 9
10 Estimation of Panel Cointegration Model: Inter-Unit Correlation Tests, Homogeneity Tests 10
11 Real data based applications for Panel Cointegration Model 11
12 Estimation of Long and Short-Run Relationships (Panel Error Correction Model): First Generation Panel Error Correction Models 12
13 Estimation of Long- and Short-Run Relationships: Second Generation Panel Error Correction Models, Inter-Unit Correlation Tests, Homogeneity Tests 13
14 Real data based applications for Panel Error Correction Models 14

Recomended or Required Reading

Tatoğlu Ferda Yerdelen, Panel Zaman Serileri Analizi-Stata Uygulamalı, Beta Yayınları, Istanbul, 2017.
Baltagi, B., Econometric Analysis of Panel Data, John Wiley&Sons Ltd, England, 2005
Makaleler: M. Hashem Pesaran, A Simple Panel Unit Root Test In The Presence Of Cross-Section Dependence Journal Of Applied Econometrics, 22: 265 312 (2007)
J Westerlund , Testing For Error Correction In Panel Data Oxford Bulletin Of Economics And Statistics, 69, 6 (2007)
J Westerlund Panel Cointegration Tests Of The Fisher Effect Journal Of Applied Econometrics J. Appl. Econ. 23: 193 233 (2008)
Pesaran, M. H., Shin, Y. And Smith, R. J. (1999), Pooled Mean Group Estimation Of Dynamic Heterogeneous Panels, Journal Of The American Statistical Association, 94: 621 34.
Peter Pedroni Fully Modified Ols For Heterogeneous Cointegrated Panels Nonstationary Panels, Panel Cointegration And Dynamic Panels, Volume 15, Pages 93 130.

Planned Learning Activities and Teaching Methods

Lecture Method, Question and Answer Method, Discussion Method and Problem Solving Method

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 * 0.20 + STT* 0.40 + FIN* 0.40
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.20 + STT * 0.40 + RST* 0.40


Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
TOTAL WORKLOAD (hours) 0

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8PO.9
LO.1111121111
LO.2222111112
LO.3222111111
LO.4123222222
LO.5222222222
LO.6111111111

CONTACT INFORMATION
Dokuz Eylül Üniversitesi Cumhuriyet Bulvarı No: 144 35210 Alsancak / İZMİR
Phone: +90(232) 412 12 12 - Fax: +90 (232) 464 81 35

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