Econometric methods for regional market and policy analysis / Quantitative Methods for Regional Market and Policy Analysis

 

Instructor:

Evgenii V. Gilenko, Associate Professor, Department of Public Administration, Graduate School of Management, St. Petersburg University

e.gilenko@gsom.pu.ru

Workload:

5 ECTS,

45 contact hours

Prerequisites:

Econometrics-1

Course Description:

Many empirical questions in the modern economics and management depend on causal effects of state programs, policy interventions, and other factors. During the last three decades much research has been done on the econometric and statistical analysis of the effects of such programs or treatments. As economic phenomena and indicators evolve over time, this course is aimed at discussion of the modern tools to deal with time-series data. Thus, the purpose of this course is to provide students with a practical introduction to the modern instrumental methods for regional market and policy analysis. It should also be stressed that this course is method-oriented with applications to specific problems.

Course Content (Topics and subtopics):

Topic 1. Introduction to time-series econometrics.
Topic 2. Non-stationary time-series.
Topic 3. ARIMA-processes. The Box-Jenkins methodology.
Topic 4. Regression with non-stationary time-series. Cointegration.
Topic 5. Vector Autoregression (VAR).
Topic 6. Vector Error-Correction Models (VECM).

Course Organization:

Lectures, computer practices (in computer class using Stata software package), case studies, tests, group presentations, in-class discussions, assignments

Maximum number of students per group - не больше 20 человек

Course Reading (the full list):

Core reading:
R. C. Hill, W. E. Griffiths, G. C. Lim. Principles of Econometrics. 4th ed., Wiley & Sons, 2011.

Supplementary reading:
J. M. Wooldridge. Introductory Econometrics: A Modern Approach. 4th ed., South-Western Cengage learning, 2009.

Exam format:

In-class
Duration: 90 minutes

Grading Policy (% or points):

Course progress – 50%, exam – 50%.

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