Эконометрика (продвинутый уровень)

2026/2027

Статус: Маго-лего

Кто читает: Банковский институт

Где читается: Банковский институт

Онлайн-часы: 20

Охват аудитории: для своего кампуса

Язык: русский

Кредиты: 6

Контактные часы: 18

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Аннотация

The course will be a core one for the Banking Institute Master program “Financial Analyst”. The course is intended for studying during the first and the second semester of the Master level education. The course is a prerequisite for some both core and specialized courses of the curriculum. Because of study of material of the course, a student should master and be able to prove the basic facts of strict development of classical econometrics. She/he should also know main ideas of univariate and multivariable time-series analysis including Box-Jenkins approach, ARIMA (p, d, q) models, non-stationary time-series, unit root tests, co-integration, VAR and VECM.

Цель освоения дисциплины

The purpose of the course is to give students new and extended skills in both econometric tools and their application to contemporary economic problems. The main studying purpose of such topics is to clear understanding of econometric ideas, assumptions under which econometric approaches can be applied. The student should have skills of application of the indicated tools and methods to researches in problems of Micro-, Macroeconomics and Finance. The student should have knowledge and skills of “Econometrics” (Bachelor level) and a number of mathematical and statistical courses such that “Linear algebra”, “Statistics”, “Probability theory”.

Планируемые результаты обучения

The student should have skills of application of the indicated tools and methods to researches in problems of Micro-, Macroeconomics and Finance

Содержание учебной дисциплины

OLS
Model Specification
Multicollinearity, Heteroskedasticity and Autocorrelation
Endogeneity and Instrumental Variables
Project Assignment 1
Maximum Likelihood and Models with Limited Dependent Variables
Time-series econometrics. Univariate time series
Time-series econometrics. Multivariate time series
Panel Data Analysis
Project Assignment 2

Элементы контроля

Project Assignment 2
Project Assignment 1
Tests
Average grade for the tests is considered as a blocking score. In case of average grade for the tests less than 4 out of 10, the course is not passed. Students are allowed to retake tests once if average grade for the tests less than 4 out of 10.

Промежуточная аттестация

2026/2027 3rd module
0.2 * Project Assignment 1 + 0.6 * Tests + 0.2 * Project Assignment 2

Список литературы

Авторы

Семерикова Елена Вячеславовна
Елизарова Ирина Николаевна

Программа дисциплины