# GRA 6648 Research Methodology - Economics

## GRA 6648 Research Methodology - Economics

This course is a graduate level introduction to Econometrics.

Students will learn to use statistical methods for estimating economic relationship, testing economic theories, and using estimated models to analyze the effect of policy intervention for the public and the private sector.

The students will learn about the main estimation methods, using both time series and panel data. Projects using Big data will also be introduced. The students will learn details about time series econometrics with applications in macroeconomics and international finance. They will master univariate and multivariate models of stationary an non stationary time series, including structural VARs. Panel data techniques is covered, as well as the difference in difference methodology. In the end, they should be able to design applied econometric projects.

The students will also learn information search strategies. That is, acquaintance with methods for information search and know what a critical literature review is.

Students should be able to reflect and understand the basic techniques used in applied econometrics, so that eventually they can master and produce sophisticated applied econometric analysis.

**I Data Management **

- Traditional data (time series and panel data)
- Big data
- Data reduction
- Web scraping

**II Time series – Stationary and non-stationary univariate time series**

- White noise, moving average, autoregressive models
- Forecasting
- Deterministic and stochastic trends, unit roots, structural change
- Applications

**III Vector autoregression (VAR) methodology**

- Structural VARs specification and estimation
- Identification, impulse responses, variance decomposition
- Spurious regression and log run economic relationships
- Applications

**IV Panel data analysis**

- Difference in difference methodology
- Fixed effects
- Applications

**V Introduction to information search strategies (3 hours in the pc-lab)**

- Acquaintance with methods for information, harvesting and search techniques
- Know what a critical literature review is and how this type of articles may be searched for and used
- Critical evaluation of sources

**VI Setting up an econometric project**

- Research ethics, data handling, specification, modeling, policy analysis

Lectures and practical exercises that must be solved on the computer.

Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class that is not included on the course homepage/It's learning or text book.

This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course start.

At resit, all exam components must, as a main rule, be retaken during next scheduled course.

All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have spesific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Exam category | Weight | Invigilation | Duration | Support materials | Grouping | Comment exam |
---|---|---|---|---|---|---|

Exam category:Activity Form of assessment:Presentation Exam code:GRA66486 Grading scale:Point scale Grading rules:Internal examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 20 | No | - | Group (4 - 6) | ||

Exam category:Submission Form of assessment:Written submission Exam code:GRA66486 Grading scale:Point scale Grading rules:Internal examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 10 | No | 1 Week(s) | Group/Individual ( 1 - 3) | Library assignment | |

Exam category:Submission Form of assessment:Written submission Exam code:GRA66486 Grading scale:Point scale Grading rules:Internal and external examiner Resit:All components must, as a main rule, be retaken during next scheduled course | 70 | Yes | 3 Hour(s) | - BI-approved exam calculator
- Simple calculator
- Bilingual dictionary
| Individual | Final written examination with supervision |

#### Obligatorisk/Compulsory

##### Book

Authors/Editors | År | Tittel | Edition | Publisher | StudentNote |
---|---|---|---|---|---|

Bjørnland, Hilde Christiane; Thorsrud, Leif Anders | 2015 | Applied time series for macroeconomics | 2. utg | Gyldendal akademisk |

##### Chapter

Authors/Editors | År | Tittel | Journal | Edition | Publisher | StudentNote |
---|---|---|---|---|---|---|

Saunders, Mark | Critically reviewing the literature | Critically reviewing the literature | ||||

Angrist, Joshua D.; Pischke, Jörn-Steffen | cop. 2009 | Mostly harmless econometrics: an empiricist's companion | Mostly harmless econometrics: an empiricist's companion | Princeton University Press | Ch. 5 |

##### Document

Authors/Editors | År | Tittel | Edition | Publisher | StudentNote |
---|---|---|---|---|---|

Collection of articles | Articles supplementing the books will be suggested. These can be downloaded from the library. | ||||

During the course there may be hand-outs and other material on additional topics relevant for the course and the examination. |

#### Anbefalt/Recommended

##### Book

Authors/Editors | År | Tittel | Edition | Publisher | StudentNote |
---|---|---|---|---|---|

Favero, Carlo A. | 2001 | Applied macroeconometrics | Oxford University Press | chapters 1,2,3 and 6 | |

Greene, William H. | cop. 2012 | Econometric analysis | 7th ed., International ed | Pearson |

##### Chapter

Authors/Editors | År | Tittel | Journal | Edition | Publisher | StudentNote |
---|---|---|---|---|---|---|

Christiano, L.J.; Eichenbaum, M.; Evans, C.L. | Monetary policy shocks : what have we learned and to what end? | Monetary policy shocks : what have we learned and to what end? |