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Course 2017-2018 a.y.

30166 - TIME SERIES ECONOMETRICS


CLEAM - CLEF - CLEACC - CLES-BESS - WBB - BIEF - BIEM - BIG
Department of Economics

Course taught in English


Go to class group/s: 31

CLEAM (6 credits - II sem. - OP  |  SECS-P/05) - CLEF (6 credits - II sem. - OP  |  SECS-P/05) - CLEACC (6 credits - II sem. - OP  |  SECS-P/05) - CLES-BESS (6 credits - II sem. - OP  |  SECS-P/05) - WBB (6 credits - II sem. - OP  |  SECS-P/05) - BIEF (6 credits - II sem. - OP  |  SECS-P/05) - BIEM (6 credits - II sem. - OP  |  SECS-P/05) - BIG (6 credits - II sem. - OP  |  SECS-P/05)
Course Director:
BARBARA CHIZZOLINI

Classes: 31 (II sem.)
Instructors:
Class 31: BARBARA CHIZZOLINI


Course Objectives
The course is an introduction to Econometrics, with a focus on time series analysis and estimation techniques, applied to Macroeconomics. The main topics of the course are: the linear regression model, its specification, estimation, testing and use; univariate and multivariate dynamic models, with stationary and integrated series. All topics are presented in theory and in practice: classroom lectures are mixed with computer lab sessions where applications in micro and macroeconomics are developed using Eviews, an econometrics software.

Course Content Summary
  • The linear regression model: assumptions, properties and applications of Ordinary Least Squares estimators.
  • The linear regression model with stochastic regressors: appropriate assumptions and asymptotic properties of OLS estimators.
  • Introduction to univariate Time Series Analysis: stationarity, ARMA models, Dynamic models with distributed lags.
  • Non stationary time series: Integrated time series, unit root test, cointegration, Error Correction Mechanism (ECM).

Detailed Description of Assessment Methods

The final grade is the sum of the grades of 4 assignments (maximum 10 points) and of a written part (maximum 20 points) to be taken either with two -1 hour each- midterms or with a -2 hours- final exam.


Textbooks
  • F. X. DIEBOLD, Forecasting, http://www.ssc.upenn.edu/~fdiebold/Textbooks.html
  • F. X. DIEBOLD, Time series econometrics, http://www.ssc.upenn.edu/~fdiebold/Textbooks.html

Prerequisites

Statistics and mathematics.

Last change 28/04/2017 15:09