Course 2014-2015 a.y.

30166 - TIME SERIES ECONOMETRICS


CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF

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) - BESS-CLES (6 credits - II sem. - OP  |  SECS-P/05) - BIEMF (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

L’esame consiste in una prova scritta, che può essere sostenuta o con due prove intermedie o con unico esame generale (da Giugno in poi).
La prova scritta si considera superata con un voto pari ad almeno 18/30. Sostenendo i due intermedi, l’esame si considera superato solo se entrambi hanno esito sufficiente. Solo il voto del 1° intermedio può essere rifiutato (ripetendo l’esame sull’intero programma in uno degli appelli generali successivi).
E’ necessario iscriversi agli appelli d’esame (intermedi e generali) per consentire la produzione del verbale. Una volta superato l’esame il voto verrà automaticamente registrato.

Textbooks

  • M. VERBEEK, A Guide to Modern Econometrics, Wiley, 2008, 3rd ed.
  • M. VERBEEK, Econometria, Zanichelli, 2006
  • F.X. Diebold, Elements of forecasting, Thomson Southwestern, 4th edition, 2007 Thomson - South Western.
Exam textbooks & Online Articles (check availability at the Library)

Prerequisites

Statistics and mathematics.
Last change 25/03/2014 15:30