20203 - ECONOMETRICS
Course taught in English
The course offers an introduction to a variety of econometric methods and models, focusing on the basic theory and some more advanced results. In the second part, there is a focus on ecnometric methods for macroeconomic and financial variables. The course is completed by a set of applications based on simulated and actual data, implemented using STATA and Eviews.
- Finite simple properties of the OSL estimator in the classical regression model.
- Asymptotic properties of estimators and tests in the presence of possible endogeneity.
- Error heteroskedasticity and serial correlation.
- Panel data models.
- Univariate and multivariate time series models.
- Model with time-varying parameters.
- Forecast evaluation, comparison and combination.
Written exam at the end of the course. There is the possibility to the take the partial exams.
- W.H. GREENE, Econometric Analysis, Prentice Hall, 2007, 6th edition.
- J.D. HAMILTON, Time Series Analysis, Princeton University Press.