30166 - TIME SERIES ECONOMETRICS
CLEAM - CLEF - CLEACC - BESS-CLES - WBB - BIEF - BIEM - BIG
Department of Economics
Course taught in English
(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) - 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)
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.
- 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
Statistics and mathematics.
Last change 28/04/2017 15:09