Info
Logo Bocconi

Course 2017-2018 a.y.

20203 - ECONOMETRICS


DES-ESS
Department of Economics

Course taught in English


Go to class group/s: 20 - 21

DES-ESS (8 credits - II sem. - OB  |  SECS-P/05)
Course Director:
MASSIMILIANO MARCELLINO

Classes: 20 (II sem.) - 21 (II sem.)
Instructors:
Class 20: MASSIMILIANO MARCELLINO, Class 21: MASSIMILIANO MARCELLINO


Course Objectives

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.


Intended Learning Outcomes
Click here to see the ILOs of the course

Course Content Summary
  • 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.

Teaching methods
Click here to see the teaching methods

Assessment methods
Click here to see the assessment methods

Detailed Description of Assessment Methods

Written exam at the end of the course. There is the possibility to the take the partial exams.


Textbooks
  • W.H. GREENE, Econometric Analysis, Prentice Hall, 2007, 6th edition.
  • J.D. HAMILTON, Time Series Analysis, Princeton University Press.

Prerequisites
Basic calculus, probability theory and linear algebra.
Last change 17/05/2017 13:47