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Course 2015-2016 a.y.

20532 - MACROECONOMETRICS


CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Department of Economics

Course taught in English


Go to class group/s: 31

CLMG (6 credits - I sem. - OP  |  SECS-P/05) - M (6 credits - I sem. - OP  |  SECS-P/05) - IM (6 credits - I sem. - OP  |  SECS-P/05) - MM (6 credits - I sem. - OP  |  SECS-P/05) - AFC (6 credits - I sem. - OP  |  SECS-P/05) - CLAPI (6 credits - I sem. - OP  |  SECS-P/05) - CLEFIN-FINANCE (6 credits - I sem. - OP  |  SECS-P/05) - CLELI (6 credits - I sem. - OP  |  SECS-P/05) - ACME (6 credits - I sem. - OP  |  SECS-P/05) - DES-ESS (6 credits - I sem. - OP  |  SECS-P/05) - EMIT (6 credits - I sem. - OP  |  SECS-P/05)
Course Director:
LUCA SALA

Classes: 31 (I sem.)
Instructors:
Class 31: LUCA SALA


Course Objectives
The course aims to improve the knowledge of time series econometrics and discusses the most recent developments in the literature. Interest is focused on the estimation and testing of dynamic models derived from macroeconomic and financial theories. The course deals with both the theoretical foundations and applications to real data. Computer sessions are used; the software Matlab is first described and then used to replicate papers in the literature.

Course Content Summary
  •  Single equation models.
  1. Introduction to time series econometrics.
  2. ARMA and ARIMA models.
  3. Trend-cycle decompositions.
  4. Models of conditional eteroskedasticity.
  • Multiequation models.
  1. VAR Models.
  2. SVAR Models (with short and long run restrictions).
  3. Common trends and cointegration.
  4. Cointegrated VAR models.
  5. Error Correction Mechanisms.

Detailed Description of Assessment Methods
The final grade is based on a written exam (70% of the final grade) and on 4 problem sets (30% of the final grade).

Textbooks
A complete and up-to-date reading list is provided at the beginning of the course.

The reference books for this course are:
• W. ENDERS, Applied Econometric Time Series, Wiley Series in Probability and Statistics, 2004, 2nd edition.
• J.D. HAMILTON, Time Series Analysis, Princeton University Press, 1994.

Lectures notes are distributed during the course.
Exam textbooks & Online Articles (check availability at the Library)

Prerequisites
A basic knowledge of econometrics is highly recommended.
Last change 27/07/2015 17:01