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Course 2015-2016 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
There is a written exam and it can be divided in two partial exams or an unique general exam (from june and so on). The written exam is considered passed with a grade of minimum 18/30. If the students takes the two partial exams, the grade of each partial has to be sufficient in order to consider the exam as passed. Only the grade of the first partial can be refused ( by repeating the exam on the entire program in one of the following exams).
It is necessary to enroll in the exams (partials and general)in order to enable the creation of the minutes. Once the exam has been passed the grade will be automatically enrolled.

Textbooks
  • M. VERBEEK, A Guide to Modern Econometrics, Wiley, 2008, 3th ed.
  • M. VERBEEK, Econometria, Zanichelli, 2006.
  • F.X. Diebold, Elements of forecasting, Thomson Southwestern, Thomson - South Western , 2007, 4th edition.

Prerequisites
Statistics and mathematics.
Last change 27/03/2015 12:44