20203 - ECONOMETRICS
Course taught in English
Lezioni della classe erogate in presenza
For a fruitful and effective learning experience, it is strongly recommended a preliminary knowledge in basic calculus, probability theory and linear algebra and a good knowledge of statistics.
The course offers an introduction to a variety of econometric methods and models, focusing on the basic theory and related applications, implemented using STATA and Eviews . In the second part, there is a focus on econometric methods for macroeconomic and financial variables.
- Regression models with cross sectional data
- Regression models with panel data
- Univariate and multivariate time series models
- Forecast evaluation, comparison and combination.
- Define the key elements of an econometric analysis.
- Recognize the proper data and estimation method to be used.
- Explain the outcome of the estimation and testing.
- Select the most appropriate econometric model.
- Interpret the results of advanced empirical analyses using cross-sectional, time series and panel data.
- Compare the outcome of alternative estimation and testing procedures.
- Evaluate the validity of the assumptions underlying specific econometric methods.
- Predict the future evolution of economic variables.
- Face-to-face lectures
- Exercises (exercises, database, software etc.)
- Solution of theoretical and applied questions related to the various topics in the syllabus
- Empirical applications based on simulated and actual data
|Continuous assessment||Partial exams||General exam|
Written exam(s) with open ended questions aimed at assessing whether the students are capable of:
- Defining the key elements of an econometric analysis.
- Recognizing the proper data and estimation method to be used.
- Interpreting the results of empirical analyses using both cross sectional and time series data.
- Comparing the outcome of alternative estimation and testing procedures.
- Evaluating the validity of the assumptions underlying specific econometric methods.
- Using the models for predicting the future evolution of economic variables.
- E. GHYSELS, M. MARCELLINO, Applied Economic Forecasting, Oxford University Press, 2018.
- J.M. WOOLDRIGE, Introductory Econometrics: A Modern Approach, South-Western College Pub, 2013, 5th edition.
- Additional required texts are communicated at the beginning of the course and additional material is posted on Bboard.