30166 - TIME SERIES ECONOMETRICS
Course taught in English
Go to class group/s: 31
Strongly suggested: introductory statistics and calculus (first year mathematics). A basic knowledge of Matrix Algebra could also help, but is not strictly necessary.
The course is an introduction to Econometrics, with a focus on time series analysis and estimation techniques, applied to Macroeconomics. 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. Econometrics is a tool that students in all fields of economics and management can use to give an empirical framework to whatever report they need to write for their university courses or final dissertation, or even in their future job environment.
The main topics of the course are:
The linear regression model: the Ordinary Least Squares Estimator:
- Properties and testing.
- Specification and interpretation of estimated models.
- Heteroskedasticity and GLS estimators.
Time Series: univariate and multivariate dynamic models:
- Stationary and White Noise time series.
- Autoregressive models. The AR(1) model: properties, estimation, forecasting.
- Non stationary series. Unit roots: tests and properties.
- VAR models.
- GMM estimators: an introduction.
- Reach a medium-high knowledge of Linear Regression techniques, of the properties and use of the estimators.
- Be able to specify and estimate simple empirical models derived from theoretical a-prioris (Economics, Management, Sociology, Political Economy...).
- Use of Econometric softwares.
Be confident enough in the use of econometric softwares to:
- Produce descriptive statistics, graphs and other preliminary empirical analyses with any type of data.
- Perform the estimation of linear models.
- Write a report based on the outputs of the previous analyses.
- Face-to-face lectures
- Online lectures
- Individual assignments
- Individual assignments: the students need to download from the Net, relevant data (mainly financial time series such as Stock Prices and Exchange Rates), perform some analyses using the appropriate econometric software, write and submit a report.
|Continuous assessment||Partial exams||General exam|
- The written examination is necessary to test the knowledge of the estimation techniques taught in the course.
- Individual assignments are needed to test the level of ability reached in applying econometric techniques to data, and to test the competence in the use of softwares.
- Chris BROOKS, Introductory Econometrics for Finance, 4th edition, Cambridge U.P., 2019
- F.X. DIEBOLD, Forecasting (online textbook at: http://www.ssc.upenn.edu/~fdiebold/Textbooks.html).
- F.X. DIEBOLD, Time Series Econometrics (online textbook at: http://www.ssc.upenn.edu/~fdiebold/Textbooks.html).
- Eviews Manual (online).