Insegnamento a.a. 2017-2018

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
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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
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Assessment methods
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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.
Exam textbooks & Online Articles (check availability at the Library)

Prerequisites

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