20288 - ADVANCED ECONOMETRICS
CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Course taught in English
Go to class group/s: 31
The course aims to improve the knowledge of time series econometrics and discuss 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 a number of applications to real data, with the aid of computer sessions.
Part I: Single equation models.
- Introduction to time series econometrics.
- ARMA and ARIMA models.
- Trend-cycle decompositions.
- Models of conditional eteroskedasticity.
Part II: Multiequation models.
- VAR Models.
- SVAR Models (with short and long run restrictions).
- Common trends and cointegration.
- Cointegrated VAR models.
- Error Correction Mechanisms.
The final grade is based on a written exam
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 will be distributed during the course.