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Course 2011-2012 a.y.

20288 - ADVANCED ECONOMETRICS


CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Department of Economics

Course taught in English


Go to class group/s: 31

CLMG (6 credits - I sem. - OP  |  SECS-P/05) - M (6 credits - I sem. - OP  |  SECS-P/05) - IM (6 credits - I sem. - OP  |  SECS-P/05) - MM (6 credits - I sem. - OP  |  SECS-P/05) - AFC (6 credits - I sem. - OP  |  SECS-P/05) - CLAPI (6 credits - I sem. - OP  |  SECS-P/05) - CLEFIN-FINANCE (6 credits - I sem. - OP  |  SECS-P/05) - CLELI (6 credits - I sem. - OP  |  SECS-P/05) - ACME (6 credits - I sem. - OP  |  SECS-P/05) - DES-ESS (6 credits - I sem. - OP  |  SECS-P/05) - EMIT (6 credits - I sem. - OP  |  SECS-P/05)
Course Director:
LUCA SALA

Classes: 31 (I sem.)
Instructors:
Class 31: LUCA SALA


Course Objectives

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.


Course Content Summary

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. 

Detailed Description of Assessment Methods

The final grade is based on a written exam


Textbooks

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.


Prerequisites
A basic knowledge of econometrics is highly recommended.
Last change 30/03/2011 12:00