Micro-econometrics, Causal Inference and Time Series Econometrics

A.Y. 2019/2020
Lesson for
12
Max ECTS
80
Overall hours
SSD
SECS-P/05 SECS-S/01
Language
English
Learning objectives
By the end of the module you will be able to:

Understand the difference between a time series and an independent random sample.

Apply non-parametric and parametric techniques to model time series.

Choose and estimate parametric models for time series.

Forecast future values.

Much empirical literature in macroeconomics uses time series. By the end of the module you should have a working knowledge to understand the techniques used in this literature.

Course structure and Syllabus

Active edition
Yes
Responsible
Module Micro-econometrics and Causal Inference
SECS-S/01 - STATISTICS - University credits: 6
Lessons: 40 hours
Professor: Frattini Tommaso
Module Time Series Econometrics
SECS-P/05 - ECONOMETRICS - University credits: 6
Lessons: 40 hours
Professor: Iacone Fabrizio
Module Time Series Econometrics
Syllabus
Topics will include.
Definition of univariate time series.
Non-parametrics characterisation.
Ergodicity and stationarity as generalisation of the iid framework.
Parametric modelling of weakly dependent univariate time series (ARMA modelling). Impulse response functions for ARMA.
Inference in ARMA modelling.
Forecasting with ARMA models.
Model selection: parsimonious modelling.
Parametric modelling of strongly dependent univariate time series: unit root modelling. Forecasting with unit roots.
Unit root testing.
Multivariate modelling: VARMA and VAR modelling for weakly autocorrelated time series. Impulse response function for VARs.
Identification and estimation in VAR models.
Regression models for weakly dependent and unit root multivariate time series (cointegration). Forecasting for multivariate time series.
Large dimensional weakly dependent time series: estimation and forecasting of factor models.
Lesson period
First trimester
Lesson period
First trimester
Assessment methods
Esame
Assessment result
voto verbalizzato in trentesimi
Professor(s)
Reception:
Monday 12.30 to 14.30 during term time (Winter term).
Stanza 4 (Second floor)