Time series analysis
A.A. 2018/2019
Obiettivi formativi
The aim of the course is to teach students the main econometric tools generally used in the empirical analysis. We will mainly focus on the time series econometrics, with particular attention to the recent developments in the analysis of non stationary data from one side, and on financial time series on the other side.
Risultati apprendimento attesi
Non definiti
Periodo: Primo trimestre
Modalità di valutazione: Esame
Giudizio di valutazione: voto verbalizzato in trentesimi
Corso singolo
Questo insegnamento non può essere seguito come corso singolo. Puoi trovare gli insegnamenti disponibili consultando il catalogo corsi singoli.
Programma e organizzazione didattica
Edizione unica
Periodo
Primo trimestre
Programma
Time series analysis for stationary data
- auto-regressive and moving average models: representation and estimation
- multivariate linear regression models: representation and estimation
- simultaneous equation models: identification and estimation
- stationary VAR models and Structural VAR models
Non stationary time series in econometrics
- the notion of non stationarity and the main consequences in linear regression models
- test of hypothesis for detecting non stationary time series
- cointegration and error correction representation
Financial econometrics
- main features of the financial time series
- models for the conditional variance: ARCH and GARCH
- multivariate models for the conditional variance
- auto-regressive and moving average models: representation and estimation
- multivariate linear regression models: representation and estimation
- simultaneous equation models: identification and estimation
- stationary VAR models and Structural VAR models
Non stationary time series in econometrics
- the notion of non stationarity and the main consequences in linear regression models
- test of hypothesis for detecting non stationary time series
- cointegration and error correction representation
Financial econometrics
- main features of the financial time series
- models for the conditional variance: ARCH and GARCH
- multivariate models for the conditional variance
Prerequisiti
The course requires the knowledge of the basic elements of econometrics, like the linear regression model and the inference on the related coefficients, and the main notions of matrix algebra.
The final examination consists of a two hours written exam or, only for attending students, of a homework to be solved individually just after the course using an econometric software.
The final examination consists of a two hours written exam or, only for attending students, of a homework to be solved individually just after the course using an econometric software.
Materiale di riferimento
Reference Literature
In English:
Verbeek M. - A guide to modern econometrics John Wiley & Sons, Ltd. (main reference)
Cochrane H.J. - Time Series for Macroeconomic and Finance, downloadable from ARIEL - Advanced Econometrics
Greene W. - Econometric Analysis, Prentice Hall, Chapters 19-20-11.8-12
Hamilton J.D. - Time Series Analysis, Princeton University Press, Chapters 1-2-3-5-21.
Brooks C. - Introductory Econometrics for Finance, Cambridge university Press, Chapters 5-6-7-8.
Favero C.A. - Applied Macroeconometrics, Oxford University Press.
In Italian:
Lucchetti R. - Appunti di Analisi delle Serie Storiche, downloadable from ARIEL - Advanced Econometrics
Gardini A., Cavaliere G., Costa M., Fanelli L., Paruolo P. - Econometria, Il Mulino, Vol. 1 e Vol. 2.
Favero C.A. - Econometria: Modelli e Applicazioni in Macroeconomia, Nuova Italia Scientifica.
In English:
Verbeek M. - A guide to modern econometrics John Wiley & Sons, Ltd. (main reference)
Cochrane H.J. - Time Series for Macroeconomic and Finance, downloadable from ARIEL - Advanced Econometrics
Greene W. - Econometric Analysis, Prentice Hall, Chapters 19-20-11.8-12
Hamilton J.D. - Time Series Analysis, Princeton University Press, Chapters 1-2-3-5-21.
Brooks C. - Introductory Econometrics for Finance, Cambridge university Press, Chapters 5-6-7-8.
Favero C.A. - Applied Macroeconometrics, Oxford University Press.
In Italian:
Lucchetti R. - Appunti di Analisi delle Serie Storiche, downloadable from ARIEL - Advanced Econometrics
Gardini A., Cavaliere G., Costa M., Fanelli L., Paruolo P. - Econometria, Il Mulino, Vol. 1 e Vol. 2.
Favero C.A. - Econometria: Modelli e Applicazioni in Macroeconomia, Nuova Italia Scientifica.
SECS-P/05 - ECONOMETRIA - CFU: 6
Lezioni: 40 ore
Docente:
Bacchiocchi Emanuele