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.
- 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
- main features of the financial time series - models for the conditional variance: ARCH and GARCH - multivariate models for the conditional variance
Prerequisiti e modalità di esame
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.
Materiale didattico e bibliografia
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.
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.