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ECONOMETRICS-MOD. TIME SERIES ECONOMETRICS
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ECONOMETRICS-MOD. TIME SERIES ECONOMETRICS
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Academic year 2023/2024
- Course ID
- SEM0186B
- Teacher
- Fabio Cesare Bagliano (Lecturer)
- Year
- 1st year
- Teaching period
- Second semester
- Type
- Distinctive
- Credits/Recognition
- 6
- Course disciplinary sector (SSD)
- SECS-P/05 - econometrics
- Delivery
- Formal authority
- Language
- English
- Attendance
- Optional
- Type of examination
- Written
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Sommario del corso
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Course objectives
The main purpose of this course is to give a general and comprehensive overview of the different econometric methodogies and approaches to treat time series data relevant for economic and financial applications.
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Results of learning outcomes
- Knowledge and understanding: this course will provide students with a deep and up-to-date knowledge of modern econometric theories and related estimation and testing techniques.
- Applying knowledge and understanding: students will learn how to apply econometrics techniques to actual economic problems. To this aim students will be introduced to a professional econometric software (E-views) which will be used for the computations presented in this course.
- Making judgements: the students will learn how to assess the validity of the assumptions of a wide range of econometric models with the purpose of realizing potential drawbacks or dangers in their application to relevant empirical economic questions.
- Communication skills: students will learn how to effectively organize ideas both in written and oral form, possibly with the help of presentation of scientific papers during the course.
- Learning skills: this course will enable students to understand the recent developments in econometrics and will be a suitable basis for further research work in the area.
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Course delivery
The course consists of 48 lecture hours. Strong interaction between teachers and students is warmly encouraged.
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Learning assessment methods
1 h. and 30 m. (max.) written exam at the end of the course. The exam paper is structured in two parts ("Univariate" and "Multivariate" time series") and each part is made up of several questions. Specific quantitative scores are allocated to each question and communicated to students before the exam. Scores sum up to 30/30.
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Program
Note: For each topic, indication of relevant chapters of M. Verbeek "A Guide to Modern Econometrics" (4th edition, 2012) is provided.
- Univariate Time Series Models (chap. 8)
- Multivariate Time Series Models (chap. 9)Suggested readings and bibliography
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The course is mostly based on M. Verbeek, "A Guide to Modern Econometrics" (4th edition, 2012). For most topics lecture notes will be also circulated.
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