INTRODUCTION TO ECONOMETRICS
|Titolo corso in inglese||INTRODUCTION TO ECONOMETRICS|
|Crediti formativi universitari||6|
|Livello laurea||Laurea dm270|
|Settore scientifico disciplinare||SECS-P/05|
Corsi di laurea e percorsi
The course provides an elementary but comprehensive introduction to the
practice of econometrics, useful to correctly interpret estimates and tests in dynamic equations. The students will approach model specification strategies through simulations of economic and financial time series. By the end of the course students will be able to understand and manage univariate linear models estimated by standard econometric software (like Excel and EViews).
Students will develop data analysis competencies and critical thinking.
Mathematics, Statistics, Microeconomics, Macroeconomics
The problems faced by the econometrician. Types of data and of econometric models.
Recall of some concepts from sample estimation and testing theory. Recall of linear algebra.
Linear regression model and ordinary least squares. Goodness of fit and test of significance.
Univariate time series models. ARMA processes. Stationarity and unit roots tests.
Interpreting and comparing regression models. Selecting regressors. Specification tests. Specification of the dynamics.
Heteroskedasticity and Autocorrelation. Generalised least squares.
How to calculate the long-run coefficients and the impulse response function.
Static and dynamic forecasts, in-sample and out-of-sample forecasts.
Carrying out an Empirical Project and Writing an Empirical Paper
Testi di riferimento
Wooldridge, J.M., Introductory Econometrics: A Modern Approach, Fourth Edition,
South-Western College Publishing, 2009
Vogelvang B., Econometrics - Theory and Applications with EViews, FT Prentice Hall, 2005
Modalità di verifica dell'apprendimento
Written discussion of the estimation results of an univariate linear model and solutions of elementary econometric problems. Part of the final note could also depend on a practical exercise.
Lectures and practice sessions.
Lingua di insegnamento