# ECONOMETRICS

2021/2022
Titolo corso in inglese
ECONOMETRICS
Codice insegnamento
EM2Q05 (AF:365757 AR:188226)
Modalità
In presenza
Crediti formativi universitari
7
Livello laurea
Corso di Dottorato (D.M.45)
Settore scientifico disciplinare
SECS-P/05
Periodo
II Semestre
Anno corso
1
Sede
VENEZIA
Spazio Moodle
This course is one of the core teaching activities of the PhD program in "Economics" and of the course "Economia e Finanza - QEM". In line with the educational objectives of the course, this activity aims to present the main mathematical and statistical tools necessary for the analysis of economic phenomena; particular attention will be devoted to the use of formal language and methodological rigor. More specifically, the course aims to complete students preparation in Econometrics by being able to deal with advanced econometric models and methods. Moreover, it will provide students with the main econometric methods, with special reference to the analytical derivation of the estimators and to inference procedures. The course is well equipped with econometric practice, enhancing practical abilities in the use of the econometric software such as Matlab, STATA and Gretl.
Knowledge and competencies:
- sound knowledge of the theoretical foundations of econometric methods
- specification and formal derivation of econometric models based on economic models
- investigate, understand and interpret economic and financial phenomena, by means of up-to-data econometric tools

Application of acquired knowledge and skills:
- ability to exploit up-to-date analytical tools and formal derivations to gain insights on relevant economic relationships
- interpretation and management of economic dynamics, through the use of advanced analytical tools
- being able to design empirical strategies to measure and quantify economic phenomena and relationships among economic variables

Judgement and interpretation skills:
- evaluate strengths and weaknesses of the methodologies analyzed and of their empirical application
- being able to critically interpret the outcomes of empirical analyses
Mathematical Tools:
- Matrix Algebra
- Differential Calculus
- Integral Calculus

Statistical Tools:
- Random Variables and Distribution Theory
- Point and Interval Estimation
- Hypothesis Testing
- Least Squares and Standard Linear Model
A. Classic Econometric Models

A.1 Regression Models
A.2 The classical hypothesis
A.3 The Statistical Properties of Ordinary Least Squares
A.4 The Frisch-Waugh-Lowell theorem
A.5 Hypothesis Testing in Linear Regression Models
A.6 Asymptotic results
A.7 Generalized Least Squares and Related Topics
A.8 A primer on bootstrap

B. Time Series Econometrics

B.1 Stochastic Processes
B.2 Asymptotic Theory
B.3 Stationary ARMA processes
B.4 Stationary Vector Processes
B.5 Non-stationary Processes
B.6 Cointegration
B.7 State-space Models
First Part
F. Hayashi, Econometrics, Princeton University Press, 2000.

Second Part
J.D. Hamilton, Time Series Analysis, Princeton University Press, 1994.