INTRODUCTION TO ECONOMETRICS-1

This course belongs to the fundamentals teaching activities of the bachlor course called "Economia e Commercio". 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 specifially, the course aims to provide an introduction to the econometric techniques very useful for the correct interpretation of the estimates and tests in dynamic equations. The students will approach the model specification strategies through simulations of economic and financial 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, EViews, Gretl).

Knowledge and understanding skills.
Attendance and active participation in lectures, online activities, exercise sessions, tutoring activities, together with the individual study will allow the student to acquire the following knowledge and understanding skills:
- know and use the main mathematical tools necessary to represent complex economic phenomena;
- know the mathematical techniques useful to solve and analyze the proposed models.

Ability to apply knowledge and understanding.
Through the interaction with the instructors, the tutors, and peers and through the individual study the student acquires the following abilities:
- know how to use quantitative instruments to cope with complex problems related to an economic / business environment;
- know how to choose the most appropriate technique in order to solve the concrete problem under analysis.

Judgment skills, communication skills, learning skills.
Regarding the autonomy of judgment, communication skills and learning abilities, through the personal and group study of the concepts seen in class, the student will be able to:
- formulate rational justifications to the approach used to solve economic / business problems, understanding their relative strengths and weaknesses, by means of hypotheses, data and models;
- know how to formulate and communicate an adequate analysis and interpretation of economic-financial data through the use of mathematical models.

Compulsory Economia Politica, Matematica.
Strongly suggested Statistica.

Problems faced by the econometrician. Types of data and of econometric models.
Recalls 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.
Selecting regressors. Specification tests.
Heteroskedasticity and Autocorrelation. Generalised least squares.
Static and dynamic forecasts.

Johnston J., Econometrica, 3a ristampa 2010, 5a edizione 2001, Franco Angeli, Milano

Other references:
Cappuccio N. e R. Orsi, Econometria, Il Mulino, 2005
Marcellino M., Econometria Applicata, Egea, Milano 2006
Vogelvang B., Econometrics - Theory and Applications with EViews, FT Prentice Hall, 2005
Guala F. (2006), Filosofia dell'economia - Modelli, causalita, previsione, Il Mulino

Written discussion of the estimation results of an univariate linear model and solutions of elementary econometric problems. 4 points can be added to the result of the written exam by submitting homeworks assigned during classes and as practical exercise assigned at the end of the course. Exercises and practical exercise are not mandatory.

Written exam
The exam is evaluated on a 30-point basis. The written exam is considered passed with the achievement of 18 total points over 30.

Exercises
3 points can be obtained by submitting solutions of the 3 exercises assigned during the classes (1 point for each exercise). The 3 points are considered only upon achievement of 18 points in the written exam.

Practical exercise
1 point can be obtained by solving the individual pratical exercise assigned at the end of the course. The additional point is considered only upon achievement of 18 points in written exam.

Traditioanl lectures, practice sessions, and tutorials.

Assessment
Written discussion of the estimation results of an univariate linear model and solutions of elementary econometric problems. Part of the final note depends also on a practical exercise.

written and oral