ECONOMETRICS
- Academic year
- 2020/2021 Syllabus of previous years
- Official course title
- ECONOMETRIA
- Course code
- EM0004 (AF:331183 AR:178544)
- Modality
- On campus classes
- ECTS credits
- 6
- Degree level
- Master's Degree Programme (DM270)
- Educational sector code
- SECS-P/05
- Period
- 2nd Term
- Course year
- 1
- Where
- VENEZIA
- Moodle
- Go to Moodle page
Contribution of the course to the overall degree programme goals
Expected learning outcomes
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:
- sound knowledge of the theoretical foundations of econometric models and methods
- specification, estimation and forecasting with regression models
- investigate, understand and interpret economic and financial phenomena, by means of up-to-data econometric tools
Application of acquired knowledge and skills
Through the interaction with the instructors, the tutors, and peers and through the individual study the student acquires the following abilities:
- ability to exploit up-to-date analytical tools and formal derivations to gain insights on relevant economic relationships
- treatment of macroeconomic and financial data for the specification, estimation and forecasting with regression models
- ability to analyse current aspects of the real and financial economy, using time series downloaded from available databases
Judgement and interpretation 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:
- interpretation and management of economic dynamics, through the use of advanced analytical tools
- interpretation of the results produced by an econometric software
- evaluate strengths and weaknesses of the methodologies analysed and of their empirical application
- being able to critically interpret the outcomes of empirical analyses
Pre-requirements
Contents
1.1. Introduction
1.2. Bivariate regression model
1.3. Multivariate regression model
1.4. Probabilistic interpretation of the regression
1.5. Properties of the estimators: examples
1.6. Regression with linear constraints
2. Asymptotic properties of the estimators
2.1. Stochastic convergences
2.2. Asymptotic properties OLS estimator
3. Univariate stochastic and multivariate stationary processes
3.1. Univariate stochastic processes
3.2. Multivariate stochastic processes
3.3. Wold decomposition theorem and general linear processes
3.4. Dynamic properties
3.5. Forecasting
4. Non-stationary stochastic processes
4.1. Processes with unity roots and spurious regression
4.2. Trend Stationary processes (TS) and Differences Stationary (DS)
4.3. Some examples of estimation of non-stationary economic series
5. Specification of the regression model
5.1. Inclusion of irrelevant variables and exclusion of relevant variables
5.2. Specification strategies
5.3. Selection of regressors
6 Specification strategies with integrated processes
6.1. Cointegrated processes and ECM representation
6.2. Simulation of ECM model
6.3. Generalization of the representation of ECM model
6.4. Specification strategies in the presence of regressors I (1) and I (0)
6.5. Simulation, estimation and forecasting of ECM model
7. Multi-equation models
8. Identification and Information
9. Exogenous and incomplete systems of equations
9.1. Exogeneity test
10. Outline of Bayesian inference
11. Outline of decision theory
12. Variable transformations
13. Example of econometric project on actual economic data
Referral texts
A) Hamilton J.(1995), Time Series Econometrics
B) Cappuccio N. e R. Orsi (2005), Econometria, Il Mulino
C) Peracchi F. (1995), Econometria, McGraw-Hill Libri Italia
D) Verbeck M. (2006), A Guide to Modern Econometrics, 5th Edition, Wiley
Assessment methods
a) presentation of a uniequational multivariate regression model on current data of the real or financial economy;
b) exposition and discussion of some topics of econometric theory
Teaching methods
Further information
Type of exam
2030 Agenda for Sustainable Development Goals
This subject deals with topics related to the macro-area "Climate change and energy" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development