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.

Mandatory priority exam: see https://www.unive.it/web/en/4624/exams

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

Learning is verified through a written test that can be integrated by an optional homework (subject to evaluation) and a compulsory practical test (subject to evaluation).
Written discussion of the estimation results of a univariate linear model and solutions of elementary econometric problems. 3 points can be added to the written exam result by submitting homework assigned during classes and a practical exercise assigned at the end of the course. Homweorks are not mandatory. The practical exercise is mandatory. Examples of homework, practical tests, and past exams are available in the course materials.

Written exam
The written test is an open book. It consists of 4 exercises on elementary theoretical and practical econometric concepts, to be carried out within an hour and a half.

Homeworks (not compulsory)
Consists of exercises on the theoretical aspect of this course.
2 points can be obtained by submitting solutions for the two exercises assigned during the classes (1 point for each). The 2 points are considered only upon achievement of 18 points in the written exam.

Practical exercise (compulsory)
Consist in specifying and estimating a regression model on a given dataset using the econometric software GRETL.
1 point can be obtained by solving the individual practical exercise assigned at the end of the course. The additional point is considered only upon achievement of 18 points in the written exam.

As regards the gradation of the grade (how the grades will be assigned), regardless of the attending or non-attending mode:

A. scores in the 18-22 range will be awarded in the presence of:
- sufficient knowledge and ability to understand and apply in relation to the programme;
- limited ability to interpret the exercise and provide arguments regarding its resolution;

B. scores in the 23-26 range will be awarded in the presence of:
- reasonable knowledge and ability to understand and apply in relation to the programme;
- reasonable ability to interpret the exercise and provide arguments regarding its resolution;

C. scores in the 27-30 range will be awarded in the presence of:
- good or excellent knowledge and ability to understand and apply in relation to the programme;
- good or excellent ability to interpret the exercise and provide arguments regarding its resolution;

D. honours will be awarded due to the remarkable knowledge and understanding of the program, in addition to maximum grades for the written assignments, homework, and practical exercises.

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

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