Econometrics (Microecon.+ Macroecon.)
Instructor: Giorgio Calzolari
Elements of linear algebra. Vectors and matrices, linear dependence, rank, square matrices, inverse matrix, equation systems, idempotent matrices, projection matrices, trace. Linear regression model. Algebraic assumptions and statistical assumptions, ordinary least squares estimation, coefficients and residuals, R-square, unbiasedness of estimated coefficients, estimation of the errors variance, variance-covariance matrix of estimated coefficients, Gauss-Markov theorem, standard errors, linear restrictions, t-test, F-test, specification tests, structural break, heteroskedasticity, autocorrelation. Discrete choice, logit model. Linear panel data model (with "fixed" effects).
Computer laboratory. Use of GRETL (free software, open source).
Calzolari, G., 2012, Econometric Notes, MPRA Paper 64415, University Library of Munich, Germany (revised May 2015; pages 1-14).
Stock, J. H., and M. W. Watson, 2007, Introduction to Econometrics, (2nd edition), Reading, MA:
Addison-Wesley Publishing Company, Inc.
Instructor: Giampiero Gallo
Time-Series Models, Difference Equations and Their Solutions, Lag Operators. Stochastic Difference Equation Models, ARMA Models, Stationarity, Stationarity Restrictions for an ARMA (p,q) Model , The Autocorrelation Function, The Partial Autocorrelation Function, Sample Autocorrelations of Stationary Series, Box-Jenkins Model Selection, Properties of Forecasts, Seasonality, Structural Change, Combining Forecasts. Deterministic and Stochastic Trends, Removing the Trend, Unit Roots and Regression Residuals, The Monte Carlo Method, Dickey-Fuller Tests and extensions, Power and the Deterministic Regressors, Panel Unit Root Tests, Trends and Univariate Decompositions, Intervention Analysis, ADLs and Transfer Functions, Limits to Structural Multivariate Estimation, Introduction to VAR Analysis, Estimation and Identifcation, The Impulse Response Function, Structural VARs, Examples of Structural Decompositions, Overidentifed Systems, The Blanchard-Quah Decomposition. Linear Combinations of Integrated Variables, Cointegration and Common Trends, Cointegration and Error Correction, Testing for Cointegration: The Engle-Granger Methodology, Cointegration and Purchasing Power Parity, Characteristic Roots, Rank, and Cointegration.
W. Enders, 2014, Applied Econometric Time Series, 4th Edition, Wiley.