- Docente: Tiziano Arduini
- Credits: 6
- SSD: SECS-P/01
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
-
Corso:
Second cycle degree programme (LM) in
Mathematics (cod. 8208)
Also valid for Second cycle degree programme (LM) in Quantitative Finance (cod. 8854)
Learning outcomes
At the end of the course the student is introduced to the basic concepts of econometrics, with particular focus on regression analysis. The student masters the basic least squares and maximum likelihood techniques. An introduction to large sample asymptotic theory is given. As for time series analysis, the student is able to apply standard univariate methods. Examples of application of these models is provided using Matlab.
Course contents
1. Introduction
2. Conditional Expectation and Projection
3. The Algebra of Least Squares
4. Least Squares Regression
5. An Introduction to Large Sample Asymptotics
6. Asymptotic Theory for Least Squares
7. Hypothesis Testing
8. Univariate Time Series.
Readings/Bibliography
-ECONOMETRICS Bruce E. Hansen:
http://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf
(Ch. 1-6, 16)
-Hamilton, James Douglas. Time series analysis. Vol. 2. Princeton: Princeton university press, 1994. (Ch. 21)
Teaching methods
Lectures start with the introduction of the relevant theory of each topic and then show how to code the econometric tools. To this end a software whose objects are arrays and matrices, such as Matlab, is employed.
"Students are assumed to have an understanding of multivariate calculus, probability theory, linear algebra, and mathematical statistics. A prior course in undergraduate econometrics would be helpful, but not required. Two excellent undergraduate textbooks are Wooldridge (2009) and Stock and Watson (2010)."
The course consists of 30 hours. Computer lab practices are also included.
Assessment methods
The exam is written and it lasts 1 hour. It is composed by two different sections.
The first section is theoretical, and it consists of 2 open questions. The second is both empirical and theoretical, and it consists of 5 questions whose answers should be computed using Matlab. Each answer is valid 5 points max; The final mark is the total number of point obtained in the two parts. Students with final number of points greater or equal 33 qualify for getting the mark 30 cum laude.
During the exam consulting notes, slides, books, pocket calculators and any other electronic devices is not permitted.
Teaching tools
-slides
-software: matlab
-dati: http://www.ssc.wisc.edu/~bhansen/econometrics/
Office hours
See the website of Tiziano Arduini