- Docente: Renzo Orsi
- Credits: 9
- SSD: SECS-P/05
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Financial Economics (cod. 0026)
Learning outcomes
Students need a background in statistics and quantitative methods (mathematics)
Course contents
The course content is designed to give students an understanding of why econometrics is necessary for an economist, and to provide them with a working knowledge of basic econometric tools. These methods represent the core of econometrics and they can be helpfully used to model, estimate, carry out inference and forecasting in the context of real world economic problems. They are also useful for evaluating critically the results and conclusions from others who use basic econometric tools. They have a foundation and understanding for further study of econometrics, and finally have an appreciation of the range of more advanced techniques that may be covered in other (advanced) econometric courses. The first part of the course is devoted to treat simple and multiple regression models, inference techniques for these models as well as the analysis of a correct model specification by using the most common diagnostic testing procedures. Subsequently econometric problems related to dynamic model specification and analysis are introduced and developped. Some basic asymptotic theory for the regression model is also developped, and the last part of the course is devoted to the analysis of time series data in presence of non stationarity and cointegration.
Readings/Bibliography
Textbook:
N. CAPPUCCIO e R. ORSI, Econometria, Il Mulino, Bologna, 2005
Software:
Using GRETL, Gnu Regression, Econometrics and Time Series library, downladable from http//gretl.sourceforge.net
Teaching methods
We have regular classroom associated with sessions in the computing room useful to learn to use Gretl software and carry out applied econometric analysis
Assessment methods
Final examination will be held in computing room with the use of GRETL. Theoretical and practical questions will be addressed.
Teaching tools
Within the course the freely available econometric software GRETL (download from http://gretl.sourceforge.net) will be explained in detail, by showing how to use GRETL to apply econometric methods developped in classroom to real data and replicate examples. The software GRETL is also available for students in the computing room of the Faculty where the computing sessions will be held. At the end of the course a student will be able to carry out, autonomously, the empirical analysis of a real economic model. This is an integral part of the course and is a necessary qualification for the final examination.
Office hours
See the website of Renzo Orsi