12511 - Time Series Analysis

Learning outcomes

The aim of the course is to provide theoretical concepts and methods on time series and panel data analysis such that it is possible to attend advanced time series and microeconometric courses and to perform real data analysis in a critical way.

Course contents

Time series analysis

Stochastic processes. Definition, characterization (Kolmogorov theorem) and properties: stationarity, invertibilità, ergodicity. Linear processes and Wold theorem. Backshift operator, difference operator and their properties. Polinomyals in the backshift operator. Infinit order AR and MA representations of linear stochastic processes. Global and partial autocovariance and autocorrelation functions.

Modelling. Finite approximation of infinit order AR and infinit order MA processes: AR(p), MA(q), ARMA(p,q) processes. ARIMA(p,d,q) models for nonstationary homogeneus linear processes. SARIMA(p,d,q)(P,D,Q) models for seasonal nonstationary homogeneus linear processes. Box-Jenkins procedure for the identification, estimation, diagnostic of a SARIMA processe. Analysis of real time series.

Panel data analysis

Introduction on panel data through some examples. Why should we use panel data? Benefits and Limitations.

Heteroskedasticity and serial correlation in the error component model.

One-way error component model. Introduction, the fixed effects and random effects models. Maximum likelihood estimation. Examples and selected applications.

Two-way error component model. Introduction. Fixed effects and random effects models. Maximum likelihood estimation. Examples and selected applications.

Hypotheses testing with panel data. Tests for poolability of the data. Tests for individual and time effects. Hausman's specification test.

Dynamic panel data models. Introduction. Studies of the properties and limitation of the main estimators of both fixed and random effects.

Readings/Bibliography

Bee Dagum E. Analisi delle serie storiche. Modellistica, previsione e scomposizione. Springer-Verlag Italia, Milano, 2001.

Baltagi B.H., Econometric analysis of panel data. Wiley, 2013.

Teaching methods

Lectures and tutorials are used to help learning the basic statistical notions for times series and panel data analysis. A tutor helps students in pratical exercises and real data applications.

Assessment methods

The final exam consists on a written test with ten open questions, being six on the time series analysis part and four on panel data analysis. Questions cover all the topics discussed during the course, that is theoretical issues, exercises, and real data analyses.

Teaching tools

Slides, available at campus.unibo.it.

Office hours

See the website of Silvia Bianconcini