34481 - Econometrics 2

Learning outcomes

At the end of the course the student has acquired knowledge of the core time series econometric methods for the analysis of univariate and multivariate economic models. In particular, he/she is able: - to critically understand the applications of these models in the recent empirical economic literature; - to apply the models and perform his/her own analysis of economic datasets using a suitable econometric software

Course contents

1. Basic concepts of Stochastic Processes. Heterogeneity and memory of a process.

2. Stationarity and Ergodicity: simplifying restrictions.and practical consequences

3. The rationale of dynamic models, and some simple time series models.

4. Stationary linear models, trending behavior, unit roots and testing for stationarity

5. Spurious regression versus cointegration

6. Multivariate time series models, Vector autoreression (VAR) models, testing.

7. Granger causality, Impulse response functions, structural VAR models.

8. Non stationary multivariate models, Vector error correction models.

9. Testing for cointegration, estimating cointegrating rank and vectors.

Dynamic model behavior and model evaluation

1. Basic concepts of Stochastic Processes. Heterogeneity and memory of a process.

2. Stationarity and Ergodicity: simplifying restrictions.and practical consequences

3. The rationale of dynamic models, and some simple time series models.

4. Stationary linear models, trending behavior, unit roots and testing for stationarity

5. Spurious regression versus cointegration

6. Multivariate time series models, Vector autoreression (VAR) models, testing.

7. Granger causality, Impulse response functions, structural VAR models.

8. Non stationary multivariate models, Vector error correction models.

9. Testing for cointegration, estimating cointegrating rank and vectors.

Dynamic model behavior and model evaluation

Readings/Bibliography

W. Enders, Applied Econometric Time Series, 4^th Edition, J. Wiley, 2015

In addition, I will post the slides prepared for the lessons, which are an additional teaching material available for the students. All this teaching material, as well other useful informations to the class, are available on the Platform AlmaDL at the address: https://campus.unibo.it/

Teaching methods

The book by Enders will be our main reference source. I will often explain technical details left out of the book. The lessons will be performed with the use of slides prepared for lessons that will turn from time to time.  Practical exercises will be carried out in class, and students will be provided economic data so that they can practice on their behalf using an available econometrics software.

 

 

Assessment methods

- Final written exam 70%, exam duration an hour and a half

- Homework 30%

Students will be divided into groups of two people and each group will be assigned a homework. The final report, which must not exceed 10 pages, to be delivered before the final exam date.

Teaching tools

Lessons will take place both on the board and with the use of slides that will be part of the teaching material made available to the students. Econometric applications will be carried out with the use of an econometric software, that is free to use, and each of you can download it, install on the personal computer and practice at home.

Office hours

See the website of Renzo Orsi