B2205 - TIME SERIES ECONOMETRICS

Learning outcomes

The aim of the course is to introduce the basic methods to empirically model the relationships among economic time-series. In doing so, a particular attention will be paid to close the gap between theoretical macro issues and the econometric practice. At the end of the course, students will be able to understand papers in this field of research, and to use/make their own empirical analyses with econometric software.

Course contents

1. Univariate analysis
1.1 Dynamic properties of time series: trend and cycle decomposition
1.2 Non stationarity and unit roots in the AR model

2. Multivatiare analysis
2.1 Spurius regression and cointegration
2.2 Dynamics of single equations in the ARDL model
2.3 Dynamics of systems in the VAR model
2.4 Dynamics and common factors

Readings/Bibliography

During the course, papers, handouts, and data will be posted in Virtuale for students regularly attending classes. During the course, in class, I will also illustrate how to use the references below.

Textbooks

- Entry level
Philip Hans Franses, Dick van Dijk and Anne Opschoor, "Time Series Models for Business and Economic Forecaststing" (2nd edition), Cambridge University Press.
or
Christiaan Heij, Paul de Boer, Philip Hans Franses, Teun Kloek and Herman K. van Dijk, "Econometric Methods with Applications in Business and Economics", Oxford University Press, part 7: Time Series and Dynamic Models.

Intermediate (main reference)
- Hashem Pesaran, "Time Series and Panel Data Econometrics", Oxford University Press, chapters 6, 12-13, 14-16, 19-22

Advanced (selected parts, in class)
- James Hamilton, "Time Series Analysis", Princeton University Press.

Teaching methods

Each lecture presents both theoretical and applied aspects of the econometric method, by using the PC screen in class to show main outcomes of the regression analysis. For this, attending regularly classes is of fundamental relevance.

Assessment methods

For students attending classes
- 30% project in which you obtain data and use them
- 70% final (written) examination

Other students
- only written examination (on the basis of Pesaran reference above)

 

Scale of assessment: <18: insufficient; 18-23: sufficient; 24-27:good; 28-30: very good; 30 e lode: outstanding.

Teaching tools

Methodological lectures and empirical applications with econometric software.

Links to further information

https://virtuale.unibo.it/

Office hours

See the website of Roberto Golinelli