- Docente: Tiziano Arduini
- Crediti formativi: 6
- SSD: SECS-P/01
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
-
Corso:
Laurea Magistrale in
Matematica (cod. 8208)
Valido anche per Laurea Magistrale in Quantitative finance (cod. 8854)
Conoscenze e abilità da conseguire
Al termine del corso, lo studente possiede una rigorosa preparazione in economia avanzata ed econometria, che gli permette essenzialmente di perseguire una carriera nella ricerca economica a livello universitario o in centri di ricerca pubblici o privati.
Contenuti
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 Tesiting
8. Univariate Time Series.
Testi/Bibliografia
-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)
Metodi didattici
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.
Modalità di verifica e valutazione dell'apprendimento
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.
Strumenti a supporto della didattica
-slides
-software: matlab
-dati: http://www.ssc.wisc.edu/~bhansen/econometrics/
Orario di ricevimento
Consulta il sito web di Tiziano Arduini