The course covers the main statistical tools to analyse economic and financial data. Topics include multiple linear regression, panel data, models suitable to interpret and forecast the temporal dynamic of phenomena observed in time series form, such as macroeconomics indicators, prices and returns of financial assets and their volatility. The focus is mainly applied, with the aim to provide the relevant statistical theory and experience. To make the results easily understandable and gain expertise in analyzing data, during the classes real examples using R will be extensively used.
Curriculum
teacher profile teaching materials
Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
James H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Fruizione: 21210457 Metodi statistici per l'econometria e la finanza in Scienze Economiche LM-56 NACCARATO ALESSIA
Programme
Basic knowledge of inference and linear algebra. Classical linear regression model: basic model assumptions, least squares estimation, maximum likelihood estimation, testing of model parameters, linearity, heteroschedasticity, autocorrelation, multicollinearity, endogenous regressors and estimators to instrumental variables, linear prediction, misspecification, stability of regression function.Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
Core Documentation
Introduzione all’econometriaJames H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Type of delivery of the course
Classroom lecturesType of evaluation
Oral interview on course topics teacher profile teaching materials
Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
James H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Fruizione: 21210457 Metodi statistici per l'econometria e la finanza in Scienze Economiche LM-56 NACCARATO ALESSIA
Programme
Basic knowledge of inference and linear algebra. Classical linear regression model: basic model assumptions, least squares estimation, maximum likelihood estimation, testing of model parameters, linearity, heteroschedasticity, autocorrelation, multicollinearity, endogenous regressors and estimators to instrumental variables, linear prediction, misspecification, stability of regression function.Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
Core Documentation
Introduzione all’econometriaJames H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Type of delivery of the course
Classroom lecturesType of evaluation
Oral interview on course topics teacher profile teaching materials
Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
James H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Fruizione: 21210457 Metodi statistici per l'econometria e la finanza in Scienze Economiche LM-56 NACCARATO ALESSIA
Programme
Basic knowledge of inference and linear algebra. Classical linear regression model: basic model assumptions, least squares estimation, maximum likelihood estimation, testing of model parameters, linearity, heteroschedasticity, autocorrelation, multicollinearity, endogenous regressors and estimators to instrumental variables, linear prediction, misspecification, stability of regression function.Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
Core Documentation
Introduzione all’econometriaJames H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Type of delivery of the course
Classroom lecturesType of evaluation
Oral interview on course topics teacher profile teaching materials
Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
James H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Fruizione: 21210457 Metodi statistici per l'econometria e la finanza in Scienze Economiche LM-56 NACCARATO ALESSIA
Programme
Basic knowledge of inference and linear algebra. Classical linear regression model: basic model assumptions, least squares estimation, maximum likelihood estimation, testing of model parameters, linearity, heteroschedasticity, autocorrelation, multicollinearity, endogenous regressors and estimators to instrumental variables, linear prediction, misspecification, stability of regression function.Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
Core Documentation
Introduzione all’econometriaJames H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
Type of delivery of the course
Classroom lecturesType of evaluation
Oral interview on course topics