ADVANCED ECONOMETRICS

This course introduces students to tools widely used in modern econometrics, discussing the properties of a variety of methods for the analysis of cross section, time series and panel data. Methods and applications will be soundly integrated.

Review of basic statistical notion. Classical linear regression model: specification, estimation and hypothesis testing. The linear regression model for cross section data. The generalised linear regression model for cross section data. The linear model with endogenous regressors: SIV, GIVE and GMM estimators. The Sargan and Hausman tests. The linear model for panel data(static and dynamic). Discrete choice models. Time series analysis: stazionarity and ergodicity. Univariate linear models for statioanry time series: the ARMA models. Treating non-stationary series: the ARIMA models. The dynamic linear model. The generalized linear model for time series data. Multivariate time series models.