Modules | Area | Type | Hours | Teacher(s) | |
TIME SERIES ECONOMETRICS | SECS-P/05 | LEZIONI | 42 |
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Time Series Econometrics is aimed at students who wish to gain a working knowledge of time series and forecasting methods as applied in economics, social sciences, and finance. The course introduces the theory and practice of time series analysis, with an emphasis on practical skills. More generally, students will gain an appreciation for the role of dependence in statistical modeling.
Time Series Econometrics is aimed at students who wish to gain a working knowledge of time series and forecasting methods as applied in economics, social sciences, and finance. The course introduces the theory and practice of time series analysis, with an emphasis on practical skills. More generally, students will gain an appreciation for the role of dependence in statistical modeling.
At the end of the course, students should be able to model and forecast a time series as well as read papers from the literature and start to do research in time series analysis.
Students need to be familiar with basic concepts in probability and statistics, linear algebra, and calculus.
Students need to be familiar with basic concepts in probability and statistics, linear algebra, and calculus.
It is expected that all students attend the lectures, be up to date with their readings and be prepared to participate fully in class. If you have problems mastering the material covered in class, please ask questions in class or during office hours.
It is expected that all students attend the lectures, be up to date with their readings and be prepared to participate fully in class. If you have problems mastering the material covered in class, please ask questions in class or during office hours.
The main reference for this courses is:
However, especially for some of the topics, other references are going to be useful:
The main reference for this courses is:
However, especially for some of the topics, other references are going to be useful:
The final grade depends on their performances on two written in-class exams, a midterm and a comprehensive final, and a take-home exam. The take-home is made available to students two weeks prior to the end of the course and it is due back at the beginning of the last day of class. Midterm, comprehensive final and take-home exam are compulsory for successfully completing the course, and they will be valid until the second semester of the academic year 2019—2020. The final grade is calculated as a weighted average the three exams according to the following weighting scheme: Take-home: 30% Midterm: 20% Final: 50%
The final grade depends on their performances on two written in-class exams, a midterm and a comprehensive final, and a take-home exam. The take-home is made available to students two weeks prior to the end of the course and it is due back at the beginning of the last day of class. Midterm, comprehensive final and take-home exam are compulsory for successfully completing the course, and they will be valid until the second semester of the academic year 2019—2020. The final grade is calculated as a weighted average the three exams according to the following weighting scheme: Take-home: 30% Midterm: 20% Final: 50%