Econometrics and Time Series 1
Instructors: Gianluca Cubadda, Franco Peracchi
Univariate Time Series (Cubadda): Univariate time series analysis: Basic concepts. Stationarity, autocorrelation, Linear indeterministic processes. Nonstationary time series analysis: ARIMA models. Seasonal models. Unit root tests. The Beveridge-Nelson decomposition. Forecasting and the evaluation of forecasts. Univariate analysis of financial time series: Volatility and conditional heteroscedasticity. GARCH and IGARCH models;
Static Regression (Peracchi): Introduction and review. The classical linear model and the OLS estimator. Sampling properties of OLS. GLS and feasible GLS. Diagnostic procedures. Hypothesis testing and model selection.