Applied Econometrics

Università Cattolica del Sacro Cuore

Course Description

  • Course Name

    Applied Econometrics

  • Host University

    Università Cattolica del Sacro Cuore

  • Location

    Milan, Italy

  • Area of Study

    Business Administration, Economics

  • Language Level

    Taught In English

    Hours & Credits

  • ECTS Credits

  • Recommended U.S. Semester Credits
  • Recommended U.S. Quarter Units
  • Overview

    The course aims at acquainting students with the fundamental aspects of econometric methods from both classical and time-series standpoints. The purpose is to prepare the student to competently handle the basic econometric tools for the measurement, modelling, interpretation and forecast of macro, micro-economic and financial phenomena. The course has a solid content of econometric practice to complement basic theory.

    Introduction: the nature and scope of Econometrics.
    The Classical Linear Model: Basic Assumptions. The Ordinary Least Squares Method.
    The normality assumption and the maximum likelihood estimation.
    Restricted Least Squares.
    Violations of the classical Regression Model Assumptions.
    Model selection: criteria and tests.
    Models with stochastic regressors: the Instrumental variable estimator, the two stage least squares estimator and the over identification test.
    Univariate time series models:
    ? Integrated processes and unit root tests.
    ? The concept and role of cointegration.
    Models for heteroskedastic time series:
    ? ARCH and GARCH models.
    ? Inference in ARCH and GARCH models.

    ? J.M. WOOLDRIDGE, Introductory Econometrics, a modern approach, South-Western, Cencage Learning, 2013.
    ? R.S. TSAY, Analysis of Financial Time Series, Wiley, 2010.
    Students will be provided with a detailed reading list of papers, class notes and supplementary teaching material which will be uploaded on the teachers? web pages.

    Lecture will be complemented by tutorial exercises and the practical application of economic and financial data using appropriate econometric packages.

    Students are required to sit a written exam at the end of each semester?s module consisting of open-answer questions on topics covered in the course. Depending on the results attained, the written test may be supplemented by an oral exam to complete the student assessment. The final mark assigned on completion of the module is based on this evaluation procedure.
    Alternatively, students may choose to sit a final exam on the contents of the two modules offered at the end of the course. The exam format follows the format described above.
    The exam procedure is the same in each exam session and applies to attending and non-attending students.
    Additional information will be provided on the lecturers? on-line site.

Course Disclaimer

Courses and course hours of instruction are subject to change.

Eligibility for courses may be subject to a placement exam and/or pre-requisites.

ECTS (European Credit Transfer and Accumulation System) credits are converted to semester credits/quarter units differently among U.S. universities. Students should confirm the conversion scale used at their home university when determining credit transfer.

Please note that some courses with locals have recommended prerequisite courses. It is the student's responsibility to consult any recommended prerequisites prior to enrolling in their course.