Università di Firenze
Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”
Viale Morgagni 59
Alessandra Amendola, University of Salerno
Giorgio Calzolari, University of Firenze
Francesca Di Iorio, University of Napoli Federico II
Riccardo Lucchetti, Università Politecnica delle Marche, Ancona
Malvina Marchese, University of Genova and Cass Business School
Giuseppe Storti, University of Salerno
The course requires a working knowledge of basic linear algebra, statistical inference and multiple linear regression model with the notation of linear algebra (matrices and vectors).
To this aim the following preliminary readings are suggested:
Chapt. 1, 2, 3, 6 in Greene, W. H. (2002): Econometric Analysis (5-th edition). Upper Saddle River (NJ): Prentice Hall.
Or chapt. 1-6 in Johnston, J. (1984): Econometric Methods (3rd edition). New York: McGraw-Hill, Inc. Italian translation by M. Costa and P. Paruolo (1993): Econometrica (3rd edition). Milano: Franco Angeli.
Reference textbook for the course:
Handouts, readings and further material will be provided before the beginning of the course and during the lectures.
Schedule of the course:
Classical tests: Wald, Likelihood Ratio, Lagrange Multipliers (or Score test)
Linear models for time series (AR / MA): Box-Jenkins approach, identification, estimation, forecast.
Non-stationarity: definitions and tests, spurious regression, cointegration and common trends, single equation approach (Engle and Granger), approach of Johansen (outline). SVAR and FVAR (outline).
Non-linear models for estimating and forecasting volatility: ARCH and GARCH.
Applications: estimation of volatility on equities, GARCH estimation of Value at Risk, interest rates, behaviour of some national accounting time series. GARCH extensions and multivariate GARCH
Practical applications using the freeware software Gretl (download here)
Venue and timetables
The course will last one week and will be held in the University Residential Centre, Via Frangipane 6, 47032 Bertinoro (FC). This course is expected to be indivisible from the course Introductory Econometrics (26 June- 1 July) for most participants, but participation in a single course is allowed. Participants will be accommodated at the Centre guest quarters (as an exception, in case of reduced availability of rooms in the Centre, they will be accommodated in local hotels). Lectures and tutorials will be in English, with the following schedule (provisional):
Monday to Friday: lectures: 9.00-10.50, 11.10-13.00, 15.30-17.20; tutorials: 17.40-19.30.
Saturday: lectures: 9.00-10.50, 11.10-13.00.
For the computer tutorials participants will use the Gretl package, which will have to be installed on their own laptops. In exceptional cases, when students cannot use their a computer of their own, we may be able to supply an alternative solution, but please inform the course coordinator beforehand.
Fees and Enrollment
- Students, Master's students, PhD students and temporary university staff: 600€
- University staff: 700€
- Others: 2300€
Fee includes: accommodation (usually in double room) with breakfast and lunch starting from Sunday evening.
Partecipants who wish to attend two or three Courses, are allowed the following reduced fees per Course
- Students, PhD students and temporary university staff: 500€ per Course
- University staff: 600€ per Course
- Others: 1750€ per Course
Partecipants attending this course and Introductory Econometrics will have free accommodation the night of the Saturday 1 July in Bertinoro included in the fee