Econometric Theory (Statistics, Classical Econometrics)

Instructor: Yosef Rinott, Giuseppe Ragusa

Elements of probability. Modes of convergence. Introduction to asymptotic theory. Statistical inference: estimation and hypotheses testing. Conditional Expectations and related concepts in Econometrics. Single equation Estimation Linear Model and OLS Estimation. Asymptotic Properties of OLS. Testing (Wald and Lagrange). Omitted Variables. Measurement Error. Instrumental Variables Estimation of Single Equation Linear Model.

Adavanced Econometrics (Classical Econometrics, Time Series Analysis)

Instructors:Giuseppe Ragusa, Paolo Zaffaroni

Maximum Likelihood and M-Eestimation. Generalized Method of Moments (GMM) and Minimum Distance Estimation. Unobserved effects Panel Data models. Modelling economic and financial time series: introduction. Linear univariate time series: ARMA processes. Linear multivariate time-series: VAR processes. Nonstationarity. Cointegration. Financial time series and their characteristics: stylized facts and empirical evidence. Nonlinear models and their applications. Conditional heteroscedastic models: estimation and testing.