Università degli Studi di Pavia - Faculty of Economics

Part I : Time series models.
Difference equations and their solutions, Stationary time series models, ARMA models and model selection criteria, Deterministic and stochastic trends, Tests for unit roots (univariate and panel). VAR analysis: estimation and identification, Cointegration and error correction models.

Part II: Microeconomic data models.
Models with limited dependent variables: binary choice and multinomial models, Ordered, sequential and ranked outcomes, Censored and truncated models, Sample selection models
Models for panel data: fixed effects, random effects, random coefficients models, GMM estimation of linear panel models.



SYLLABUS

The first part of the course will introduce the time series models, and discuss the analysis of short and long-term behaviour with structural vector error correction models.
The second part of the course will focus on microeconomic data models. Analysis will be undertaken on both qualitative and panel data.
Illustrative examples and data sets are taken from the finance and microeconomics area.