Statistical Methods and Applications

MASSIMO FRANCHI
MASSIMO FRANCHI

Learning goals
The main goal is acquiring advanced modelling techniques for mutivariate economic data. Students are expected to understand the theoretical foundations of the methods studied and to apply them to real datasets.

Knowledge and understanding
The focus of the course will on the Vector Autoregressive (VAR) model in stationary and non stationary settings, using both asymptotic and simulation (bootstrap) inference

Applying knowledge and understanding
After the course students will be able to specify a VAR model, evaluate if is adequate to the dataset of interest , use for estimating causal relationship and formatulate forecasts

Making judgements
Learning how to judging the adequacy of the models and assessing the uncertainty of the estimated relationships and forecasts will be an essential part of the course

Communication skills
Learning to communicate the results of the estimation process both in oral and written form will be an essential part of the course

Learning skills
The models object of the course are essential parts of the most advanced and complex models used in quantitative economic analysis, which the students will then be able to tackle.

Knowledge of econometric theory for univariate methods (Econometria Finanziaria, Prof. Franchi) is a prerequisite.

The reference textbook is

Guidolin, M., Pedio, M., Essentials of Time Series for Financial Applications, 1st Edition, Academic Press, May 2018.

In particular, we will cover:

i) Vector Autoregressive Moving Average (VARMA) Models, (Ch. 3)

ii) Cointegration, (Ch. 4)

iii) Multivariate GARCH and Conditional Correlation Models, (Ch. 6)

Guidolin, M., Pedio, M., Essentials of Time Series for Financial Applications, 1st Edition, Academic Press, May 2018.

Tsay (2010) Analysis of Financial Time Series, Wiley
Hamilton (1994) Time Series Analysis, Princeton University Press

theoretical lessons and exercises in the laboratory

exercises evaluated during the course and final written and oral exam