|
Derived from
|
21210457 Statistical methods for econometrics and finance in Economics LM-56 NACCARATO ALESSIA
(syllabus)
Basic knowledge of inference and linear algebra. Classical linear regression model: basic model assumptions, least squares estimation, maximum likelihood estimation, testing of model parameters, linearity, heteroschedasticity, autocorrelation, multicollinearity, endogenous regressors and estimators to instrumental variables, linear prediction, misspecification, stability of regression function.
Fixed-effects and random-effects panel data models. Time series analysis: descriptive aspects, AR, MA, ARMA models, distributed lag models.
(reference books)
Introduzione all’econometria
James H. Stock - Mark W. Watson
Ed. Pearson
Econometria
Marno Verbeek
Ed. Zanichelli
Lecturer's Notes
|
Università Roma Tre