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Derived from
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21210418 Advanced topics in Statistical learning in Environmental Economics, labour and sustainable development LM-56 BARBIERI MARIA MADDALENA
(syllabus)
A refresher on multiple linear regression. Further topics in regression analysis: Instrumental variables, Differences-in-Differences, Regression Discontinuity estimators, Heckman's sample selection model, Mediation analysis, Quantile regression. Introduction to time series and forecasting. Models for univariate time series: ARMA, ARIMA, ARCH, GARC. Time series regression with additional predictors. The autoregressive distributed lag model. Estimation of dynamic causal effects. The VAR model. Breaks. Cointegration and error correction. Prediction with many regressors and big data: Ridge regression, the Lasso, tree-based methods.
(reference books)
Stock J.H. and Watson M.W., Introduction to Econometrics, Global edition, 4th Edition, 2020, Pearson.
Angrist, J.D. ; Pischke, J.-S., Mostly harmless econometrics : an empiricist's companion, 2009, Princeton University Press.
James, G., Witten, D., Hastie, T. and Tibshirani, R. (2021) An Introduction to Statistical Learning with R (2nd edition).
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Università Roma Tre