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Syllabus Econometrics I.

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Syllabus Econometrics I.

The exam for the students who have not passed the intermediate test comprises both part I and II

Students who have passed the intermediate exam will complete the exam taking a test only on part II.

Part I

The Classical Linear Regression Model (CLRM) and the OLS Estimator

Statistical Properties of the OLS Estimator

Model Specification: Problems and Testing

Heteroskedasticity and Autocorrelation

This part thus includes chapters 1,2,3,4 of the textbook Part II

Endogeneity, Instrumental Variables (IV) and Generalized Methods of Moments (GMM)

Maximum Likelihood (ML) Estimation and Specification Tests

Specification Tests in Maximum Likelihood Estimation

Time series analysis: AR, MA and ARMA models

Stationarity and unit roots

ARCH and GARCH models

Part II includes chapters 5,6,8. Excluded 8.8, 8.10.2, 8.10.3, 8.11

Riferimenti

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