Econometrics Review Course
Instructor: Marco Lippi (University of Rome “La Sapienza” & EIEF)
- Sept. 20, 21, 27, Oct. 11, 12 (11am-1pm)
Syllabus
Instructor: Franco Peracchi (University of Rome “Tor Vergata” & EIEF)
- Oct. 3, 10, 13, 17, 20 (3-5pm)
Syllabus
Multivariate ARMA models. Structural VAR models. Co-integration. GARCH and stochastic volatility models. Asymptotic theory for linear and nonlinear estimators. IV and GMM. Models for discrete and limited dependent variables. Panel data models.