Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Study Plan
This information is intended exclusively for students already enrolled in this course.If you are a new student interested in enrolling, you can find information about the course of study on the course page:
Laurea magistrale in Economics and data analysis - Enrollment from 2025/2026The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
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1 module between the following2° Year activated in the A.Y. 2021/2022
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2 modules among the following2 modules among the following1 module between the following| Modules | Credits | TAF | SSD |
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2 modules among the following2 modules among the following1 module between the following| Modules | Credits | TAF | SSD |
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Time series and forecasting (2021/2022)
Teaching code
4S008977
Teacher
Coordinator
Credits
9
Language
English
Scientific Disciplinary Sector (SSD)
SECS-P/05 - ECONOMETRICS
Period
secondo semestre (lauree magistrali) dal Feb 21, 2022 al May 13, 2022.
Learning outcomes
The module aims to introduce students to time series analysis, in order to understand how economic phenomena evolve over time. It will present the main econometric tools used to make forecasts and assess their accuracy on economic and financial time series. The use of statistical and econometric professional packages will complement the study of theoretical concepts. At the end of the module, students will prove to be able to critically interpret dynamic models for the analysis and forecast of economic and financial variables, in response to real problems.
Program
1. Empirical properties of economic and financial data
Review of univariate and multivariate statistics
Joint, marginal and conditional density
Correlation versus Dependence
The multivariate Normal
Distributional properties of time-series
Non-normality tests
Serial correlation, Ljung-Box and Box-Pierce test statistics
Markov property
2. Stationary linear time-series models I
Weak and strong stationarity
White noise, random walk, random walk with trend
The autocovariance of a weakly stationary process
AR(1) model: conditions for stationarity, autocovariance and autocorrelation.
AR(2) model: vector representation, conditions for stationarity, autocovariance and autocorrelation.
3. Stationary linear time-series models II
The AR(p) model: vector representation, conditions for stationarity, autocovariance and autocorrelation
The Yule-Walker equations
MA(q) model: stationarity, autocovariance and autocorrelation
Invertibility of MA(1) and identification issues
ARMA(p,q) model: stationarity, autocovariance and autocorrelation
The Wold decomposition theorem
Short versus long memory processes
4. Estimation, Identification and Diagnostic
LLN and CLT for dependent process
Consistency and asymptotic normality of the sample mean and sample autocovariance
Yule-Walker estimation of AR(p) processes
OLS estimation of AR(p) process
Violation of strict exogeneity in time-series models
Maximum-likelihood estimation
MLE of sample mean and sample variance under normality
Asymptotic properties of MLE
Conditional Maximum-likelihood estimation
Exact and conditional likelihood estimation of the AR(1) model
Conditional likelihood estimation of the MA(1) model
Quasi-maximum likelihood
Partial autocorrelation and information criteria
Diagnostic
5. Forecasting
Loss functions and mean square error
Forecasting based on conditional expectations
Forecasting with AR, MA and ARMA models
Multistep ahead forecasts
Direct versus iterated forecasts
Density forecasts
Some remarks on non-linear time-series models and realized volatility
Bibliography
Examination Methods
The exam consists of a written exam and a group homework that will be assigned to students at
the end of the course. Each group is formed by a maximum of four students, and is assigned a
different homework. The goal of the homework is to reproduce (a part of) the empirical results of
a scientific paper using a computer code. The final result is a weighted average of the written
exam grade (70%) and the homework grade (30%), with the constraint that a minimum grade of
16/30 in the written exam is required to pass the exam. The homework must be submitted by the written exam date. The homework grade remains valid until the lectures of the following academic year start.
