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Laboratory (IEB)
Riccardo Lucchetti

Seat Fac. Economia - Sede di Ancona
A.A. A.A. 2016-2017
Credits 3
Hours 22
Period 2^ semestre
Language ENG

Prerequisites

Decent familiarity with basic descriptive statistics

Development of the course

The course will involve traditional lectures with theory content as well as computer practice sessions using the gretl software. The proportion between the two kinds will be about 1 to 1.

Learning outcomes

1.    Knowledge and understanding. 
This course will give the students a basic knowledge of the main descriptive analysis techniques of economic time series. Apart from a cursory treatment of filters and a brief exposition of Fourier analysis, the main focus will be put on common techniques for de-trendisation, de-seasonalisation and similar procedures. An introductory exposition of the standard procedures X13 e TRAMO-SEATS (as implemented in the free package gretl), will also be given.
2.    Capacità di applicare conoscenze e comprensione. 
Ability to apply the tools listed above to the analysis of time series with different periodicities (daily to yearly).
3.    Competenze trasversali. 
Either the theory elements that will be brought to the attention of the students during the course and the practice sessions will enable the students to develop a decent awareness on the main descriptive methods used for business, economic and financial time series. Students will improve their proficincy in the creation, maintenance and usage of time series databanks and their analysis via specialised software packages.

 

Program

1.    Theory (traditional lectures, 11 hours)
Filters: Lag operator (L) and polynomials in L. Invertibility and stability conditions.
De-trendisation and de-seasonalisation: MA ed EWMA filters. HP Filter. De-seasonalisation via dummy variables, trigonometric functions and seasonal filters. Periodograms.
2.    Practice sessions (11 hours)
Usage of gretl as a “time series processor”. Analysis of economic and finincial data sets.

 

Development of the examination

1.    Exam. 
Students will be graded according on the basis of presentations that they will deliver in groups of 3 or 4. They will also have to provide the slides to their presentations, whose object will be the analysis of a a dataset assigned in advance by the instructor.
2.    Assessment criteria.
Students will be required to have acquired a working knowledge of the principles and methods on the basic treatment of time series dataset in economics and finance. Students are also expected to show the ability of discussing and interpreting the quantitative results thus obtained.
3.    Grading scale 
The final mark is in 30ths (minimum 18). Possibly, a special mention (cum laude) can be awarded.
4.    Grading method 
The final mark will be the outcome of a comprehensive evaluation of the presentation’s quality. A special mention (cum laude) will be awarded to students who display a critical and comprehensive understanding of the course contents.

 

Recommended reading

Material provided by the teacher.

Courses

• L.M. - International Economics and Commerce curriculum International Economics and Business