Lectures in econometric modelling (ed. 2015)

This book collects a series of lectures on classical econometrics given, at different times, at the Catholic University of Milan and at the Geneva University, on the one hand, as well as within several PhD. programs in Economics and Statistics, on the other. As prerequisites to successfully tackle the topics dealt with in the book, we recommend the usual toolkit of linear algebra and mathematical statistics, beyond a knowledge of the principles of econometrics. The book is essentially meant to provide a thorough overview on the theory and methods of multi-equation econometric models. The topics to be investigated move from a conspectus of forms of both linear and non-linear models, in static and dynamic frameworks, to causal structure analysis from a system-theoretic standpoint, to continue with parameter identification and estimation issues, and simulation and prediction techniques, to conclude with multiplier analysis and policy utilization of econometric models. A useful insight into the book design and intents can be gained by looking at the table of contents in the light of the flow-diagram shown in the front cover. Milan, February, 2014 Mario Faliva – Maria Grazia Zoia