11398 - Statistical Models for Economic Behaviour

Learning outcomes

At the end of the course the student has an in-depth knowledge of the problems and strategies of estimating statistical models of the behavior of micro-economic agents on the basis of individual data, especially with regard to the relationships between the data generating process and estimation methods, in phenomenal fields that pertain to consumption, production and processes of temporal duration. In particular, the student is able to: - master linear and maximum likelihood estimation techniques from individual sectional data - specify, estimate and discuss the results of models with panel data - specify, estimate and analyze duration models

Course contents

1) Recall of fundamental concepts

• Economic theories, models and measurements; macro and micro economic models; the concepts of Utility, rationality, limited rationality.
• The data generating process and the main estimation procedures

2) The linear regression model and least squares estimator
3) Endogeneity problems and instrumental variables estimation
4) Panel data models
5) Discrete choice models
6) Models for censored, truncated and duration data

Readings/Bibliography

W.H. GREENE, Econometric Analysis, Mac Millan, London, Third Edition, 2012

Capp.: 2,3,4,5,6,7,8,11,17,18,19

Teaching methods

Class lectures

Assessment methods

The exam aims to verify the achievement of the following educational objectives:

• in-depth knowledge of the effects of the data generating process on estimation techniques
• ability to identify the correct models to use in different cases
• ability to correctly interpret the results of the estimates for the different models studies

The evaluation and therefore the exam consists of a written test with open questions. The written test will focus on all the topics covered in the course, in particular on the degree of assimilation of theoretical tools and the ability to read model estimates.

Office hours

See the website of Luca Trapin