79062 - ECONOMETRICS

Conoscenze e abilità da conseguire

By the end of the course the student should have acquired the basics of econometric modelling. In particular the student should be able: - to specify and estimate linear, single-equation econometric models and to face the endogenous regressors issue; - to perform a specification analysis of the model

Contenuti

• The Classical Linear Regression Model. Derivation of Ordinary Least Squares estimator (OLS). Decomposition of variance, R-squared.

• Small sample properties of the OLS estimator. Gauss-Markov Theorem.

• Partitioned Regression, redundant/omitted variables, bias-variance trade-off, Frisch Waugh Theorem.

• Inference. Tests of simple and joint hypothesis. Large sample properties of OLS.

• Heteroskedasticity. Generalised Linear Regression Model. Generalised Least squares Estimator (GLS), Feasible GLS (FGLS). 

• Instrumental Variables estimator (IV). Two-Stage Least Squares estimator (TSLS).

• Binary choice models.
  
  
• Introduction to panel data.

Testi/Bibliografia

Main reference:

Wooldridge, "Introductory Econometrics: A Modern Approach", 7th Edition (2019)

Additional references:

Verbeek, “A Guide to Modern Econometrics”, Wiley (2017).

Wooldridge, "Econometric Analysis of Cross Section and Panel Data", MIT Press (2010)

Greene, “Econometric Analysis”, Pearson (2017)

Metodi didattici

Traditional lectures to introduce econometric techniques and to analyse empirical applications.

Modalità di verifica e valutazione dell'apprendimento

Written examination. The written examination aims to assess knowledge of the theoretical tools adopted in the course, the ability to apply such tools to empirical contexts, and the ability to interpret the outcome of empirical analyses. The exam will have open questions and multiple choice questions, also regarding the interpretation of Stata output, in a similar fashion to the examples seen in the course and available on the course web site. Each question reports the maximum score available, and the overall mark is given by the sum of the scores of each part of the exam. The minimum score assigned to each answer is zero: there is no negative mark for wrong answers. The maximum score that students can receive for answers that are correct and complete is 30 with distinction. The minimum pass grade is 18/30.

Supporting material (textbooks, notes, electronic and web enabled devices etc.) is not allowed.

Total time available for the written exam is 60 minutes.

Students may refuse the grade only once.

Strumenti a supporto della didattica

• Slides, available on the course web site (on Virtuale)
• Stata software

Orario di ricevimento

Consulta il sito web di Renata Bottazzi