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Course 2010-2011 a.y.

20295 - MICROECONOMETRICS


CLMG - M - IM - MM - AFC - CLAPI - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT
Department of Economics

Course taught in English


Go to class group/s: 31

CLMG (6 credits - I sem. - OP  |  SECS-P/05) - M (6 credits - I sem. - OP  |  SECS-P/05) - IM (6 credits - I sem. - OP  |  SECS-P/05) - MM (6 credits - I sem. - OP  |  SECS-P/05) - AFC (6 credits - I sem. - OP  |  SECS-P/05) - CLAPI (6 credits - I sem. - OP  |  SECS-P/05) - CLEFIN-FINANCE (6 credits - I sem. - OP  |  SECS-P/05) - CLELI (6 credits - I sem. - OP  |  SECS-P/05) - ACME (6 credits - I sem. - OP  |  SECS-P/05) - DES-ESS (6 credits - I sem. - OP  |  SECS-P/05) - EMIT (6 credits - I sem. - OP  |  SECS-P/05)
Course Director:
MICHELE PELLIZZARI

Classes: 31 (I sem.)
Instructors:
Class 31: MICHELE PELLIZZARI


Course Objectives

Microeconometrics is the branch of economics that empirically tests the behavioural implications of microeconomic theory using large individual-level datasets, e.g. labour force surveys, population or firm census. This course aims at introducing the students to these techniques, through a combination of theoretical lectures and applied computer sessions. At the end of the course students are able to identify and use the most suitable techniques and data for the empirical test of microeconomic theories.


Course Content Summary
  • Review of linear estimation techniques: ordinary and generalized least squares.
  • Non linear estimation techniques: maximum likelihood estimation and other optimization methods.
  • Discrete response models: Probit model, Logit model, binomial and multinomial models, ordered data models, Poisson regressions.
  • Censored and truncated dependent variables: Tobit models.
  • Sample selection: models with linear and non-linear selection rules.
  • Linear models for panel data: fixed- and random-effect regressions.
  • Models for the analysis of duration data.

The theoretical lectures are combined with applied sessions during which students are introduced to the software STATA.


Detailed Description of Assessment Methods
Written exam, with the possibility to integrate groupwork into the final grade.

Textbooks
  • J.M. Wooldridge,  Econometric Analysis of cross section and panel data, MIT Press, 2002.
  • A. COLIN Cameron, P.K. Trivedi,  Microeconometrics. Methods and Applications, Cambridge University Press: New York, 2005.
  • M. Arellano, Panel Data Econometrics, Oxford University Press: Oxford, 2003.
  • J.D. ANGRIST, J.S. PISCHKE, Mostly Harmless econometrics: an empiricist's companion, Princeton University Press, 2009.

Additional readings are provided at the beginning of the course.


Prerequisites

To deal with the topics covered here it is recommended that students have some knowledge of the contents of basic econometrics and the mathematical and statistical techniques used therein.

Last change 24/06/2010 10:06