30284 - EMPIRICAL METHODS FOR ECONOMICS (INTRODUCTION TO ECONOMETRICS)
CLEAM - CLEF - WBB - BIEF - BIEM
Course taught in English
Go to class group/s: 31
The course goal is to familiarize students with the theory and use of quantitative methods in economics. The topics of the course are: the linear model and its generalizations; estimation and test theory; econometric specification techniques and model selection problems; instrumental variables. Such techniques are illustrated both theoretically and by means of empirical applications.
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The general problem of the approximation of a relation between economic variables.
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Introduction to the regression model in the univariate case.
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The general linear model.
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Strong and weak hypotheses.
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Minimum squares criterion and estimators.
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Statistic properties of estimators.
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Alternative characterizations of estimators (orthogonality, BLUE).
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Interval estimation.
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Tests of linear hypotheses on the parameters of the model.
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How to interpret the results of an application of the linear model.
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Asymptotic results for the linear model.
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Test of nonlinear hypotheses on the parameters of model.
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Heteroschedasticity and generalized minimum squares.
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Correct specification test.
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Nonlinear models.
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Instrumental variables.
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Panel data models.
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Models for qualitative variables.
Written exam. Possibility to take the partial exams (the final grade will be the average of the two parts).
- M. Marcellino, Introduction to Applied Econometrics, EGEA, forthcoming.
- Additional material will be provided.
Sound knowledge of the topics studied in the courses in mathematics and statistics.