Course 2018-2019 a.y.

30462 - ECONOMETRICS

Department of Economics

Course taught in English
Go to class group/s: 13
BESS-CLES (7 credits - II sem. - OB  |  SECS-P/05)
Course Director:
MASSIMILIANO MARCELLINO

Classes: 13 (II sem.)
Instructors:
Class 13: MASSIMILIANO MARCELLINO


Prerequisites

Prerequisites: Students should have basic knowledge of linear algebra and should be confortable with the basic principles of optimization theory, statistical estimation and inferential methods.

Mission & Content Summary

MISSION

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 testing theory; econometric specification techniques and model selection problems; instrumental variables, models for qualitative variables and panel data. Such techniques are illustrated both theoretically and by means of empirical economic applications implemented using software such as EViews, Stata, Matlab or R.

CONTENT SUMMARY

  • Introduction to the regression model in the univariate case.
  • The general linear model.
  • Least squares criterion and estimators.
  • Properties of estimators.
  • Tests of linear hypotheses on the parameters of the model.
  • Asymptotic results for the linear model.
  • Generalized least squares.
  • Tests of correct specification.
  • Instrumental variables.
  • Hausman Test.
  • Models for qualitative variables (LPM/Logit/Probit).
  • Tobit model for corner solution responses and censored and truncated regressions.
  • Sample selection corrections.
  • Panel data models.

Each topic is first introduced theoretically and then illustrated through empirical applications


Intended Learning Outcomes (ILO)

KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...
  • Define the key elements of a basic econometric analysis.
  • Select the relevant variables and the proper econometric methods.
  • Recognize and test the main required assumptions for the validity of a specific estimation method.
  • Compare and select the outcome of alternative econometric methods.
  • Interpret the empirical results.

APPLYING KNOWLEDGE AND UNDERSTANDING

At the end of the course student will be able to...
  • Perform basic econometric analyses to address specific economic questions.
  • Develop and/or apply the proper econometric software.
  • Analyze the validity of specific estimation and testing methods.
  • Describe the economic implications of the results.

Teaching methods

  • Face-to-face lectures
  • Exercises (exercises, database, software etc.)

DETAILS

Solution of theoretical and empirical questions related to the various topics in the syllabus.


Assessment methods

  Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
   x x

ATTENDING AND NOT ATTENDING STUDENTS

Written exam(s) with open ended questions.


Teaching materials


ATTENDING AND NOT ATTENDING STUDENTS

  • M. MARCELLINO, Applied Econometrics: An Introduction, Bocconi University Press, 2016.
  • J.M. WOOLDRIGE, Introductory Econometrics: A Modern Approach, South-Western College Pub, 2013, 5th edition.
Last change 03/06/2018 22:41