Course 2023-2024 a.y.

30413 - ECONOMETRICS

Department of Economics

Course taught in English

Student consultation hours
Class timetable
Exam timetable
Go to class group/s: 25
BEMACS (8 credits - II sem. - OB)
Course Director:
GABRIELE NATALE DEANA

Classes: 25 (II sem.)
Instructors:
Class 25: GABRIELE NATALE DEANA


Synchronous Blended: Lessons in synchronous mode in the classroom (for a maximum of one hour per credit in remote mode)

Suggested background knowledge

To feel comfortable in this course, students should be familiar with differential and integral calculus, linear algebra, basic statistics and R programming.

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).
  • 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
  • Group assignment (report, exercise, presentation, project work etc.)
x    

ATTENDING AND NOT ATTENDING STUDENTS

 

Written exam(s) with open-ended questions requiring to prove theoretical results, solve exercises and comment upon the results of empirical analyses. The first and second partial exams are weighted the same (50%). The assignments are voluntary.

 

The exam aims at  assessing whether the students are capable of:

  • Defining the key elements of a basic econometric analysis using either cross-sectional or time-series or panel data.
  • Understanding the theoretical properties of econometric techniques.
  • Applying the proper econometric software.
  • Selecting the relevant variables and the proper estimation and testing methods.
  • Recognizing and testing the main required assumptions for the validity of a specific estimation method.
  • Interpreting the empirical results and describing their economic implications.

 

 

The "fuoricorso" students, those who have not completed the study plan in time,  must take the written exam and an oral exam, which will be held on the same day as the exam.


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 06/12/2023 13:04