30462 - ECONOMETRICS

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.

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.

• 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

• 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.

• 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.

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

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

Written exam(s) with open ended questions.

• 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.