Course 2017-2018 a.y.

Classes: 25 (II sem.)

Instructors:
Class 25: MASSIMILIANO MARCELLINO

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, models for qualitative variables and panel data. Such techniques are illustrated both theoretically and by means of empirical economic applications implemented using softwares such as 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.

L’esame è scritto e può essere sostenuto in un’unica prova generale oppure in due prove parziali (in questo caso il voto finale è la media dei voti delle prove parziali).

• 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.

Sound knowledge of the topics studied in the courses of mathematics and statistics, including basic programming in Matlab and R.