72883 - Econometrics for Corporate Decisions

Learning outcomes

At the end of the course, the student is able to understand the basic linear and nonlinear regression methods, useful for the analysis of cross-sectional data that support the decisions of economic agents operating in the enterprise. In particular, the student is  able to: i) understand and read critically the applications of the different methods in the recent empirical literature; ii) to apply the tools acquired for the analysis of economic-business data using an appropriate statistical package (GRETL or STATA).

Course contents

1a. What is Econometrics?
Steps in Empirical Economic Analysis
The Structure of Economic Data (Cross-Sectional Data, Time Series Data, Pooled Cross Sections, Panel or Longitudinal Data)
A Comment on Data Structures; Causality and the Notion of Ceteris Paribus in Econometric Analysis
1b. Review of some basics (random variable,distribution of a random variable, conditional and unconditional moments –mean and variance-;population, parameters and random sampling; hypothesis testing)

1c. Introduction to software (GRETL http://gretl.sourceforge.net/ and STATA) and practical illustration of concepts in 1a, 1b

2. The Simple Linear Regression Model: theory and applications with GRETL (or STATA) in the lab empirical applications: modelling sales; evaluating the effect of promotions

3. The Multiple Linear Regression Model: theory and applications with GRETL or STATA in the lab empirical applications: modelling sales; evaluating the effect of promotions

4. Introduction to Maximum Likelihood estimation empirical applications: frauds in the "Wheel of Fortune" game; testing whether the 'difficulty' of academic exams is constant across rounds

5. Logit and Probit Models: theory and applications with GRETL or STATA in the lab empirical application: modelling the choice between two brands

6. Extending logit and probit models: overview

7. Using longitudinal data: overview

8. Extra (Topic lecture): Causality in Microeconometrics: examples

Additional empirical applications will be covered. Some applications are taken from the books in the reference list and from examples illustrated in other quantitative courses for this degree.

Teaching material on computer lab exercises will be made available to students through the University e-learning platform.

Readings/Bibliography

Stock, J. H. and Watson, M. W. (2009) Introduction to Econometrics, 3e

Wooldridge, J. (2016) Introductory Econometrics: A Modern Approach, 6e

R. C. Hill, W. E. Griffiths, G. C. Lim, (2011) Principles of Econometrics (4th edition, International Student Version), Wiley

Joshua Angrist and Jörn-Steffen Pischke (2009) Mostly Harmless Econometrics: an empiricist's companion

Joshua Angrist and Jörn-Steffen Pischke (2015) Mastering 'Metrics: The Path from cause to effect

Franses, P.H. and Paap, R. (2007) Quantitative Methods for Marketing Research

Teaching methods

Lectures involve the presentation of theoretical and applied issues of the various econometric methods. Applications are discussed in class and replicated during the computer laboratory session using GRETL or STATA.

 

Assessment methods

60-minute written exam with open questions and multiple choice questions. The questions will cover theory topics and practical exercises with GRETL/STATA software. The task will take place in the computer lab. The task may contain a minimum of 3 to a maximum of 10 questions depending on the difficulty of each question. The maximum score associated with correct answers for each question will be indicated in the task text.

The course is part of an integrated course for which a single grade will be recorded.

The test for the part of ECONOMETRIC MODELS FOR THE CORPORATE DECISIONS has a score from 0 to 30 and contributes to the final evaluation of the integrated exam if it is exceeded, that is, if the student achieves a score of at least 14 out of 30.

The integrated exam is passed if the overall grade (equal to the arithmetic average of the grades of the two modules of the integrated course) is 18 out of 30 or higher.

Teaching tools

Slides, teaching material , practice in the lab.

Self-evaluation on-line tests will be made available through the e-learning platform https://elearning-cds.unibo.it/

Lectures involve the presentation of theoretical and applied issues of the various econometric methods. Applications are discussed in class and replicated during the computer laboratory session using GRETL or STATA.

Software GRETL (available for free from the web): http://gretl.sourceforge.net/

Software STATA: available for students of the Department of Economics (CAMPUS license) and at the Computer Lab of the School of Economics and Management.

Office hours

See the website of Margherita Fort