- Docente: Sergio Pastorello
- Credits: 5
- SSD: SECS-P/05
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
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Corso:
Second cycle degree programme (LM) in
Economics and Economic Policy (cod. 8420)
Also valid for Second cycle degree programme (LM) in Financial Markets and Institutions (cod. 0901)
Course contents
1. Review of linear regression and ordinary least squares
2. Endogeneity and instrumental variables estimation
3. Linear panel data models
4. Maximum likelihood inference
5. Limited dependent variables models.
6. Conditional heteroskedasticity models
Readings/Bibliography
M. Verbeek, A guide to modern Econometrics, Wiley 2004.
Preliminary knowledge of basic econometrics necessary for this course can be acquired from:
Hill, Griffiths e Lim, Principles of Econometrics, 4th ed., Wiley, 2011, cap. 1-7, or M. Verbeek, A guide to modern Econometrics, Wiley 2004, cap. 1-4.
Teaching methods
For each topic we will first introduce the relevant theory, and then move as soon as possible to its empirical application. Special emphasis will be placed on the economic interpretation of the results. During classes some exercises will be proposed to students (not for grading purposes). Students will be required to answer these exercises autonomously. After a few days, the exercises will be solved during classes.
Assessment methods
The final exam is written. It lasts one hour and it is composed of two distinct sections.
The first one is mainly theoretical, and it contains 5 multiple choice questions. The second one is mainly empirical, and it contains 11 questions whose answers shoud be computed using Stata and knowledge of the empirical analysis discussed during classes. Whatever the section, each correct answer yields two points; no penalty is applied to wrong answers. The final mark is the total number of point obtained in the two sections.
During the exam it is forbidden to consult notes, slides, books, pocket calculators and any other electronic devices. The purpose of the exam is to ascertain that students acquired the knowledge required to correctly specify, estimate and test the econometric models discussed during the lectures and possess the ability to properly interpret the results provided by these procedures.
Teaching tools
We will discuss several empirical analysis and replicate the results of a few papers using the econometric software Stata.
The course will use the Piazza.com web platform to distribute materials and offer students a forum to interact among them and with the instructor. The precise address of the course web page will be announced at the start of the classes.
Office hours
See the website of Sergio Pastorello