86530 - ECONOMETRICS

Anno Accademico 2018/2019

  • Docente: Sergio Pastorello
  • Crediti formativi: 8
  • SSD: SECS-P/05
  • Lingua di insegnamento: Inglese

Conoscenze e abilità da conseguire

In this course the student learns the basic econometric tools useful for a proper empirical analysis of economic phenomena. At the end of the course the student is able to: - Critically evaluate the application and empirical economic literature; - Apply the basic econometric methods to conduct empirical analysis (forecasts and estimates) in the economic field with the use of an appropriate econometric software.

Contenuti

Questo è un insegnamento in lingua inglese.

Part I

  1. Introduction to econometrics
  2. The simple linear regression model: definition, OLS parameter estimation, properties
  3. Interval estimation and hypothesis testing in the simple linear regression model
  4. Forecasting, Goodness of fit and specification issues in the simple linear regression model
  5. The multiple linear regression model: definition, OLS parameter point and interval estimation, hypothesis testing
  6. Further results for the multiple linear regression: joint hypothesis testing, model specification, collinearity, forecasting
  7. Dummy regressors; the linear probability model; estimating treatment effects

Part II

  1. Heteroskedasticity, different types of tests, robust standard errors and generalized least squares estimation
  2. Dynamic models and the nature of time series data. Autocorrelation: definition, tests and different types of dynamic models
  3. Regression with stationary time series data. Alternative dynamic model specification
  4. Random regressors and moment based estimation. Instrumental variables estimation and specification tests
  5. Regression with non-stationary time series data. Deterministic vs. stochastic trends. Spurious regressions. Test for unit roots. Random walk. Cointegration. The Engle-Granger approach and the error correction model specification

Testi/Bibliografia

R. Carter Hill, William E. Griffiths and Guay C. Lim, Principles of Econometrics, International Student Version, 4th Edition, 2011, Wiley.

Metodi didattici

Questo è un insegnamento in lingua inglese.

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.

Modalità di verifica e valutazione dell'apprendimento

Questo è un insegnamento in lingua inglese.

For each one of the two Parts of the course, 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 points 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.

Students can reject the grade obtained at the exam once. To this end, he/she must email a request to the instructor within the date set for registration. The instructor will confirm reception of the request within the same date.

Rejection is intended with respect to the whole exam, whose grade is the average of the grades obtained in the two mid-terms. If the grade is rejected, the student must retake the full exam (consisting of both parts). The only grade that can be rejected without any communication from the student is the one of the first mid-term: in this case the student can either take the second mid-term or sit the full exam (thus losing the grade obtained in the first mid-term).

Students sitting the first mid-term can take the second mid-term on the first examination date set for the full exam, right at the end of the course, or on the following call. A student can sit the second mid-term only once; if he/she fails or rejects the grade obtained, he/she will have to resit the full exam and will lose the grade obtained in the first mid-term.

The final exam is written and is held in the computer lab. It lasts one hour for each of the two Parts and it is composed of theoretical and empirical questions. The latter must be answered using the software knowledge of the empirical analysis discussed during classes.
During the exam it is forbidden to consult notes, 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.

Strumenti a supporto della didattica

Questo è un insegnamento in lingua inglese.

We will discuss several empirical analysis using the econometric software R. Slides and other teaching material will be downloadable from piazza.com

Orario di ricevimento

Consulta il sito web di Sergio Pastorello

Consulta il sito web di Renzo Orsi