32173 - APPLIED ECONOMETRICS

Conoscenze e abilità da conseguire

Students will learn the econometric methods used in applied research and the skills to perform their own empirical research using different econometric packages and software. Particularly, students will be able: - to use linear regression model in different contexts and to critically evaluate its principal economic applications; - to learn the basic methods of time series and dynamical models; - to acquire knowledge of the basic techniques of cross sections and panel data.

Contenuti

Part 1

Introduction to the linear regression model.

Examples of interest.

Interpretation and use of regression coefficients.

Compact matrix representation.

Distinction between cross-section data and time series data.

Distinction between the classic linear regression model and the generalized linear regression model.

Estimation problem: OLS estimation and properties of the estimator.

Diagnostic analysis of a linear regression model: main tests.

Testing restrictions on the parameters.

Endogenous regressors: introduction to the IV estimator.

 

Part 2

The second part of the course can be updated/modified depending on the teacher who will cover it.

It follows a list of baseline topics.

Introduction to Time Series Models

• Models with Lagged Dependent Variables
• Models with Trends
• AR and MA Models
• Introduction to models with integrated data I(1)
• Spurious regression
• Co-integration

Empirical applications from the environmental framework

 

Testi/Bibliografia

Slides provided by the teacher which will be available on IOL

Verbeek, M. (2000), Modern econometrics, Wiley, The relevant chapters will be indicated by the teacher

Metodi didattici

Classes and labs

Modalità di verifica e valutazione dell'apprendimento

The exam aims to verify that the student has achieved the following basic targets:

• knowledge of the basic econometric models which can be applied in the environmental context;

• the ability to distinguish between the application of the classic and generalized linear regression model;

• undestanding when the OLS estimator can not be applied and therefore alternative estimation tecniques must be used;

• understanding when OLS can not be used and when and how the IV estimator can be used to estimate the causal effects of interest.

• the main topics of time series econometrics and panel models.

The exam is written and a grade of the form xx/30 is given.

The final grade will be the arithmetic average of the grade taken in Part1 and Part2, respectively.

Students are supposed to do theoretical exercises but also discuss practical cases based on estimation outputs which refer to real markets.

 

Strumenti a supporto della didattica

Labs and use of econometric packages: Gretl (or Stata)

Orario di ricevimento

Consulta il sito web di Luca Fanelli

Consulta il sito web di Theodoros Panagiotidis