32626 - ECONOMETRICS

Anno Accademico 2020/2021

  • Docente: Andrea Carriero
  • Crediti formativi: 6
  • SSD: SECS-P/05
  • Lingua di insegnamento: Inglese
  • Modalità didattica: Convenzionale - Lezioni in presenza
  • Campus: Bologna
  • Corso: Laurea in Scienze statistiche (cod. 8873)

    Valido anche per Laurea Magistrale in Statistical sciences (cod. 9222)

Conoscenze e abilità da conseguire

By the end of the course the student should be familiar with the theory and practice of single-equation linear econometric modelling. In particular, the student should be able to: - specify and estimate linear, single-equation econometric models with stochastic and possibly endogenous regressors; - derive and employ the asymptotic properties of linear method-of moments parameter estimators (OLS and IV) in these models; - perform a specification analysis of these models, - perform asymptotically valid inference based on these models.

Contenuti

  1. The Classical Linear Regression Model. Derivation of Ordinary Least Squares estimator (OLS). Decomposition of variance, R-squared.
  2. Small sample properties of the OLS estimator. Gauss-Markov Theorem
  3. Partitioned Regression, redundant/omitted variables, bias-variance trade-off, Frisch Waugh Theorem
  4. Inference. Tests of simple and joint hypothesis. Restricted Least Squares (RLS).
  5. Heteroscedasticity and autocorrelation. Generalised Linear Regression Model. Generalised Least squares Estimator (GLS), Feasible GLS (FGLS), HAC estimators.
  6. Stochastic regressors. Endogeneity. Large sample properties of OLS estimator.
  7. Instrumental Variables estimator (IV). Generalised IV (GIVE) and Two-Stage Least Squares estimator (TSLS).
  8. Maximum Likelihood Estimation (ML).
  9. Bayesian analysis of the linear regression mode

Testi/Bibliografia

Greene “Econometrics Analysis”, Pearson – any edition

Hansen “Econometrics” – manuscript, any edition

Modalità di verifica e valutazione dell'apprendimento

Written examination.

Orario di ricevimento

Consulta il sito web di Andrea Carriero