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79062 - 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 Magistrale in
                            Statistical sciences (cod. 9222)

                                Valido anche per
                                
                                    Laurea in
                                    
                                        Scienze statistiche (cod. 8873)
                                    
                            Risorse didattiche su Virtuale

Conoscenze e abilità da conseguire

By the end of the course the student should have acquired the basics of econometric modelling. In particular the student should be able: - to specify and estimate linear, single-equation econometric models and to face the endogenous regressors issue; - to perform a specification analysis of the model

Contenuti

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