34481 - ECONOMETRICS 2

Conoscenze e abilità da conseguire

At the end of the course the student has acquired knowledge of the core microeconometric models and methods designed to study the behaviour of economic agents using cross-section and panel data, including static paneld data models, instrumental variable methods, and the most widely used limited dependent variable modes. In particular, he/she is able: - to critically understand the applications of these models in the recent empirical economic literature; - to apply the models and perform his/her own analysis of economic datasets using the software STATA.

Contenuti

• Pooling cross sections across time
• Linear panel data methods
• Instrumental variables and two stages least squares
• Maximum likelihood methods
• Limited dependent variable models: binary response.
  
• Sample selection corrections
• Laboratory sessions devoted to the application to real data of different methods using the software STATA

Testi/Bibliografia

References

• Jeffrey M. Wooldridge (2020). Introductory Econometrics: a Modern Approach, Seventh edition, CENGAGE (the Sixth edition is also valid).
• Jeffrey M. Wooldridge (2010). Econometric Analysis of Cross Section and Panel Data, 2nd edition, MIT Press.

Suggested additional reference:

• Chris Baum, An Introduction to Modern Econometrics Using Stata, Stata Press

On the VIRTUALE platform students can access to:

• Lectures slides
• References to relevant articles published on scientific journals
  
• Examples of exam text
• Files for the STATA lab sessions

Metodi didattici

During the lectures, the presentation of theoretical issues will be complemented by critical discussion of some micro-economic applications from recent research using different econometric models and techniques.

Students will receive data to practice at the computer and learn how to apply the various models using the software STATA, which is available to them through the CAMPUS license.

Students will receive take home problem sets, to be solved in small groups and handed in with specific deadlines. These homework require data analysis work and writing short essays.

 

Modalità di verifica e valutazione dell'apprendimento

There are two components of the course assessment: three take home assignments and one written exam.

Take home exercises are computer based, and they test the ability to apply the methods learnt to simulated or real data, using STATA.They must be handed in by specific dates within the lectures' period.

The written exam   aims at testing the acquired knowledge of the theoretical concepts and the ability to interpret estimation results in the light of the underlying theory.

The average mark of the homeworks will account for the 40% of the final mark only in case the written exam is taken by September of the current academic year. Otherwise, this mark will be lost and the only component of the final grade will be the written exam.

The written exam is 1 hour and 15 mins long and it is closed book. It is divided in three parts:

• True or False (answer with concise motivation): 3 questions, 12 points
• Open question (formal answer to theoretical question): 1 or 2 questions, 8 points
• Interpretation question (answer on STATA log file with estimation output): 2 or 3 questions, 10 points

 

The maximum possible score is 30 cum laude, in case all anwers are correct, complete and formally rigorous.

The grade is graduated as follows:

<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 e lode excellent

For students attending the Master in Economics LMEC the Econometrics 2 grades will contribute to the final grade of the integrated course Econometrics I.C. The latter is obtained as the average of the grades of Econometrics 2 and Econometrics 3 (see the LMEC booklet on the LMEC webpage for detailed information on the integrated courses' exams).

 

 

 

Strumenti a supporto della didattica

Dedicated page on the VIRTUALE platform containing:

• News and updated information
• Lectures slides
• References to relevant articles published on scientific journals
  
• STATA lab material

Software STATA: can be installed on students' personal computers (CAMPUS license) and is available at the Computer Lab of the School of Economics and Management.

Orario di ricevimento

Consulta il sito web di Chiara Monfardini