- Docente: Iliyan Georgiev
- Credits: 5
- SSD: SECS-P/05
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in STATISTICAL SCIENCES (cod. 8054)
Learning outcomes
By the end of the course the student should have acquired the basics of econometric modeling. In particular the student should be able: - to specify and estimate linear, single-equation econometric models - to perform a specification analysis of the model
Course contents
Introduction to the specification of econometric models.
Uni-equational and multi-equational models: an overview.
Econometric models for time-series data: ADL models and
VARs.
Estimation issues and asymptotic properties: Maximum Likelihood,
OLS.
Main tests for linear parametric restrictions.
Main diagnostic tests.
Dealing with endogenous regressors: instrumental variable
methods
Introduction to GMM estimation.
Readings/Bibliography
Verbeek, M. (2000). Modern econometrics, Wiley
Teaching methods
Theoretical lessons and empirical case studies at the lab.
Assessment methods
Written exam
Teaching tools
Econometric software: Gretl
Office hours
See the website of Iliyan Georgiev