- Docente: Andrea Carriero
- Credits: 6
- SSD: SECS-P/05
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
-
Corso:
First cycle degree programme (L) in
Statistical Sciences (cod. 8873)
Also valid for Second cycle degree programme (LM) in Statistical Sciences (cod. 9222)
-
from Apr 17, 2023 to May 23, 2023
Learning outcomes
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.
Course contents
- 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 model.
Readings/Bibliography
Greene “Econometrics Analysis”, Pearson – any edition
Hansen “Econometrics” – manuscript, any editionAssessment methods
Written examination. The exam will be bases on closed-book questions which on the material covered in the lectures.
<18 fail
18-23 pass
24-27 merit
28-30 distinction
30 e lode:excellent
Office hours
See the website of Andrea Carriero