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79062 - Econometrics

Academic Year 2022/2023

                
                        Docente:
                        Andrea Carriero
                    
                        Credits:
                        6
                    
                        SSD:
                        SECS-P/05
                    
                        Language:
                        English
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Bologna
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Statistical Sciences (cod. 9222)

                                Also valid for
                                
                                    First cycle degree programme (L) in
                                    
                                        Statistical Sciences (cod. 8873)
                                    
                            Teaching resources on Virtuale

Learning outcomes

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

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 edition

Assessment 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