# 86530 - Econometrics

## Learning outcomes

The aim of the course is to provide students with adequate knowledge of the basic econometric tools for empirical investigations of cross-sectional and time series data. Drawing on critical discussion about microeconomic and financial applications, students develop the basic skills to perform empirical work using econometric software. At the end of the course students are able to: (a) choose between different econometric models and estimation techniques; (b) discuss the empirical results of the economic and financial analyses proposed in class; (c) to perform one’s own analysis using econometric/statistical software.

## Course contents

The course is articulated according to the points below.

• What is econometrics? The research question and the different types of data: cross-sections, time-series & panel data.
• The classical linear regression model (CLRM) and the OLS estimator: the assumptions of the method.
• Validate and interpred the OLS: specification tests and estimated results in simple and multiple regression models: omitted variables bias and multicollinearity, qualitative explanatory variables, parameters' heterogeneity.
• What to do when OLS assumptions are no longer valid? Alternative models' specifications and functional forms (log, quadratic forms, ..), heteroskedasticity, robust standard errors, the generalised least squares and instrumental variables approaches.
• An introduction to time series: stationarity, unit root tests, autocorrelation, static & dynamic models (AR, ARMA, ARDL), volatility models (ARCH, GARCH), information criteria and parameters' instability.

Clearly there are necessary prerequisities, specifically for Erasmus students:

2. A knowledge, at least basic, of STATA software is also required

The material (articles, commented notes & slides, programs and data-sets) will be distributed during the lectures and make available on the platform Virtuale.
The reference textbook is:
Wooldridge J.M. 2020 Introductory Econometrics. A Modern Approach, Cengage, 7th Edition.

Why programming in Stata? Have a look at Cox N. J. (2001) Speaking Stata: How to repeat yourself without going mad, The Stata Journal, 1, Number 1, pp. 86–97

## Teaching methods

To ensure a smooth transition from theory to practice in econometrics, theoretical lectures are combined with working sessions. During the practical empirical applications, you will use the computer and Stata econometric software (available with a CAMPUS licence and your university credentials).
At the end of the course, you will be able to critically evaluate articles that present basic empirical analyses and to model and estimate your own regression of interest, using the most appropriate methods according to the problem you face.

## Assessment methods

Some homework will be assigned during the course. These 'exercises' are intended to reinforce the concepts seen in class, to replicate, on new data, the empirical analyses carried out together, to familiarise you with the software and to prepare you for the final exam. You can work alone or in groups of up to 4 participants. Overall, homework counts for 40% of the overall assessment.

The remaining 60% of the assessment will be on an individual basis, through the final exam taken in class, after registration on AlmaEsami. The final test will take place on the EOL platform, where you will find a STATA dataset and a research question in a word file. it will therefore be entirely similar to the homework (mock exam) taken during the course.

30L excellent work!
28-30: you reveal independent knowledge and competence leading to good understanding and analytical performance.
24-27: the degree of autonomous knowledge is appreciable
18-23: Tasks are haphazard, with theoretical and methodological inaccuracies.
<18: incorrect or not handed in assignments.

## Teaching tools

Theoretical lectures are associated with working sessions; during them you will receive the suggestions needed to run your own empirical analysis. The data-sets and the programming files to perfom applied analyses will be provided during the lectures. The distributed material will be make available on the Virtuale platform. A virtual room on TEAMS will be available in case you cannot physically attend a lecture and to communicate via chat.