11398 - Statistical Models for Economic Behaviour

Learning outcomes

At the end of the course the student has an in-depth knowledge of the problems and strategies of estimating statistical models of the behavior of micro-economic agents on the basis of individual data, especially with regard to the relationships between the data generating process and estimation methods, in phenomenal fields that pertain to consumption, production and processes of temporal duration. In particular, the student is able to: - master linear and maximum likelihood estimation techniques from individual sectional data - specify, estimate and discuss the results of models with panel data - specify, estimate and analyze duration models

Course contents

1) Recall of fundamental concepts

• Economic theories, models and measurements; macro and micro economic models; the concepts of Utility, rationality, limited rationality.
• The data generating process and the main estimation procedures

2) The linear regression model and least squares estimator
3) Endogeneity problems and instrumental variables estimation
4) Panel data models
5) Discrete choice models
6) Models for censored, truncated and duration data

Readings/Bibliography

1) Note del corso preparate dal docente

2) W.H. GREENE, Econometric Analysis, Mac Millan, London, Third Edition, 2012

Capp.: 2,3,4,5,6,7,8,11,17,18,19

3) B.E. HANSEN, Econometrics, Princeton University Press

Capp.:1,2,3,4,5,6,7,9,11,12,17

Teaching methods

Class lectures

Assessment methods

Learning assessment is carried out through a written examination designed to verify:

• an in-depth understanding of how the data-generating process affects estimation techniques;

• the ability to select the most appropriate model in different empirical contexts;

• the ability to correctly interpret the estimation results for the models covered in the course.

The written examination consists of three questions:

• two open-ended questions on methodological aspects of the models discussed during the course;

• one question focused on the discussion of the results from a case study.

Each question is worth 10 points. The examination is considered passed with a total score of at least 18/30, provided that the student obtains a minimum of 6/10 on each question.

The duration of the examination is 120 minutes. The use of textbooks, notes, or electronic devices is not permitted.

Office hours

See the website of Luca Trapin