37304 - Econometrics Models

Course Unit Page

Academic Year 2018/2019

Learning outcomes

This course introduces students to basic linear regression models, useful for the analysis of cross-sectional and time series data used by business decision makers as a tool supporting the decision making process. In particular, the student will acquire the ability to understand and critically evaluate the application of the various methods in the recent empirical literature and to apply the statistical and econometric tools discussed during the lectures to the analysis of business data using the econometric software Stata.

Course contents

1. Introduction to econometrics
2. Review of probability and statistics
3. The simple linear regression model
3.1 Least squares estimation
3.2 Interval estimation and hypothesis testing
3.3 Forecasting, goodness of fit and specification issues
4. The multiple linear regression model
4.1 Nonlinear in variables models
4.2 Collinearity
4.3 Indicator variables
4.4 The linear probability model
5. Heteroskedasticity
6. Autocorrelation

7. Endogeneity and instrumental variables

Readings/Bibliography

R. C. Hill, W. E. Griffiths, G. C. Lim, "Principles of Econometrics" (4th edition, International Student Version), Wiley 2011 (English)

Teaching methods

For each topic we will first introduce the relevant theory, and then move as soon as possible to its empirical application. Special emphasis will be placed on the economic interpretation of the results.

Assessment methods

The final exam is written. It lasts one hour and it is composed of two distinct sections.
The first one is mainly theoretical, and it contains 5 multiple choice questions. The second one is mainly empirical, and it contains 11 questions whose answers shoud be computed using Stata and knowledge of the empirical analysis discussed during classes. Whatever the section, each correct answer yields two points; no penalty is applied to wrong answers. The final mark is the total number of point obtained in the two sections.
During the exam it is forbidden to consult notes, slides, books, pocket calculators and any other electronic devices. The purpose of the exam is to ascertain that students acquired the knowledge required to correctly specify, estimate and test the econometric models discussed during the lectures and possess the ability to properly interpret the results provided by these procedures.

Students can reject the grade obtained at the exam once. To this end, he/she must email a request to the instructor within the date set for registration. The instructor will confirm reception of the request within the same date.

Rejection is intended with respect to the whole exam, whose grade is the average of the grades obtained in the two mid-terms. If the grade is rejected, the student must retake the full exam (consisting of both parts). The only grade that can be rejected without any communication from the student is the one of the first mid-term: in this case the student can either take the second mid-term or sit the full exam (thus losing the grade obtained in the first mid-term).

Students sitting the first mid-term can take the second mid-term on the first examination date set for the full exam, right at the end of the course, or on the following call. A student can sit the second mid-term only once; if he/she fails or rejects the grade obtained, he/she will have to resit the full exam and will lose the grade obtained in the first mid-term.

Teaching tools

We will discuss several empirical analysis using the econometric software Stata.

Office hours

See the website of Sergio Pastorello