02054 - Econometrics

Course Unit Page

Academic Year 2019/2020

Learning outcomes

The purpose of the course is to provide basic tools for the quantitative analysis of economic phenomena and for the empirical investigation of the data.

Course contents

Economic theories and economic data; models based on time-series and models based on cross section data.

The concepts of exogeneity and the linear regression model. Estimation and hypotheses testing. Dynamic models. Estimation: ordinary least squares and maximum likelihood. Constrained estimation. Specification analysis. Qualitative variables. Nested and non-nested models.

Systems. Reduced forms and structural forms. VAR models as particular reduced forms. Identification. Estimation: endogeneity bias and instrumental variables. Other estimation methods.


J.H. Stock, M.W. Watson, Introduction to Econometrics, 3rd Ed., Pearson/Addison-Wesley, Boston, 2012.

Teaching methods

All topics are illustrated with economic data using some econometric packages.

Assessment methods

The final exam aims at evaluating the achievement of the following educational targets:

- knowledge of the econometric techniques shown during the frontal lectures

- ability to employ these techniques to analyze and interpret micro and macro-economic phenomena

The exam consists of a written test.

Teaching tools

Econometric software Gretl.

Office hours

See the website of Luca De Angelis