13178 - Financial Econometrics

Course Unit Page

Academic Year 2021/2022

Learning outcomes

At the end of the course the student has adequate knowledge of the basic instrument used by economists for their empirical investigations (the linear regression model for the analysis of cross-sectional and panel data) and is able to understand under what conditions the estimated relationship has a causal interpretation. Drawing on critical discussion about some micro-economic applications from recent research, the student receives specific data to practice at the computer and learn the basic skills to perform empirical work using the software STATA. At the end of the course he/she is capable to understand scientific articles using the linear regression model and is also able to perform its own analysis with this instrument.

Course contents

- Introduction to econometric methods, data and STATA

- Simple and Multiple Regression Models (advanced)

- Homoskedasticity vs. Heteroskedasticity

- A primer on Instrumental Variables methods

Readings/Bibliography

Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach (latest edition available).

Teaching methods

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

Assessment methods

Written exam, problem sets and in-class participation. Due to Covid-19 restrictions, assessment methods may change.

Teaching tools

Some lectures will be given through the aid of software tools. We will discuss several empirical analysis using the econometric software STATA.

Office hours

See the website of Denni Tommasi