- Docente: Davide Raggi
- Credits: 5
- SSD: SECS-P/05
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
-
Corso:
Second cycle degree programme (LM) in
Economics and Economic Policy (cod. 8420)
Also valid for Second cycle degree programme (LM) in Financial Markets and Institutions (cod. 0901)
Course contents
1. Review of linear regression and ordinary least squares
2. Endogeneity and instrumental variables estimation
3. GMM inference
4. Linear panel data models
5. Maximum likelihood inference
6. Conditional heteroskedasticity models: definition, properties, inference.
7. Limited dependent variables models.
Readings/Bibliography
M. Verbeek, A guide to modern Econometrics, Wiley 2004.
Preliminary knwoledge of basic econometrics necessary for this course can be acquired from:
Hill, Griffiths e Lim, Principles of Econometrics, 4th ed., Wiley, 2011, cap. 1-7, or M. Verbeek, A guide to modern Econometrics, Wiley 2004, cap. 1-4.
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
Written exam at the computer lab.
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.
Teaching tools
https://elearning-cds.unibo.it
Links to further information
https://elearning-cds.unibo.it/
Office hours
See the website of Davide Raggi