79062 - ECONOMETRICS

Scheda insegnamento

• Docente Iliyan Georgiev

• Crediti formativi 6

• SSD SECS-P/05

• Lingua di insegnamento Inglese

Conoscenze e abilità da conseguire

By the end of the course the student should have acquired the basics of econometric modelling. In particular the student should be able: - to specify and estimate linear, single-equation econometric models and to face the endogenous regressors issue; - to perform a specification analysis of the model

Contenuti

1. Introduction to the specification of econometric models.

2. OLS estimation and inference for time series data. Conditions for consistency and asymptotic normality of the OLS estimator.
Tests of linear parametric restrictions under homo and heteroskedasticity.

3. Diagnostic tests.

4. Dealing with endogenous regressors: instrumental variable methods. Introduction to GMM estimation.

Testi/Bibliografia

Verbeek, M. (2000). An Introduction to Modern Econometrics, Wiley

Versione in italiano:Verbeek (2006) Econometria [testo tradotto in italiano, a cura di S. Pastorello].

Metodi didattici

Theory classes and empirical case studies at the lab.

Modalità di verifica dell'apprendimento

At the day of the first exam call that students attend during the academic year, they can make a binding and irreversible choice among two formulas for the calculation of their final course grade:

min{0.25 P + 0.75 E+B, 31}

and

min{E+B, 31},

where:

- P is a problem sets grade in [0,32],

- E is a written exam grade in [0,30].

- B is a Moodle (IOL) forum participation bonus in [0,2].

Two problem sets will be assigned during the lecture period and individual solutions will be due one week after each assignment.

The final exam will have the duration of ninety minutes and will have two parts: theoretical exercises and questions based on estimation output. During the exam students may consult a two-sided self-written A4 sheet with whatever contents they find appropriate; this sheet should be handed in together with the answers to the exam questions.

Two discussion forums will be opened in Moodle (IOL) during the lecture period. Participation in forum discussions is optional.

Students are entitled to renounce a passing final course grade one time only.

Strumenti a supporto della didattica

Econometric software: Gretl