- Docente: Iliyan Georgiev
- Crediti formativi: 6
- SSD: SECS-P/05
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
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Corso:
Laurea in
Scienze statistiche (cod. 8873)
Valido anche per Laurea Magistrale in Statistical sciences (cod. 9222)
Conoscenze e abilità da conseguire
ECONOMETRIC MODELS (6 CFU) 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 mode
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 e valutazione dell'apprendimento
The final grade is min{[0.25 P + 0.75 E]+B, 31}, where
- P is a problem sets grade in [0,30],
- E is a written exam grade in [0,30].
- B is a Moodle 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.
Students who do not submit problem sets solutions will have to solve an extra theory exercise at the written exam, with no extension of the duration of the exam. The grade for the extra exercise will substitute P in the calculation of the final grade.
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 during the lecture period. Participation in forum discussions is optional.
Strumenti a supporto della didattica
Econometric software: Gretl
Link ad altre eventuali informazioni
https://iol.unibo.it/course/view.php?id=19584
Orario di ricevimento
Consulta il sito web di Iliyan Georgiev