Laurea Magistrale (M.Sc.) in Stochastics and Data Science

Econometrics

Econometrics

Academic year 2017/2018

• ECONOMETRICS (SEM0083)
  Corso di studio in Economics

Sommario del corso

• Course objectives
• Results of learning outcomes
• Course delivery
• Learning assessment methods
• Program
• Suggested textbooks and readings
• Notes
• Teaching tools

Course objectives

The main purpose of this course is to give a general and comprehensive overview of the different econometric methodogies and approaches, focusing on what is relevant for doing and understanding empirical work on large data-bases. The number of econometric techniques that can be used is numerous and their validity often depends crucially upon the validity of the underlying assumption. This course attempts to guide students through this array of estimation and testing procedures by also offering several computer-lab sessions where students will face real world empirical cases.

Results of learning outcomes

Knowledge and understanding: this course will provide students with a deep and up-to-date knowledge of modern econometric theories and related estimation and testing techniques.
- Applying knowledge and understanding: students will learn how to apply econometrics techniques to actual economic problems. To this aim students will be introduced to a professional econometric software which will be used for the computations presented in this course.
- Making judgements: the students will learn how to assess the validity of the assumptions of a wide range of econometric models with the purpose of realizing potential drawbacks or dangers in their application to relevant empirical economic questions.
- Communication skills: students will learn how to effectively organize ideas both in written and oral form, possibly with the help of presentation of scientific papers during the course.
- Learning skills: this course will enable students to understand the recent developments in econometrics and will be a suitable basis for further research work in the area.

Course delivery

The course consists of 46 lecture hours. Strong interaction between teachers and students is warmly encouraged. Part of the course will be given at the Computer Lab.

Learning assessment methods

75 m. (max.) written exam with closed books at the end of the course. The exam paper is made up of two "theory" and one "applied" questions. The theory questions are based on the material covered in class whereas the empirical question draws upon the applications discussed in the lab sessions.

Program

- The Classical Linear Regression Model and Its Violations (chap. 2-3-4)
 - Endogeneity, Instrumental Variables and GMM (chap. 5)
 - MaximumLikelihood Estimation and Specification Tests (chap. 6)
 - Models with Limited Dependent Variables (chap. 7)

The course is mostly based on Verbeek's A Guide to Modern Econometrics (4th edition, 2012). For most topics lecture notes with further references will be also circulated .

Class schedule

Note

This course will be delivered at the ESOMAS Department.

• Teaching materials
• Exams and finals
• Go to Moodle
• Visit the forums