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Microeconometrics I

Description

Aim of the course

The first course of Microeconometrics will provide the basic tools in econometrics. After reviewing statistical inference, it will introduce the linear model, at first with a single regressor and then with multiple regressors. Topics covered will be interpretation of population parameters, estimation by OLS, test of hypotheses and use of different functional forms. Estimation of parameters in linear and static panel data models will be covered.

 

The emphasis will be placed on the econometrics tools as well as on their use for applications in economics, finance and banking.

References

[SW] Stock J.H. and M.W. Watson, Introduction to Econometrics, Pearson, 3rd edition, 2011, chapters 1-8 and 10.

[W1] Wooldridge J.M., Introductory Econometrics: A Modern Approach, South-Western Cengage Learning, 5th edition, 2012, chapters 1-7 and 13, appendix B and C.

Syllabus

  • Role of econometrics [W1] pp. 1-20, [SW] pp. 43-56.
  • Review of probability and statistics [W1] pp. 722-794, [SW] pp. 56-147.
  • The linear model with single regressor [W1] pp. 22-66, [SW] pp. 149-183.
  • The linear model with multiple regressors [W1] pp. 68-116, [SW] pp. 221-255.
  • Test of hypotheses in the linear model [W1] pp. 113-166, [SW] pp. 186-218 and 256-292.
  • Dummy variables and functional forms [W1] pp. 186-262, [SW] pp. 195-197 and 294-352.
  • Panel data [W1] pp. 444-480, [SW] pp. 389-403

Schedule

Theoretical classes will be complemented by computer lab classes and tutorials.

Office hours

Thursday, 2.00pm - 3.30pm, IdEP or by appointment.

Software

The recommended statistical package is STATA.

Exam

Written exam in the classroom (70%), empirical project (20%) and exercises (10%).

People

 

Benfratello L.

Course director

Additional information

Semester
Fall
Academic year
2018-2019
ECTS
3
Language
English
Education
Master of Science in Economics in Economia e Politiche Internazionali, Core course, Fundamental knowledges, 1st year

Master of Science in Economics in Economic Policy (until A.Y. 2018), Core course, Fundamental knowledges, 1st year