Econometrics I

The first course of Microeconometrics will provide the basic tools in econometrics. After reviewing probability and 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 Ordinary Least Squares (OLS), test of hypotheses and use of different functional forms. Alternative estimation methods as Instrumental Variables (IV) and Maximum Likelihood (ML) will also be covered. The emphasis will be placed on the econometrics tools as well as on their use for applications in economics, finance and banking.

Syllabus

• Week 1    
      Intro to Econometrics
      Review of Probability and Statistics
      Asymptotic theory
    
• Week 2    
      Regression Models I
      Least squares and other methods
    
• Week 3    
      Regression Models II
      Simple and multiple linear regressions
    
• Week 4    
      Multicollinearity, Misspecification
      Omitted variable, Measurement Errors
   
• Week 5    
      Heteroskedasticity, Autocorrelation
      Clustering, Bootstrap
    
• Week 6
      Endogeneity
      Instrumental Variables (IV) and Generalized Method of Moments (GMM) estimators
    
• Week 7
      Maximum Likelihood (ML) Estimator
      
   

The course aims at providing basic tools of econometrics in order to allow students to understand empirical analyses in Economics and to perform their own works.

• Quality education

In presence

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

The recommended statistical package is STATA.

Written exam in the classroom (80%) and Empirical works (20%).