Scientific Disciplinary Sector (SSD)
SECS-P/05 - ECONOMETRICS
Primo semestre Magistrali dal Sep 26, 2016 al Jan 13, 2017.
The course provides an overview of the main econometric tools, with particular emphasis on economic applications, developed interactively in class using the professional software Stata™.
After a short introduction on the purpose of Econometrics and the basic commands in Stata, the program is divided in four parts. The first part (OLS) introduces to the standard econometric method, i.e., ordinary least squares (OLS) regression. The second part (OLS diagnostics) presents diagnostic tests on heteroskedasticity, autocorrelation and wrong specification of the functional form. The third part (IV) discusses the problem of endogeneity and the instrumental variable estimators. The fourth part (extensions) introduces micro-econometric models suited for panel data (random effects, fixed effects), for binary dependent variables (probit, logit), and for limited dependent variables (truncated regression, tobit).
1.1) What is Econometrics?
Definition; cross-section, time series and panel data.
1.2) Stata tutorial
Data management; basic statistics; graphics.
2) Ordinary Least Squares (OLS) Estimator
Univariate and multivariate regression; marginal effects and elasticity.
2.2) Goodness of fit
R2, adjusted R2, AIC and BIC criteria; forecast; outliers.
Gauss-Markov assumptions; unbiasedness; efficiency; consistency; asymptotic normality.
t-test on one restriction; F test on several restrictions.
3) OLS Diagnostics
Collinearity; superfluous and omitted variables; RESET test of specification; Chow test of structural stability.
White test and Breusch-Pagan test; White robust standard errors.
Durbin-Watson test and Breusch-Godfrey test; Newey-West robust standard errors.
4) Instrumental Variable (IV) Estimator
Autocorrelation and lagged dependent variable; measurement error; omitted variables; simultaneity.
Assumptions; Simple instrumental variable (SIV) and generalized instrumental variable (GIV); properties; two-stage derivation (2SLS).
4.3) Instrument selection
Relevance test; weak instruments; Sargan validity test; Hausman exogeneity test.
5) Extensions (Microeconometrics)
5.1) Panel data
Pooled effects, fixed effects and random effects; goodness of fit; comparison tests.
5.2) Binary dependent variable
Linear probability model (LPM); probit and logit models; marginal effects; maximum likelihood estimate; goodness of fit; hypothesis testing.
5.3) Limited dependent variable
Truncated regression; Tobit models; marginal effects; hypothesis testing.
- Course slides, available on eLearning.
- Verbeek, M., A Guide to Modern Econometrics, Wiley, 2000 or following editions.
||A Guide to Modern Econometrics
||John Wiley and Sons
The exam is written. The final grade is based on one mandatory final exam and one voluntary homework (assigned during the semester).
The final exam includes theoretical, numerical and applied exercises on all the topics covered in class; the homework includes applied exercises. Applied exercises require the use of Stata.
During the final exam it will be allowed the use of handheld calculators, but not the use of textbooks or teaching notes.
The homework adds 1 bonus point to the final grade and accounts for 10% of the final grade.