Università degli Studi di Siena

ECONOMETRICS I

Modulo Generico

Course details

Academic year:

2020/2021

Available in academic year:

2020/2021

Type of course:

Characteristic of the class

Department/structure:

Second cycle degree (Laurea Magistrale) in ECONOMICS

Department of Economics and statistics

Scientific-disciplinary sector:

ECONOMETRIA (SECS-P/05)

Parent course:

ECONOMETRICS I & II

Credits:

Course year:

Teaching staff:

CRUDU FEDERICO

Semester:

First Semester

Hours of lectures:

Hours of self study:

110

Requirements:

Basic knowledge of statistics (probability and inference) and matrix algebra; basic calculus.

Learning objectives

The main goal of this course is to introduce the student to some fundamental econometric techniques. We will see some basic theoretical results, as well as methods to analyze data, to choose the best model specification and to run hypothesis testing.

Contents

The core of the course is given by the following topics:
- Introduction to linear regression
- Interpreting and comparing regression models
- Heteroskedasticity and autocorrelation
- Endogeneity and instrumental variables
- GMM estimation and inference

If time allows we will go through:
- Nonparametric regression
- Causal inference
- Time series

Suggested reading list

Module 1.
- Verbeek M. A Guide to Modern Econometrics 4th Edition, Wiley ed. (In particular the topics covered in chapters 1 through 6 and chapter 8)
- Hayashi F., Econometrics, Princeton University Press (chapter 7)
- Heij, C., P. de Boer, P. H. Franses, T. Kloek and H. K. van Dijk, Econometric Methods with Applications in Business and Economics, Oxford University Press (chapter 5.2.3)
- Henderson, D. J. and C. F. Parmeter, Applied Nonparametric Econometrics, Cambridge University Press (chapter 5)
- Angrist, J. D. and J.-S. Pischke, Mostly Harmless Econometrics (chapters 3, 4 and 5).

Further references will be provided in class.

Teaching methods

Mixed mode lectures: students can attend in class or online. Slides will be used during the lectures.

Methods of evaluation

Type of exam:

Orale

how learning is assessed:

There will be a written final exam, an essay on an article about the topics seen in class and an applied assignment in R.

Assessment:

Voto Finale

Course schedule

Course start date:

Lunedì, 21 Settembre, 2020

Course end date:

Sabato, 19 Dicembre, 2020

More Information

There will be four lectures per week.

Further information about the course and office hours will be available at the course web page in Moodle.

Further references will be made available during the course.

Other courses

Course year: 1

ECONOMETRICS I & II
12 credits
FINANCIAL INVESTMENTS AND RISK MANAGEMENT
6 credits - Characteristic of the class
LABORATORY: PROGRAMMING SKILLS FOR ECONOMICS
3 credits - Various educational activities
MACROECONOMICS
6 credits - Characteristic of the class
MICROECONOMICS I & II
12 credits
OTHER ACTIVITIES
3 credits - Various educational activities
PRELIMINARY COURSE ON MATHEMATICS FOR ECONOMIC APPLICATIONS
Characteristic of the class
PREPARATORY COURSE OF STATISTICS
Characteristic of the class
PUBLIC ECONOMICS
6 credits - Characteristic of the class
QUANTITATIVE METHODS FOR ECONOMIC APPLICATIONS
12 credits

Course year: 2

BEHAVIORAL ECONOMICS
6 credits - Supplementary
COMPETITION LAW AND POLICY
6 credits - Characteristic of the class
ECONOMIC DYNAMICS
6 credits - Supplementary
ECONOMIC HISTORY (ADVANCED)
6 credits - Supplementary
ECONOMIC ORGANIZATION AND THEORIES OF THE FIRM
6 credits - Supplementary
GAME THEORY AND SOCIAL CHOICE
6 credits - Supplementary
GLOBAL COMPARATIVE POLITICS
6 credits - Supplementary
GROWTH AND DEVELOPMENT
6 credits - Supplementary
INDUSTRIAL ORGANIZATION
6 credits - Supplementary
INTERNATIONAL MANAGEMENT
6 credits - Characteristic of the class
MONETARY ECONOMICS
6 credits - Supplementary
OTHERS AT STUDENT'S CHOICE
12 credits - Optional
Post-Keynesian Economics
6 credits - Supplementary
THESIS
21 credits - A foreign language/final examination

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