The objective of this course is to provide the students with sound knowledge of the theoretical foundations of econometric methods. The course will cover topics as models specification, assumptions and formal derivation, testing and interpretation. The course will focus mainly on the linear regression model. At the end of the course, students will be able to understand the inferential and interpretative aspects of the econometric approach to data analysis. Students will be able to specify, estimate and interpret regression models under various scenarios and to carry out hypothesis testing for the empirical validation of economic theories.
Prerequisiti
The course is meant to provide students with sound methodological knowledge of econometric methods. Necessary prerequisites are (i) familiarity with basic linear algebra: matrices and matrix operations; (ii) mathematical analysis tools: limits, derivatives, minima and maxima; (ii) familiarity with descriptive statistics and basic properties of probability, random variables and expectations.
Metodi didattici
Frontal lessons
Verifica Apprendimento
Students will be assessed via an individual 2 hours, closed-book written assessment. Students will be required to answer a total of 3 questions, choosing from a total of 6, each question carrying equal marks. The questions will be essay-type, as opposed to exercises, and will be based on the material taught in class, covering its whole breadth.
Testi
Russell Davidson and James G. MacKinnon (2004), Econometric Theory and Methods, New York, Oxford University Press, 2004. (freely available online) Greene, W. (2012) Econometric Analysis. 7th Edition, Prentice Hall Lucchetti (2022) "Basic Econometrics", (freely available online)
Contenuti
Regression Models The Geometry of Linear Regression, including a review of matrix algebra The Statistical Properties of Ordinary Least Squares Hypothesis Testing in Linear Regression Models Confidence Sets and Sandwich Covariance Matrices Instrumental Variables Estimation (The full program might be subject to changes)
