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Econometrics II    

Prof. Fabio Cesare BAGLIANO
Dott.ssa Marina DI GIACOMO
Prof. Alessandro SEMBENELLI

Ordinamento: NOD Nuovo ordinamento didattico
Crediti: 12
Area: Area economica
Settore: SECS-P/05 Econometria
Durata: 84 ore
Attivato nel: II semestre
Sede: Torino
The main purpose of this course is to give a general and comprehensive overview of the different econometric methodogies and approaches, focusing on what is relevant for doing and understanding empirical work. The number of econometric techniques that can be used is numerous and their validity often depends crucially upon the validity of the underlying assumption. This course attempts to guide students through this array of estimation and testing procedures by also offering several computer-lab sessions where students will face real world empirical cases.

Programma

The course will cover the following topics:

1. The classical linear regression model: basics and violations
2. Endogeneity, instrumental variables and GMM
3. Maximum likelihood estimation and specification tests
4. Models with limited dependent variables
5. Univariate time series models
6. Multivariate time series models

Risultati d’apprendimento previsti

Knowledge and understanding.
This course will provide students with a deep and up-to-date knowledge of modern econometric theories and related estimation and testing techniques.

Applying knowledge and understanding.
Students will learn how to apply econometrics techniques to actual economic problems. To this aim students will be introduced to a professional econometric software (E-views) which will be used for the computations presented in this course.

Making judgements.
The students will learn how to assess the validity of the assumptions of a wide range of econometric models with the purpose of realizing potential drawbacks or dangers in their application to relevant empirical economic questions.

Communication skills.
Students will learn how to effectively organize ideas both in written and oral form, possibly with the help of presentation of scientific papers during the course.

Learning skills.
This course will enable students to understand the recent developments in econometrics and will be a suitable basis for further research work in the area.

Altre informazioni

The formalized analysis of econometric models requires familiarity with the basics of calculus, probability theory and linear algebra. Previous exposure to an Introductory Econometrics course at the level of, say, Stock and Watson’s Introduction to Econometrics (2nd edition, 2007) is also desirable.

Libri di testo

The course is mostly based on Verbeek’s A Guide to Modern Econometrics (3rd edition, 2008). For most topics lecture notes will be also circulated.
(Modificato il 21/09/2011)
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