# ECONOMETRICS

[Italiano] AF: 127054 AR: 63216
 Official course title ECONOMETRICS Academic Year 2011/2012 Course code EM2Q05 University credits 7 Degree level Second Cycle Degree M.D.270 Educational sector code SECS-P/05 Semester/trimester 3° Periodo Course year 1 Where VENEZIA

# Contents

## Educational Goals

The course aims to handle some aspects of the econometric methods with respect to the regression models and present also the non-linear models suited to the study of limited dependent variables, including the models for dichotomous, polychotomous, censored and truncated. The purpose is to prepare the student to use the basic econometric tools for the measurement, interpretation and forecast of the economic and financial phenomena. The course is well equipped with econometric practice.

## Requirements

Basic knowledge in Mathematics, Statistics, Microeconomics and Macroeconomics is required.

## Contents

Part 1 Regression Analysis with Cross-Sectional Data
1. The Nature of Econometrics and Economic Data
2. The Simple Regression Model
3. Multiple Regression Analysis: Estimation
4. Multiple Regression Analysis: Inference
5. Multiple Regression Analysis: OLS Asymptotics
6. Multiple Regression Analysis: Further Issues
7. Multiple Regression Analysis with Qualitative Information: Binary (or Dummy
Variables)
8. Heteroskedasticity
9. More on Specification and Data Problems

Part 2 Regression Analysis with Time Series Data
10. Basic Regression Analysis with Time Series Data
11. Further Issues in Using OLS with Time Series Data
12. Serial Correlation and Heteroskedasticity in Time Series Regressions

13. Pooling Cross Sections Across Time: Simple Panel Data Methods
15. Instrumental Variables Estimation and Two Stage Least Squares
16. Simultaneous Equations Models
17. Limited Dependent Variable Models and Sample Selection Corrections
19. Carrying Out an Empirical Project

Textbook

- Verbeek, M., A Guide to Modern Econometrics, 3rd Edition, John Whiley, 2008.
- Wooldridge, J.M., Introductory Econometrics: A Modern Approach, Fourth Edition,
South-Western College Publishing, 2009

Other reference

Vogelvang B., Econometrics - Theory and Applications with EViews, FT Prentice Hall, 2005

written and oral

## Teaching Methods

Lectures, tutorial exercises, practical application on economic and/or financial data using econometric software

English