ECONOMETRICS
| 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 |
Professor
Degree Programmes and curricula
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
Part 3 Advanced Topics
13. Pooling Cross Sections Across Time: Simple Panel Data Methods
14. Advanced 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
18. Advanced Time Series Topics
19. Carrying Out an Empirical Project
Recommended Reading List
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
Assessment
written and oral
Teaching Methods
Lectures, tutorial exercises, practical application on economic and/or financial data using econometric software
Teaching Language
English
