Aggiornato A.A. 2017-2018
This course is designed for the students of the Bachelor of Science in Business and Economics.
The aim of this course is to provide an introduction to the practice of econometrics. While both theoretical and practical aspects will be covered, emphasis will be on intuitive understanding.
Theoretical methodologies will be presented followed by an extensive application in R (https://www.r-project.org/) and other econometric softwares.
Syllabus
Review of Descriptive statistics
Data types, exploratory analysis (graphics and summary statistics) for univariate and multivariate data.
Review of probability
Main definitions (random variable, cdf and pdf), expected value and moments, notable distributions (Normal, standard normal, chi-square, F, T), convergences (in probability, in distribution and almost surely), Weak Law of Large Number, Central Limit Theorem.
Review of Statistical inference
Point estimate, hypothesis testing, confidence interval.
Bivariate linear regression
Coefficients estimate and interpretation (quantitative and binary independent variable), model evaluation, hypothesis testing, homoskedastic and heteroskedastic errors.
Omitted variable bias and Multivariate Linear Regression
Coefficient estimates and interpretation (quantitative, binary and categorical independent variable), measure of _t, hypothesis testing (simple hypothesis test on a single coefficient and joint hypothesis tests on multiple coefficients).
Non Linear regression
Why non linear relation?, nonlinear functions of one variable: log-linear, linear-log and log-log models.
Policy evaluation
Instrumental variables, estimation of casual effects.
Time series – Univariate
Stationarity and stationarized process, autocovariance and autocorrelation functions, autoregressive and moving average models (AR(p), MA(q) and ARMA(p,q)), Wald decomposition theorem, estimate (Yule Walker equations, maximum likelihood and OLS), lag length selection, forecast, impulse response functions.
Reference Materials
_ Main: Stock, James H. and Mark W. Watson, Introduction to Econometrics, Addison Wesley. Roughly, chapter from 1 to 9, 14, 16.
_ Alternative: JeffreyWooldridge, Introductory Econometrics – A modern approach, SouthWestern. Roughly chapter from 1 to 12, 18.
Prof.ssa Lucia Leonelli
