Applied Econometrics 2015-2016 Roberto Casarin November, 2015
Course objectives This course aims to provide the students with some relevant econometric tools for the analysis (modelling and estimation) of data from economics. The program focuses on nonlinear models. The course provides a large number of applications to microeconomics, macroeconomics and finance and an introduction to standard software for econometric analysis, such as GRETL and E-Views, which will be extensively used during the course. The main topics of this course (year 2015-2016) are 1 Linear Regression Model 2 Nonlinear Regression Model 3 Time Series Models
Contact and information E-mail: [email protected]
Course Webpage: http://www.unive.it/r.casarin/EkApVE/EkA.html Office Hour: Thursday, 10:30am-12:00am Office: Room 45 Course material: copies of the lecture notes will be made available from the website. Additional references are given below in the Course Outline section. Feel free to send me an e-mail with any questions about the course or if you want to arrange an appointment.
Evaluation The course grade will be based on a final project and a discussion on a topic chosen by the student. The final grade will be determined using the following weights: 80% final project, 20% discussion. 1
Course Outline 1. Introduction 2. Linear regression model 3. Etimation methods: GLS, NLLS, ML, GMM, Bayesian inference 4. Dynamic models 5. Qualitative and limited dependent varible models
Bibliography [Adk ] L. C. Adkins (2012), Using gretl for Principles of Econometrics, 4th Edition Version 1.031. [Hei04] C. Heij, P. de Boer, P.H. Franses, T. Kloek and H. K. van Dijk (2004), Econometric Methods with Applications in Business and Economics, Oxford University Press. [Joh10 ] Johnston J. (2010), Econometrica, 3a ristampa 2010, 5a edizione 2001, Franco Angeli, Milano. [Cap11 ] Cappuccio, N. e Orsi, R. (2011), Introduzione all’econometria, Giappichelli. [Mar06 ] Marcellino M. (2006), Econometria Applicata, Egea, Milano. [Woo09 ] Wooldridge, J.M. (2009), Introductory Econometrics: A Modern Approach, Fourth Edition, South-Western College Publishing.