2019/2020

2020/2021

DM270

SECS-P/01 (POLITICAL ECONOMY)

DEPARTMENT OF ECONOMICS AND MANAGEMENT

ECONOMICS, FINANCE AND INTERNATIONAL INTEGRATION

Industrial Organization and Market Regulation

2°

2nd semester (22/02/2021 - 22/05/2021)

6

44 lesson hours

English

WRITTEN TEST

CASTAGNETTI CAROLINA (titolare) - 9 ECTS

Prerequisite is an introductory course in Econometrics.
The course does not include an introductory part and deals immediately with advanced topics

The course will focus on microeconomic data models. Analysis will be undertaken on cross section, qualitative and panel data. Illustrative examples and data sets are taken from the finance and microeconomics area.

In the course we will go through the steps of obtaining and coding data for use in an analysis. Students will become reasonably proficient in the use of STATA, a computer program which will be used extensively in the course.

This course covers a number of advanced techniques frequently encountered in applied econometric analysis oriented towards the analysis of cross-section and panel data. Important estimation frameworks such as GLS, IV/2SLS, GMM, Heckman correction and maximum likelihood will be discussed throughout the course.

We begin with a review of the multiple regression model with a look at the following issues: endogeneity of regressors due to omitted variables, measurement errors and simultaneity bias. We will address the issue of efficient estimation in the presence of heteroskedasticity and autocorrelation (GLS and FGLS) and how to build up robust standard errors and appropriate test statistics when the errors are not spherical. We then proceed to microeconomic data models. In particular, we introduce models with limited dependent variables: binary choice and multinomial models. Ordered, sequential and ranked outcomes. Sample selection models. We then introduce models for panel data: fixed effects, random effects, random coefficients models. We also plan to cover dynamic linear panel data models.

Frontal lessons if the health emergency will allow it. Otherwise online lessons but not live.

J.M. Wooldridge, Introductory Econometrics: A Modern Approach, 2nd edition, Chapters 2-5, 7, 13-15,17.

M. Verbeek, A Guide to Modern Econometric, Chapters 7,10.

J.M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, Chapters 10-11.

W.H. Greene, Econometric Analysis, 7th edition, Chapters 8, 11, 13-14.

written exam