ECONOMETRICS LABORATORY

The Econometrics Laboratory is a valid complement to the Econometrics programme. Its aim is to initiate the student to econometric practice by building a model on economic data (macroeconomic, corporate, financial, etc.).
A part of the course is aimed at recovering the notions of basic econometrics, as listed in the program. Therefore, it is useful for all students who have Econometrics in the curriculum but have not attended introductory econometrics courses in their previous study paths.

For those who are enrolled in the Master of Science in Economics and Finance, in the different curricula (Economics and Finance, Finance, Economics-QEM) it is sufficient for the student to declare to the teacher that they prefer option B. After having passed the exam , the teacher will transmit to the Didactical Office of the Department of Economics the name of the student and the Office will automatically change his / her study plan with the inclusion of the Laboratory as Stage assigning the 6 ECTS.

For those enrolled in other master's degree programs, belonging to the Department of Management, the procedure is the same but prior written authorization is required from the President of the Board of the student's Degree Course. This authorization must be delivered to the Didactical Office of the Management Department.

Attendance at the laboratory is mandatory for at least 70% of the lessons and participation in at least 5 educational seminars, specially organized by the teacher. Attendance certification is done by signing a lesson attendance sheet.

Elements of matrix algebra, theory of random variables, elements of statistical inference: Estimation and hypothesis testing.

1. Introduction to the linear regression model
1.1. Introduction
1.2. Bivariate regression model
1.3. Multivariate regression model
1.4. Probabilistic interpretation of the regression
1.5. Properties of the estimators: examples
1.6. Regression with linear constraints
2. Asymptotic properties of the estimators
2.1. Stochastic convergences
2.2. Asymptotic properties OLS estimator
3. Econometrics in practice: problems and perspectives
4. Example of econometric project on actual economic data

Johnston J., Econometrica, 3a ristampa 2010, 5a edizione 2001, Franco Angeli, Milano

Additional readings:
Cappuccio N. e R. Orsi, Econometria, Il Mulino, 2005
Marcellino M., Econometria Applicata, Egea, Milano 2006
Vogelvang B., Econometrics - Theory and Applications with EViews, FT Prentice Hall, 2005
Guala F. (2006), Filosofia dell'economia - Modelli, causalita, previsione, Il Mulino, 2006

The student must carry out a written project that has the example shown in point 4 of the program as a trace.

The acquisition of the credits follows from the evaluation of the project and to the obligatory attendance to at least 70% of the lessons and to the participation to at least 5 didactic seminars purposely organized by the teacher. Attendance certification is done by signing a sheet each lesson and seminar.

Classroom lectures and exercises

Italian