FINANCIAL ECONOMETRICS

This course is designed to equip students with the essential skills for conducting applied research using advanced microeconometric methods. It offers a balanced approach between theoretical understanding and practical application.

The course covers fundamental microeconometric techniques and their application in financial research. Using an intermediate-level textbook, students will learn about modern econometric methods, including regression analysis and its extensions to address issues such as endogenous regressors and nonlinear models (e.g., probit, logit). Practical examples of econometric estimation of personal finance equations will be demonstrated using microdata in STATA.

Throughout the course, students will complete empirical exercises using the STATA software. These tasks are designed to provide practical skills and knowledge in econometrics.
By the end of the course, students will have developed the ability to:

- Interpret and critically evaluate the results of estimation and testing procedures.
- Conduct econometric analysis on cross-sectional data.
- Apply appropriate estimation techniques to relatively simple empirical problems.
- Use statistical software (specifically STATA) to estimate standard econometric models.

The candidate is expected to know the contents of the Probability Theory and Basic Econometrics course. It is highly recommended that you know some basics about using STATA. On Moodle you can find "Introduction to STATA/Introduction to STATA" to get an introduction to STATA.

Review
1. Probability theory and statistics
2. Review of linear algebra

An introduction to linear regression
1. The algebra of OLS
2. Linear regression model
3. Small sample properties of OLS
4. Hypothesis testing
5. Asymptotic properties of OLS

Applied session I: Practical STATA

Interpreting regression models
1. Interpretation
2. Model misspecification
3. Selecting regressors

Applied session II: Practical STATA

Heteroskedasticity and autocorrelation
1. Consequences for the OLS estimator
2. Heteroskedasticity and testing for heteroskedasticity
3. Autocorrelation and testing for autocorrelation

Endogeneity and IV
1. Endogeneity
2. Instrumental Variables

Applied session III: Practical STATA

Maximum likelihood estimation

Binary choice models
1. Latent variables and Random Utility Theory
2. Linear probability models
3. Probit and Logit

Tobit models
- 1. The standard Tobit model
- 2. The Tobit II model

Applied session IV: Practical STATA

Verbeek, M. (2017). A guide to modern econometrics. John Wiley & Sons.

Throughout the course, students will be engaged in hands-on empirical tasks that require the use of the STATA software package. These exercises are designed to provide students with practical insights and knowledge in the field of econometrics.

Regarding grading, please note that your final grade will be based entirely on the final written test , which accounts for 100% of your overall grade. Evaluation details: The exam is a written test graded on a 30-point scale. A passing score for the exam is 18 out of 30 points.

Lessons and practical sessions.
For any information related to the course, students can follow Moodle.

English

The course is carried out in collaboration with the extended partnership AGE-IT Age-It - Aging well in an aging society” (PE0000015), CUP H73C22000900006, public notice no. 341/2022 of the National Recovery and Resilience Plan (PNRR), Mission 4 - Component 2 - Investment 1.3, financed by the European Union - NextGenerationEU.
Within the course, meetings with company witnesses participating in the project can be proposed, focused on the development of practical knowledge in the subject being studied, as well as on the results of the project itself.
This teaching covers topics related to Spoke 6 The Silver Economy. Work, participation, and welfare at older ages – WP2.

written

This subject deals with topics related to the macro-area "Human capital, health, education" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development