ECTS - University of Pisa
| Modules | Area | Type | Hours | Teacher(s) | |
| INTRODUZIONE ALL'ECONOMETRIA | SECS-P/05 | LEZIONI | 63 |
|
At the conclusion of the course students should:
• have knowledge and understanding of essential theoretical methods of econometrics;
• be able to use econometric tools to conduct empirical investigations;
• be able to integrate economic and econometric analysis;
• be able to use of econometric software.
Teaching methods: Lectures
Learning activities: attending lectures; making empirical applications with software
Attendance: Advised
• Simple regression analysis;
• multiple regression analysis;
• test statistics;
• problems of multicollinearity and misspecification;
• transformation of variables;
• dummy variables;
• autocorrelation;
• heteroscedasticity;
• binary choice (linear probability model, logit analysis, probit analysis);
• introduction to maximum-likelihood estimation;
• dynamic models;
• introduction to non stationary time series and cointegration.
Application and topics covered:
CAPM, stock market valuation model, empirical relationship between consumption, disposable income and wealth, wage-price model, empirical evidence on the earnings-schooling relationship.
Textbooks
Stock, J. H. e Watson, M. W. Introduzione all'econometria, Pearson Education Italia, Prentice Hall, 2012.
Lecture notes (available on OLD E-learning);
Optional Reading
Verbeek, M. Econometria, Bologna: Zanichelli, 2006.
Favero, C. A. Econometria, Modelli e applicazioni in macroeconomia, NIS, 1996.
Marcellino, M. Econometria applicata. Un'introduzione, EGEA S.p.A, 2006.
Methods: Final written exam
Time at disposal: 90 minutes (answer 4 or 5 questions). The student must demonstrate his/her knowledge of the course material and to organise an effective and correctly written reply.
