Objectives of the course
The purpose of the course is to provide the necessary tools for a thorough understanding of asymptotic theory in classical econometrics. The course goals are
1) to be able to perform estimation and testing in linear cross-section regression models,
to be sufficiently comfortable with asymptotic theory for linear models,
2) to be able to implement basic cross-section methods as needed for a advanced thesis.
Some of the topics covered are: statistic foundations, single-equation linear model, and OLS Estimation. Asymptotic properties of OLS estimators. Testing (Likelihood-type, Wald, Lagrange). Measurement Error. Omitted variables. Instrumental variables estimation of the single-equation linear model. Panel Data. Generalized Method of Moments. Time Series modeling. Vector Autoregression, Unobserved-component models. Volatility models.
A number of TA sessions are activated. Students are warmly encouraged to attend the TA sessions. During the TA sessions, teaching assistant will provide a guided solutions to the exercises of a problem set assigned the week before. Each problem set are based on material already taught, and consist of both theoretical and applied exercises. Problem sets will typically be posted about a week before the TA class. There will be no-evaluation of the exercises. My suggestion is to work in groups to solve the exercises.
The mathematical/statistical software adopted in this course is MATLAB. If you need a copy of the software to be installed on your PC, please contact the Help desk.
There will be no mid-term exam. However, During the Easter break, I will assign an extended exercise (to be solved in groups min 3 – max 4 students), which will graded out of two points. The points scored at this exercise will be added to the final grade as a bonus. Note that it is not mandatory to hand-in this exercise to participate to the final exam. The bonus points are valid for the sessions of May/June only.
The final exam is based on the topics covered during the lectures and classes, the chapters of the textbook and all the materials assigned during the course.
Please keep in mind that from May 2015 onward, online registration is mandatory for all exams, and you will no longer have the option to get a last-minute permit from the Student Secretary instead.
For the students who take the exam in Session I and II, the score obtained in the Easter exercise (max 2 points) will be added to the grade obtained in the final exam.