Summary

This course introduces the main methods of econometric analysis and their application to economics. The main goal of the course is to teach the students how to become both producers and critical consumers of empirical research. This is achieved by focusing both on the theoretical properties and on the practical implementation of the techniques. The course starts introducing the classical linear regression model, assumptions about the explanatory variables and disturbances, properties of the least squares estimator and hypothesis tests. This first part of the course tries to provide all the students, those who have some training in undergraduate econometrics and those who have not, with a homogeneous basis. A second part of the course introduces the characteristics of non-spherical disturbances and the generalized least squares model, endogeneity issues and instrumental variables estimation, the generalized method of moments, the method of maximum-likelihood and simultaneous equations estimation. The course also aims to develop the students’ abilities to apply the methods to real data using the econometrics programme STATA.