Microeconometrics

CFU: 6

Year II

Instructor: Giorgio Calzolari

Elements of linear algebra. Vectors and matrices, linear dependence, rank, square matrices, inverse matrix, equation systems, idempotent matrices, projection matrices, trace. Linear regression model. Algebraic assumptions and statistical assumptions, ordinary least squares estimation, coefficients and residuals, R-square, unbiasedness of estimated coefficients, estimation of the errors variance, variance-covariance matrix of estimated coefficients, Gauss-Markov theorem, standard errors, linear restrictions, t-test, F-test, specification tests, structural break, heteroskedasticity, autocorrelation. Discrete choice, logit model. Linear panel data model (with "fixed" effects).

Computer laboratory. Use of GRETL (free software, open source).

Calzolari, G., 2012, Econometric Notes, MPRA Paper 64415, University Library of Munich, Germany (revised May 2015; pages 1-14).

Stock, J. H., and M. W. Watson, 2007, Introduction to Econometrics, (2nd edition), Reading, MA:

Addison-Wesley Publishing Company, Inc.