Syllabus

Applied Research Method, SDIC, Academic Year 2001-2002. Instructor: Lucio Picci

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AQ 1 - Statistics and the basic regression model

Part 1. Descriptive statistics using Excel (Anna Montini)

  • Variables
  • Frequency distributions and histograms
  • Measures of central tendency: mean, median, mode
  • Measures of variability (spread): range, variance, standard deviation
  • Summarising bivariate data: scatter plot, correlation coefficient

    Readings

  • HyperStat Online Textbook 1., 2., 3. (http://davidmlane.com/hyperstat/)
  • Windows Excel 5 Guide (or Excel 97)

Part 2. Inferential Statistics (Lucio Picci)

  • Probability theory: events and their probabilities 
  • Random variables and probability distributions 
  • Sample analyisis 
  • Estimation 
  • Tests of hypothesis 
  • The simple regression model 

    Readings

  • TBA 
  • In Italian:Pacini, Barbara e Picci, Lucio, Introduzione alla Statistica, Clueb, Bologna, 2001.

AQ 2 - Econometrics 

Part 1. (Lucio Picci)

A. Basic Econometrics

  • Distribution of the Ordinary Least Squares estimator (4 hours) 
  • Test of hypothesis: LM, LR, Wald tests. F test of general linear restrictions (4 hours) 

    Readings

  • Judge et. al, (1984), Introduction to the theory and practice of econometrics, John Wiley and Sons, ch. 4 and 6 
  • Davidson, R. e J, MacKinnon (1994), Estimation and inference in Econometrics, Oxford University Press, New York 

B. Application

  • The econometrics of the Mankiw-Romer-Weil model (2 hours). 

    Readings

  • Favero, C.A., (2000), Applied Econometrics, Oxford University Press, chapter 1. 
  • Mankiw G., Romer D. and Weil D. (1992), A Contributions to the Empirics of Economic Growth", Quarterly Journal of Econometrics, 408-438. 

C. Instrumental variables 

  • The Instrumental Variables estimator and the Hausman test (2 hours) 

    Readings

  • Davidson, R. e J, MacKinnon (1994), Estimation and inference in Econometrics, Oxford University Press, New York 

Part 2. (Roberto Golinelli)

Time series econometrics 

  • Preliminary univariate analysis. Integration. 
  • The regression between integrated time series. The problem of spurious regression.
  • Multivariate time series analysis. 
  • The dynamic specification of the model. The AutoRegressive Distributed Lags (ARDL) model. The importance of white noise residuals. 
  • Testing for the existence of a long run relationships in the ARDL model. 
  • Time series with unit roots and cointegration: the Engle-Granger two steps approach. 
  • Cointegration and common trends. Testing for cointegration. The OLS estimator super-consistency in cointegrated relationships. 
  • The Error (Equilibrium) Correction Model 

    Readings

  • R. Golinelli, Lecture notes on Time Series Modelling, downloadable here
  • C. Mukherjee, H. White and M. Wuyts (1998), Econometrics and Data Analysis for Developing Countries, Routledge, London. Part IV (Chapters 10, 11 and 12).

Part 3. (Lucio Picci)

Panel data 

  • The issue of pooling time series and cross sectional data. 
  • Alternative static panel data models: between and within estimators. 
  • Fixed and random effect models. 
  • Dynamic panel models: specification, estimation and testing. 
  • Alternative approaches to the pooling estimate. 

    Readings

  • Attanasio, O, Picci, L and Scorcu, A, Saving, Growth and Investment. A Macroeconomic Analysis using a Panel of Countries, Review of Economics and Statistics, pp. 1-30, May 2000 
  • Baltagi, B. (1995), Econometric Analysis of Panel Data, John Wiley and Son. 

 

Copyright Lucio Picci - 2001