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.

TA sessions

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.

Software

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.

Midterm Exam

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/July 2018 only. 

Final Exam 

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. There are two exam sessions: May/June (Session I) and June/July (Session II). Students can take the exam in either Session I or Session II. Those students who do not pass the written exam (or do not accept the assigned grade) in Session I, will be not allowed to re-take the exam in Session II. However, students, who sit for the exam in Session I and withdraw at least half an hour before the end of the exam, are allowed to retake the exam in Session II.

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.