Very good knowledge of Statistics (Probability and Inferential), Linear Algebra, Introductory Econometrics.
To provide students with wide knowledge of econometric techniques useful to modelling micro (MICROECONOMETRICS) and financial (FINANCIAL ECONOMETRICS) variables. Students will be very well equipped to undertake research careers at national (for instance Bank of Italy) and international (for instance European Central Bank, Bank of England, International Monetary Fund, ..) institutions, financial industry and academia.
MICROECONOMETRICS - Review of the asymptotic distribution of OLS; Regularity conditions and review of testing procedures; Instrumental Variables; 2SLS and introduction to the weak instrument problem; GMM estimation; Binary choice models; Multinomial/ordered response models; Censoring models; Introduction to non parametric techniques; Linear Static Fixed-Effects Models; Linear Static Random-Effects Models; Linear Dynamic Models; Non-linear Panel Data Models; Difference-in-differences models; Regression Discontinuity Design.
Lectures and practical classes using the econometric packages Stata.
The assessment consists of
a) A take-home COURSEWORK to be assigned by the lecturer
b) FINAL WRITTEN EXAM (short-answer, proofs, and numerical questions) based on the material in the syllabus and in the coursework.
Students must pass both coursework and final written exam.
If lectures and classes will be delivered blended or remotely in full, the syllabus and the assessment process will be modified accordingly.