Introductory Econometrics
THE COURSE IS DELIVERED IN ONLINE MODE.
If the conditions of the ongoing COVID 19 pandemic allow it, the course will be also delivered in presence. Participants may express thier preference upon acceptance
Bertinoro, 5 - 10 July 2021
Coordinator
Giorgio Calzolari
Università di Firenze
Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”
Viale Morgagni 59
50134 Firenze
e-mail: giorgio.calzolari@unifi.it
Lecturers
Giorgio Calzolari , University of Firenze
Francesca Di Iorio, University of Napoli Federico II
Marco Lippi , Einaudi Institute for Economics and Finance, Roma
Giulio Palomba , Università Politecnica delle Marche
Umberto Triacca, University of L'Aquila
Basic Requirements
The course requires a working knowledge of basic linear algebra, statistical inference and multiple linear regression model with the notation of linear algebra (matrices and vectors).
To this aim the following preliminary readings are suggested:
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Chapt. 1, 2, 3, 6 in Greene, W. H. (2002): Econometric Analysis (5-th edition). Upper Saddle River (NJ): Prentice Hall.
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Or chapt. 1-6 in Johnston, J. (1984): Econometric Methods (3rd edition). New York: McGraw-Hill, Inc. Italian translation by M. Costa and P. Paruolo (1993): Econometrica (3rd edition). Milano: Franco Angeli.
Reference textbook for the course:
Handouts, readings and further material will be provided before the beginning of the course and during the lectures.
Schedule of the course:
Linear regression, seemingly unrelated regressions, simultaneous equations, maximum likelihood
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Classical linear regression model (refresh).
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Elements of asymptotic theory: law of large numbers and central limit theorem (outline).
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Introduction to stochastic processes and Wold representation
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Introduction to time series analysis
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Likelihood: definition, score vector, information matrix, Cramer-Rao inequality, maximum likelihood, consistency, asymptotic efficiency.
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Seemingly unrelated regression equations (SURE): generalized least squares (GLS), feasible GLS, maximum likelihood (iterative GLS, hints).
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Simultaneous equations model: structural form and reduced form, static and dynamic solution, impact and dynamic multipliers, forecast, scenarios and economic policy.
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Identification: rank and order condition.
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Estimation: instrumental variables, limited-information methods (2SLS, LIVE, IIV)
Tutorials
Practical applications using the freeware software Gretl (download here).
For the computer tutorials participants will use the Gretl package, which will have to be installed on their own laptops. In exceptional cases, when students cannot use their computer, we may be able to supply an alternative solution, but please inform the course coordinator beforehand.
Program is conditional to the recruitment of a minimum of 15 participants
Venue and timetables
The course will last one week and will be held in the University Residential Centre, Via Frangipane 6, 47032 Bertinoro (FC).
Participants will be hosted in the Centre guest quarters, (as an exception, in case of reduced availability of rooms in the Centre, they will be accommodated in local hotels).
Lectures and tutorials will be in English, with the following schedule:
Monday to Friday: lectures: 9.00-13.00, 15.30-17.30; tutorials: 17.40-19.30.
Saturday: lectures: 9.00-13.00.
Fees and Enrollment
* Online Course
- Students, new graduated students, PhD students and temporary university staff: 340 euro
- University staff: 450 euro
- Others: 1500 euro
* Course in Bertinoro
- Students, new graduated students, PhD students and temporary university staff: 690€
- University staff: 800€
- Others: 2300€
Fee includes: accommodation breakfast and lunch (starting from Sunday evening).
If participants do not need any accomodation during the course, please send an email to admin@side-iea.it to request a reduced fee and we will apply a cost reduction of 100€.
In case of enrollment in two or more courses, for a maximum of three, Student and Staff participants are entitled to a discount of 100 euros on each course. Other participants are entitled to a discount of 300 euros on each course.
Renounce and refund:
To submit a renounce request, please send an email to admin@side-iea.it.
You can give up immediately after the notification of acceptance or later.
After the payment, you can submit your renounce up to one week (7 days) from the beginning of the course (within the terms for refund) and ask for a refund with motivated reasons (health reasons to be documented, for study purposes or personal reasons). We will refund your fee with a deduction for administrative and organization costs:
150 Euro for the course in presence, 100 Euro for online course.
Over the terms for refund (less of 7 days from the beginning of the course) you need to motivate your request (as indicated above), which will be submitted to SIdE President.
Important dates:
Application Deadline: May 18th, 2021
Notification of acceptance will be posted by the 21th May, 2021
Deadline for Fee Payment is June 7th, 2021
Contacts
- For more information: Laura Urraci e-mail: info@side-iea.it
- For administrative issues : Laura Urraci (admin@side-iea.it), Alessandra Picariello (alessandra.picariello@unibo.it), phone:+39 0512092637;
- For travel and accommodation: Monica Michelacci (mmichelacci@ceub.it), phone: +39 0543446500
