Econometrics for impact evaluation
- A.A. 2022/2023
- CFU 9
- Ore 60
- Classe di laurea LM-16
Data Analysis, Descriptive Statistics, Probability, and Inference.
The course introduces students to the quantitative evaluation of public policies. The theoretical treatment of the course contents is accompanied by applications to real cases for the evaluation of policy interventions. Exercises, empirical exercises, case studies concerning the quantitative evaluation of public policies based on real data, also using statistical and econometric packages, are proposed. Practical lessons dealing with real- world examples with the use of statistical packages are designed to allow students to improve abilities in collecting, analysing, and interpreting findings and data (RStudio).
1. Simple Linear Regression: (i) regression models (assumptions and proofs); (ii) estimation of the unknown parameters in linear regression models (assumptions and proofs); (iii) hypothesis tests and confidence intervals; and (iv) diagnostic tests.
2. Multiple Linear Regression: (i) regression models (assumptions and proofs); (ii) asymptotic distributions; (iii) internal and external validity; (iv) hypothesis tests and confidence intervals; (v) diagnostic tests; and (vi) joint hypothesis tests with restrictions for two oe more coefficients.
3. Some Non-linear Regression Models: (i) polynomial functions (assumptions and proofs); (ii) logarithmic functions (assumptions and proofs); (iii) interactions among causal variables; and (iv) interactions among causal and dummy variables.
4. Linear Time-series Regressions: (i) autoregressive models (assumptions and proofs); (ii) moving average (assumptions and proofs); (iii) diagnostic tests; and (iv) forecasting.
During the course, the statistical-econometric (open source) software used analysing real case studies is going to be RStudio.
- 1. (A) Stock, James H. and Watson, Mark W. (fourth edition) Introduction to Econometrics Pearson, Milan, 2019 » Pagine/Capitoli: According to the Teacher
- 2. (C) Wooldridge, Jeffrey M. (from fifth edition onwards) Introductory Econometrics: A Modern Approach The MIT Press, London, 2010 » Pagine/Capitoli: According to the Teacher
- 3. (C) Tsay, Ruey S. (from second edition onwards) Analysis of Financial Time Series Wiley Series, Chicago, 2010 » Pagine/Capitoli: According to the Teacher
- Lectures, exercises, applied exercises, case studies concerning the quantitative evaluation of public policies based on real data, also using statistical and econometric packages.
- The final examination consists of a written exam, addressing either theoretical or empirical questions, and discussing estimation outputs and graphical representations.
Students attending the course are requested to solve a Project Work analysing a real case-study by using the statistical-econometric software RStudio. The Project Work will be evaluated until 2 points to be added to the exam grade.
The final grade is then computed by adding up the result of the written examination with the result obtained in the Project Work (from -1 to 2). This latter is limited to the exam held - with any outcome - in one of the appeals of the first exam session.
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