Applied Econometrics

This syllabus is only as an informative orientation for new students.
Every academic year, professors will give to the students the updated syllabus with the exact contents and evaluation system.

 

Esteban Lafuente, PhD – UPC Barcelona Tech
esteban.lafuente@upc.edu
https://doe.upc.edu/ca/pers/lafuente-esteban

 

I Content of the course

  1. Linear regression model (OLS)
  2. Discrete choice models (logit, multinomial logit)
  3. Censored and truncated models
  4. Panel Data (random-effects and fixed-effects)

 

II Practical Sessions

1. Linear regression model

  • Ordinary least squares (OLS): Definition and underlying assumptions
  • Estimation procedure and interpretation of results
  • Examples 1: business growth and export intensity

2. Discrete choice models

  • Estimation and interpretation of results (Marginal Effects)
  • Goodness of fit measures
  • Likelihood test after model estimation
  • First Difference
  • Independence of Irrelevant Alternatives
  • Examples and Problem Set 1

3. Censored and Truncated regression

  • Estimation and interpretation of results
  • Goodness of fit measures
  • Examples and Problem Set 2

4. Panel Data

  • Estimation and properties of estimators
  • Panel data analysis: Random effects and Fixed effects models
  • Random effects vs. Fixed effects models: Hausman specification test
  • How to obtain empirical R2 measures?
  • Examples and Problem Set 3

 

III Grading

Students will be given three take-home assignments which cover the different subjects discussed in class. These cases account for 60% of the final mark (20% each). Also, there is a final exam accounting for the remaining 40% of the final grade (the final exam will be on March 15 2019)

 

References

Amemiya, T. (1981) Qualitative Response Models: A Survey, Journal of Economic Literature, 19: 483–536.

Greene, W. (2003) Econometric Analysis. Fifth edition. Upper Saddler River. New Jersey, USA: Prentice – Hall.

Hair, J., Black, B., Babin, B., Anderson, R., Tatham, R. (2005) Multivariate data analysis. Sixth edition. Upper Saddler River. New Jersey, USA: Prentice – Hall.

Maddala, G. (1983) Limited Dependent and Qualitative Variables in Econometrics. Econometric Society Monographs No 3, Cambridge University Press, Cambridge, chapters 2 and 3.