Empirical Economics
PROF. LORENZO CAPPELLARI; PROF. ANDREA MONTICINI
COURSE AIMS
The course focuses on the application of techniques for estimating regression
models, on problems commonly encountered in estimating such models, and on
interpreting the estimates from such models. The goal of the course is to teach
students how to deal with the empirical analysis of economic issues focussing on
examples taken from the economics literature. The course runs in parallel with the
Computational Laboratory for Economics where students will learn how to
estimate econometric models on real world data.
COURSE CONTENTS
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Introduction
Empirical analysis of linear economic outcomes
Properties of estimators useful for the analysis of linear outcomes
Empirical application: Estimating wage equations
Identifying causal relationships among economic variables
The problem of endogeneity, unobserved heterogeneity and reverse causality
Solving the problem using instrumental variables
Empirical application: estimating returns to human capital investments.
Empirical analysis of non-linear economic outcomes
Properties of estimators useful for the analysis of non-linear outcomes
Empirical application 1: Modelling individual unemployment
Empirical application 2: Modelling happiness
Empirical application 2: Modelling brand choice
Empirical analysis of mixed linear/non-linear economic outcomes
Properties of estimators useful for the analysis of mixed outcomes
Empirical application 1: Modelling expenditures on durables
Empirical application 2: Modelling women wages
Univariate Time Series Models:
Properties of estimators useful for the analysis of the time series data
Empirical application 1: Annual Price/ earnings ratio
Empirical application 2: Long-run Purchasing Power Parity
Empirical application 3: The Expectation theory of the term structure
Multivariate Time Series Models:
Dynamic Models with Stationary Variables
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Models with Nonstationary Variables
Empirical application: Money Demand and inflation
Models Based on Panel Data:
Static and Dynamic Linear Models
Empirical application: Explaining Individual Wages
READING LIST
M. VERBEEK, A Guide to Modern Econometrics, Wiley,Third edition.
Detailed reading lists of papers, class notes, and additional teaching material will be
uploaded on teachers web pages and/or blackboard (http://blackboard.unicatt.it/)
TEACHING METHOD
The course is based on classroom lectures (60 hours).
ASSESSMENT METHOD
Written examination
NOTES
Incoming students are expected to be acquainted with the materials covered in
Appendices A and B of Verbeek’s textbook.
Further information can be found on the lecturer's webpage at
http://docenti.unicatt.it/web/searchByName.do?language=ENG or on the Faculty notice
board.