Micro-econometrics, causal inference and time series econometrics

A.A. 2021/2022
12
Crediti massimi
80
Ore totali
SSD
SECS-P/05 SECS-S/01
Lingua
Inglese
Obiettivi formativi
The aim of this course is twofold. First, to learn how to analyse time-series (typically macro-) data. In particular, how to identify the effect of past shocks on the current state of the world, how to forecast future values and how to model the dynamic interaction between different series.
Second, to analyse the main challenges faced by economists and social scientists in answering empirical questions using micro‐data. The main emphasis will be on learning how to establish causal relationships between different variables and how to use this evidence to inform policy makers' decisions.
Risultati apprendimento attesi
By the end of the course students will be able to:
Understand the difference between a time series and an independent random sample.
Apply non-parametric and parametric techniques to model time series.
Choose and estimate parametric models for time series.
Compute the impulse response function.
Forecast future values.
Handle real‐world data.
Identify causal effects using micro-data
Link econometric theory with data work and produce an insightful and coherent empirical analysis.
Programma e organizzazione didattica

Edizione unica

Responsabile
Periodo
Primo trimestre
La lingua di erogazione del corso e' l'inglese

Organization of teaching

More specific information on the delivery modes of training activities for the academic year 2021/22 will be provided over the coming months, based on the evolution of the public health situation
Prerequisiti
La lingua di erogazione del corso e' l'inglese
There is no formal prerequisite.
This course requires knowledge of inferential statistic and of matrix algebra.
Some previous knwoledge of econonometrics is recommended for the micro-econometrics and causal inference module.
Modalità di verifica dell’apprendimento e criteri di valutazione
La lingua di erogazione del corso e' l'inglese
One written exam for Time Series.

- Microeconometrics and causal inference
Only for the first session of finals students will be provided the opportunity to handle a project paper on the part of casual inference and one for micro-econometrics. The topic can be freely selected by the student. The focus of the paper needs to be an application of one of the approaches discussed during the lectures.
After the first session of finals, the chance to handle a paper will no longer be available and the student needs to take a written text.
Module Micro-econometrics and Causal Inference
Programma
La lingua di erogazione del corso e' l'inglese

At the end of the module students should be able to handle and interpret the results of empirical analyses both from a statistical and economic perspective.

Microeconometrics (Check regularly ARIEL for a detailed and updated syllabus)
1. Ordinary Least Squares regression: recap and issues related with the violations of the classical assumptions
2. Instrumental variables estimation
3. Introduction to panel data econometrics
4. The use of machine learning in econometric analysis
Causal Inference (Check regularly ARIEL for a detailed and updated syllabus)
1. Challenges when disentangling causation from correlation: recap and main pitfalls of the methods analysed so far
2. Difference-in-differences estimation
3. Regression discontinuities design estimation
4. Challenges and strength of Randomized Controlled Trials
Metodi didattici
La lingua di erogazione del corso e' l'inglese

Lectures and tutorial using the Stata software. For campus licenses see: https://work.unimi.it/servizi/servizi_tec/121946.htm
Materiale di riferimento
La lingua di erogazione del corso e' l'inglese

· Lecture notes
· For microeconometrics students can choose - depending on their background - one of the following textbooks:
o [Advanced Level] A. Colin Cameron and Pravin K. Trivedi. Microeconometrics: methods and applications. Cambridge University Press, New York, May 2005
o [Introductory Level] M. Verbeek A Guide to Modern Econometrics, 5th Edition
· For causal inference slides and material will be based on:
o J. D. Angrist and J. Pischke. Most Harmless Econometrics: An Empiricist's Companion (2009)
o J. D. Angrist and J. Pischke. Mastering 'Metrics: The Path from Cause to Effect (2015)
· Papers replicated during tutorials (see ARIEL for details)
· Stata sessions are part of the program
Module Time Series Econometrics
Programma
La lingua di erogazione del corso e' l'inglese

Topics will include.
Definition of univariate time series.
Non-parametrics characterisation.
Ergodicity and stationarity as generalisation of the iid framework.
the LLN and CLT for stationary mixing processes.
Parametric modelling of weakly dependent univariate time series (ARMA modelling). Impulse response functions for ARMA.
Inference in ARMA modelling.
Forecasting with ARMA models.
Model selection: parsimonious modelling.
Parametric modelling of strongly dependent univariate time series: unit root modelling. Forecasting with unit roots.
Unit root testing.
Multivariate modelling: VARMA and VAR modelling for weakly autocorrelated time series. Impulse response function for VARs.
Identification and estimation in VAR models.
Regression models for weakly dependent and unit root multivariate time series (cointegration).
Metodi didattici
La lingua di erogazione del corso e' l'inglese.
20 two-hours lectures (40 hours)
Materiale di riferimento
La lingua di erogazione del corso e' l'inglese

The main reference textbook for the course is:
Time Series Analysis, by J. D. Hamilton, 1994, Princeton University Press .
Other references may be mentioned as the course progresses.
Moduli o unità didattiche
Module Micro-econometrics and Causal Inference
SECS-S/01 - STATISTICA - CFU: 6
Lezioni: 40 ore

Module Time Series Econometrics
SECS-P/05 - ECONOMETRIA - CFU: 6
Lezioni: 40 ore
Docente: Iacone Fabrizio

Docente/i
Ricevimento:
Venerdi' 13-16
MS TEAMS (previo appuntamento via email)
Ricevimento:
Martedi 16.30-19.00
Via Conservatorio 7
Ricevimento:
Monday, 12.30 to 2.30. Please email me to arrange an appointment
Stanza 4 (DEMM Secondo piano) [On line appointments only]