Econometrics I, MA In Economics


The course will cover the main issues related to estimation methods in Econometrics  with a particular focus on the classical linear regression model and a short introduction to time series analysis.

The following topics are included in the program:

  • The Classical Linear Regression Model (CLRM) and the OLS Estimator
  • Statistical Properties of the OLS Estimator
  • Model Specification: Problems and Testing
  • Heteroskedasticity and Autocorrelation
  • Endogeneity, Instrumental Variables (IV) and Generalized Methods of Moments (GMM)
  • Maximum Likelihood (ML) Estimation and Specification Tests
  • Specification Tests in Maximum Likelihood Estimation
  • Time series analysis: AR, MA and ARMA models
  • Stationarity and unit roots
  • ARCH and GARCH models

The course will use the following textbook: A Guide to Modern Econometrics 4th Edition,Marno Verbeek, Wiley ed.

In particular we will see the topics covered in chapters 1-6 and chapter 8 (i.e. chapter 7 excluded) of the textbook.

lesson 1: Introduction


Lesson 2

Univariate Regression

Lesson 3

log file computer class 1


Lesson 4

Lesson 5

The intermediate exam is scheduled for Monday 21, from 12 to 14 in room n° 9.

Lesson 6

Lesson 7

Lesson 8

result intermediate exam

Lesson 9


syllabus for the exam

Final grade Econometrics module I 13_02_2017