University of Milano-Bicocca
Department of Economics, Management and Statistics (DEMS)

PhD in Economics, Statistics and Data Science (ECOSTATDATA)
Academic Year 2023-2024
Cycle XXXIX

ECONOMETRICS I – THE LINEAR REGRESSION MODEL
(Prof. Matteo Manera)

1. Introduction

• Introduction to the econometrics courses at ECOSTATDATA
• Structure of the exam
• Notation

2. Linear regression model

• The Ordinary Least Squares (OLS) estimator
• Gauss Markov assumptions and small sample properties of the OLS estimator
• Hypothesis testing
• Asymptotic properties of the OLS estimator
• The Generalized Least Squares (GLS) estimator
• Heteroskedasticity tests

3. Endogeneity and instrumental variables

• Endogeneity, errors in variables
• The Instrumental Variables estimator (IV) and the Method of Moments (MM)
• The Generalised Instrumental Variables estimator (GIV/2SLS)

4. Maximum Likelihood

• The Maximum Likelihood (ML) estimator
• Introduction to ML specification tests

Proposed references

• Greene, W.H. (2000), Econometric Analysis, Prentice-Hall.
• Hayashi, F. (2000), Econometrics, Princeton University Press.
• Verbeek, M. (2008), A Guide to Modern Econometrics, Wiley.