Maria Lucia PARRELLA | STATISTICAL METHODS IN ECONOMICS
Maria Lucia PARRELLA STATISTICAL METHODS IN ECONOMICS
cod. 0212400023
STATISTICAL METHODS IN ECONOMICS
| 0212400023 | |
| DEPARTMENT OF ECONOMICS AND STATISTICS | |
| EQF6 | |
| ECONOMICS | |
| 2024/2025 |
| OBBLIGATORIO | |
| YEAR OF COURSE 3 | |
| YEAR OF DIDACTIC SYSTEM 2016 | |
| AUTUMN SEMESTER |
| SSD | CFU | HOURS | ACTIVITY | |
|---|---|---|---|---|
| SECS-S/01 | 10 | 60 | LESSONS |
| Exam | Date | Session | |
|---|---|---|---|
| PARRELLA | 16/04/2025 - 09:30 | SESSIONE ORDINARIA | |
| PARRELLA | 03/06/2025 - 09:30 | SESSIONE ORDINARIA | |
| PARRELLA | 09/07/2025 - 09:30 | SESSIONE ORDINARIA | |
| PARRELLA | 10/09/2025 - 09:30 | SESSIONE DI RECUPERO |
| Objectives | |
|---|---|
| KNOWLEDGE AND ABILITY OF COMPREHENSION THE PURPOSE OF THE COURSE IS: 1) EXPLORE AND GENERALIZE SOME IMPORTANT TOPICS COVERED IN PREVIOUS STATISTICS COURSES. IN PARTICULAR, SOME FUNDAMENTAL PRINCIPLES OF PROBABILITY AND STATISTICAL INFERENCE WILL BE COVERED AND INVESTIGATED ALSO FROM A COMPUTATIONAL POINT OF VIEW, USING THE R SOFTWARE. 2) PRESENT A UNIFIED THEORETICAL AND COMPUTATIONAL FRAMEWORK FOR LINEAR STATISTICAL MODELING, AS A TOOL FOR THE ANALYSIS OF RELATIONSHIPS BETWEEN ECONOMIC VARIABLES. ABILITY TO APPLY KNOWLEDGE AND UNDERSTANDING THE STATISTICAL TOOLS INTRODUCED IN THE COURSE WILL BE PRESENTED WITH THE PURPOSE OF HIGHLIGHTING SOME IMPORTANT THEORETICAL RESULTS AND THEIR POSSIBLE IMPLEMENTATION IN EMPIRICAL CONTEXTS. THE STUDENT WILL BE PROVIDED EVIDENCE ON HOW TO SELECT AND USE THE APPROPRIATE STATISTICAL TOOLS, HOW TO IMPLEMENT THEM FROM A COMPUTATIONAL POINT OF VIEW, AS WELL AS HOW TO INTERPRET AND COMMENT ON THE RESULTS OF THE ANALYZES CARRIED OUT. |
| Prerequisites | |
|---|---|
| THIS COURSE REQUIRES THE PRELIMINARY PASSING OF THE STATISTICS EXAM |
| Contents | |
|---|---|
| THE COURSE IS DIVIDED INTO 3 MODULES. MODULE 1 - PROBABILITY AND INFERENCE (16 HOURS) -TOPIC 1: SAMPLING: POPULATIONS AND SAMPLES; SAMPLE MOMENTS; SAMPLE DISTRIBUTIONS; LAW OF LARGE NUMBERS, CENTRAL LIMIT THEOREM. (LECTURES 2 HOURS; LABORATORY 2 HOURS) -TOPIC 2: PARAMETRIC ESTIMATION: PROPERTIES OF POINT ESTIMATORS; ESTIMATION METHODS; MEAN SQUARED ERROR; CONSISTENCY; BLUE AND BAN ESTIMATORS. (LECTURES 4 HOURS; LABORATORY 2 HOURS) -TOPIC 3: HYPOTHESIS TESTING: ML RATIO TEST; WALD TEST; ANOVA TEST. (LECTURES 4 HOURS; LABORATORY 2 HOURS) MODULE 2 - LINEAR MODELS (30 HOURS) -TOPIC 1: INTRODUCTION TO STATISTICAL MODELLING. VISUALIZATION OF RELATIONSHIPS BETWEEN STATISTICAL VARIABLES. (LECTURES 2 HOURS) -TOPIC 2: THE LINEAR REGRESSION MODEL. MODEL ESTIMATION. SAMPLE PROPERTIES OF OLS AND ML ESTIMATORS OF LINEAR MODELS. GOODNESS OF FIT AND TEST ON COEFFICIENTS. ASYMPTOTIC PROPERTIES. MULTICOLLINEARITY. OUTLIERS, INFLUENTIAL OBSERVATIONS AND ROBUST MODEL ESTIMATION. THE INTERPRETATION OF THE MODEL. VARIABLE SELECTION AND INFORMATION CRITERIA. PREDICTION. (LECTURES 14 HOURS) -TOPIC 3: MISPECIFICATION OF THE FUNCTIONAL FORM. THE PROBLEM OF HETEROSKEDASTICITY. WHITE'S CORRECTION FOR STANDARD ERRORS. TESTS FOR HETEROSKEDASTICITY. THE PROBLEM OF AUTOCORRELATION. HAC STANDARD ERRORS. TESTS FOR AUTOCORRELATION. (LECTURES 10 HOURS) -TOPIC 4: INTRODUCTION TO LOGIT AND PROBIT MODELS. (LECTURES 4 HOURS) MODULE 3 - R STATISTICAL SOFTWARE (14 HOURS) -TOPIC 1: INTRODUCTION TO THE "R" ENVIRONMENT AND THE R STUDIO INTERFACE. (LABORATORY 6 HOURS) -TOPIC 2: DEVELOPMENT OF PROBABILITY, INFERENCE AND LINEAR REGRESSION PROBLEMS USING THE R SOFTWARE. (LABORATORY 8 HOURS) |
| Teaching Methods | |
|---|---|
| THE LESSONS ARE DIVIDED INTO CLASSROOM LECTURES (40 HOURS) AND TUTORIALS IN THE COMPUTER LABORATORY (20 HOURS). PARTICIPATION IN LESSONS IS NOT MANDATORY BUT STRONGLY RECOMMENDED. |
| Verification of learning | |
|---|---|
| THE STUDENT'S ASSESSMENT IS CARRIED OUT ON THE BASIS OF A PRACTICAL TEST AND AN ORAL TEST. THE PRACTICAL TEST CONSISTS OF THE INDEPENDENT AND PRELIMINARY DEVELOPMENT OF AN ESSAY CONCERNING THE ANALYSIS OF REAL OR SIMULATED DATA, PREVIOUSLY AGREED WITH THE TEACHER, USING THE R SOFTWARE. IT AIMS TO ASSESS THE STUDENT'S ABILITY TO WORK AUTONOMALLY/IN GROUP AND PRACTICALLY APPLY THE STATISTICAL TOOLS ACQUIRED DURING THE COURSE. THE ESSAY MUST BE SUBMITTED AT LEAST 5 DAYS BEFORE THE EXAM DATE (VIA E-MAIL TO THE TEACHER) AND IS ASSESSED BY THE TEACHER TAKING INTO ACCOUNT THE METHODOLOGICAL RIGOUR, THE CLARITY OF THE EXPOSURE AND THE CORRECTNESS OF THE CALCULATION PROCEDURES. THE ORAL TEST, OF ABOUT 20 MINUTES, IS INTENDED TO EVALUATING THE ARGUMENTATION CAPACITY, THE ACCURACY OF LANGUAGE AND THE ABILITY TO MAKE CRITICAL USE OF THE ACQUIRED STATISTICAL TOOLS. THE FINAL SCORE WILL TAKE INTO ACCOUNT BOTH THE PRACTICAL AND ORAL EVALUATIONS. |
| Texts | |
|---|---|
| -MARNO VERBEEK, A GUIDE TO MODERN ECONOMETRICS, FIFTH EDITION, WILEY -ADDITIONAL MATERIALS PROVIDED BY THE TEACHER AND MADE AVAILABLE ON THE COURSE ONLINE PLATFORM |
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