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Statistique et économétrie II

  • Teacher(s):   J.Renne  
  • English title: Statistics and Econometrics II
  • Course given in: French
  • ECTS Credits: 6 credits
  • Schedule: Spring Semester 2018-2019, 2.0h. course + 2.0h exercices (weekly average)
  •  sessions
  • site web du cours course website
  • Related programmes:
    Bachelor (BSc) in Economic Sciences

    Bachelor of Science (BSc) in Economics

 

Objectives

This course aims at providing students with an in-depth understanding of theoretical and practical aspects of the most commonly-used regression models. After a careful review of the linear regression model, the course will cover the analysis of panel data and the maximum likelihood estimation. Time series analysis and forecasting will also be introduced. Theoretical and applied exercises will be assigned during the course; solutions will be discussed in TA sessions.

Contents

The outline of the course is the following:

  1. General Introduction
  2. Linear Regression
  3. Heteroskedasticity and Autocorrelation
  4. Maximum Likelihood Estimation
  5. Discrete Choice Models
  6. Introduction to Time Series and Forecasting

References

The topics covered in the course are standard and can be found in most econometrics books. Particularly relevant books are:

  • Greene W. (2011) Econometric Analysis, 7th ed., Pearson.
  • Stock J. and Watson M. (2003) Introduction to Econometrics. Addison-Wesley Series in Economics.
  • Verbeek M. (2012) A Guide to Modern Econometrics, 4th ed., John Wiley & Sons Ltd.

Pre-requisites

Notions of statistics and mathematics (basic notions in linear algebra).

Evaluation

First attempt

Exam:
Written 2 hours
Documentation:
Allowed with restrictions
Calculator:
Not allowed
Evaluation:
  • Mid-term exam: 40% of the total grade if it is higher than the grade obtained at the final exam (0% otherwise). This exam covers material from the first half of the course.
  • The final exam covers all the different topics studied in the course.
  • For both the mid-term and the final exams, an A4 sheet (home-made) with all pertinent information is allowed.

Retake

Exam:
Written 2 hours
Documentation:
Allowed with restrictions
Calculator:
Not allowed
Evaluation:

  • In the re-take session, the final grade will be equal to the grade of the re-take exam only, i.e. the previous exams do not affect the final grade.
  • An A4 sheet (home-made) with all pertinent information is allowed.



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