Fiches de cours 2018-2019

Introduction to econometrics

Enseignant(s) :

de Rassenfosse Gaétan Jean A

English

Summary

The course provides an introduction to econometrics. The objective is to learn how to make valid inference from economic data. It explains the main estimation methods and present methodologies to deal with endogeneity issues.

Content

• Ordinary least square estimator
• Maximum likelihood estimator
• Instrumental variable
• Experiments and quasi-experiments

Keywords

Econometrics; Statistics; Data Analysis

Learning Prerequisites

Important concepts to start the course

Sound understanding of statistics and probability concepts (central limit theorem, hypothesis testing, etc.)

Learning Outcomes

By the end of the course, the student must be able to:
• Recognize pitfalls and bias in data collection and econometric models
• Illustrate the concept of endogeneity
• Check the validity of an econometric result
• Quantify an economic relationship
• Design an appropriate regression model
• Interpret coefficients of econometric regressions

Transversal skills

• Demonstrate a capacity for creativity.
• Demonstrate the capacity for critical thinking
• Use both general and domain specific IT resources and tools

Teaching methods

Lectures provide the theoretical knowledge and exercise sessions illustrate theory using computer exercises.

Expected student activities

• Attendance and participation at lectures and exercise sessions
• Submission of problem sets

Assessment methods

• Written exam: 60%
• Individual problem sets: 40%

Supervision

 Office hours Yes Assistants Yes Forum No

Resources

Yes

Bibliography

The course will be based on (ref. not compulsory)

• James H. Stock and Mark W. Watson, Introduction to Econometrics, Third Edition (Updated Edition), Pearson. ISBN: 978-0-13348687-2 (http://www.isbnsearch.org/isbn/9780133486872)

• Angrist, J.D. and Pischke, J.-S. Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press, 2009.
• Cameron, A.C. and Trivedi, P.K. Microeconometrics Using Stata. Stata Press, 2010.
• Greene, W.H. Econometric Analysis. Prentice Hall, 2011.
• Wooldridge, J.M. Introductory Econometrics: A Modern Approach. Cengage Learning, 2012.

Notes/Handbook

Students are provided with lecture slides.

Semaine de référence

LuMaMeJeVe
8-9
9-10
10-11
11-12
12-13
13-14
14-15
15-16
16-17
17-18
18-19
19-20
20-21
21-22
En construction

Cours
Exercice, TP
Projet, autre

légende

• Semestre d'automne
• Session d'hiver
• Semestre de printemps
• Session d'été
• Cours en français
• Cours en anglais
• Cours en allemand