MGT-581 / 4 crédits

Enseignant: Aklin Michaël

Langue: Anglais

## Summary

The course provides an introduction to econometrics for economics and financial applications. The objective is to learn how to make valid (i.e., causal) inference from economic and social data.

## Content

• Causal inference
• Linear model
• Estimation (ordinary least square, maximum likelihood)
• Inference (hypothesis testing, confidence intervals)
• Panel data
• Experiments and quasi-experiments
• Instrumental variable
• Introduction to time series

## Keywords

Econometrics; Statistics; Data analysis; Causality; Data science; Ordinary least squares; Linear model

## Important concepts to start the course

• Sound understanding of statistics and probability concepts (central limit theorem, hypothesis testing, etc.).
• Matrix algebra.
• Familarity with R (or Python) is helpful.

## 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
• Carry out hypothesis testing

## Transversal skills

• Demonstrate a capacity for creativity.
• Demonstrate the capacity for critical thinking
• Use both general and domain specific IT resources and tools
• Use a work methodology appropriate to the task.

## 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

• Individual problem sets: 40%
• Written exam during the exam session : 60%

No

## Bibliography

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

• Morgan, Steven L., and Christopher Winship. 2014. Counterfactuals and Causal Inference: Methods and Principles for Social Research. 2nd Edition. Cambridge University Press
• James H. Stock and Mark W. Watson. Introduction to Econometrics. 3rd Edition. Pearson.
• Verbeek, M. 2017. A Guide to Modern Econometrics. 5th Edition. John Wiley & Sons.

• Angrist, J.D. and Pischke, J.-S. 2009. Mostly Harmless Econometrics: An Empiricist's Companion. Princeton University Press.
• Aronow, Peter M., and Benjamin T. Miller. 2019. Foundations of Agnostic Statistics. Cambridge University Press.
• Cameron, A.C. and Trivedi, P.K. 2010. Microeconometrics Using Stata. Stata Press.
• Gelman, Andrew, and Jennifer Hill. 2007. Data Analysis Using Regression and Multilevelâ€“Hierarchical Models. Cambridge University Press.
• Greene, W.H. 2011. Econometric Analysis. Prentice Hall.
• Wooldridge, J.M. 2012. Introductory Econometrics: A Modern Approach. Cengage Learning.

## Notes/Handbook

Students are provided with notes when applicable.

## Dans les plans d'études

• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: obligatoire
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: optionnel
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: optionnel
• Semestre: Automne
• Forme de l'examen: Ecrit (session d'hiver)
• Matière examinée: Introduction to econometrics
• Cours: 2 Heure(s) hebdo x 14 semaines
• Exercices: 2 Heure(s) hebdo x 14 semaines
• Type: optionnel

## Semaine de référence

Lundi, 14h - 16h: Exercice, TP CM1121

Mardi, 15h - 17h: Cours CM1121

## Cours connexes

Résultats de graphsearch.epfl.ch.