Econometrics [ECGEB352]
Learning outcomes
To enable the student to master the techniques that will enable him/her to deal with empirical data. A particular effort is made to make the theoretical concepts understood through numerical illustrations and not formal demonstrations.
Content
1 Covariance and Regression - Introduction to Linear Regression
2 Inference - Introduction to Inference in Linear Regression
3 Multicollinearity - FWL Theorem and VIF
4 Regression Model Assumptions - Gauss-Markov Theorem, Functional Form, and Specification
5 Endogeneity - Instrumental Variables and 2SLS
6 Heteroscedasticity - Inference Correction and Weighted Least Squares (wls)
7 Serial Correlation - Inference Correction and Cochrane-Orcutt Method
8 Maximum Likelihood - LM, LR, and Wald Tests
9 Binary Dependent Variable - Logit and Probit
10 Censoring and Selection - Tobit and Heckman
11 Time Series - Stationarity and Cointegration
12 Panel Data - Fixed Effects and Random Effects
Prerequisites
Statistique [ECGEB152] et Probabilités et inférence statistique [ECGEB252]Co-requisites
Mathématiques pour l'économie et la gestion 3 [ECGEB251]Evaluations
Written examination consisting of two parts. The first part is on theory and the second part is on exercises. For the exercise part of the exam, part of the mark comes from the work done during the year. This is a part of the examination and does not result in a separate mark. For the theory part, part of the mark comes from the continuous assessments made during the year. This is part of the examination and does not result in a separate mark. The relative weight of the different parts is as follows: 12/20 for the final exam, 5/20 for the practical work and 3/20 for the continuous assessments. During the examination, students are allowed one A4 sheet of paper, handwritten in ink (not crumpled), on which they write whatever they wish.
Recommended readings
Reference book: Dougherty, Christopher, 2011. "Introduction to Econometrics," Oxford University Press, edition 4. The slides used in the course are lextensively based those used in this book.
Language of instruction
French / FrançaisLocation for course
NAMUROrganizer
Faculté des sciences économiques, sociales et de gestionRue de Bruxelles, 61
5000 NAMUR
