Learning outcomes

Lead the student to master the techniques that will enable them to handle empirical data. Particular effort is made to help them understand theoretical concepts through numerical illustrations rather than formal demonstrations alone.

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


 
 

 

Teaching methods

Theoretical lectures in auditorium, complemented by computer lab sessions

Assessment method

The final grade for the course is composed of three elements:



  • A written exam consisting of a theoretical part and a practical part, weighted equally. During the exam, each student is allowed to use one handwritten A4 sheet in ink, containing any information of their choice. This exam accounts for 60% of the final grade.



  • Three continuous assessments in the form of multiple-choice quizzes, conducted in person during lab sessions. The dates of these assessments are announced in the course schedule on WebCampus. Together, they account for 15% of the final grade (5% each).



  • A written group project, defended orally as a group (with the possibility of individual grading). This project, including the defense, accounts for 25% of the final grade.

Sources, references and any support material

Reference book: Dougherty, Christopher, 2011. "Introduction to Econometrics," Oxford University Press, edition 4. The slides used in the course are extensively based those used in this book.

Language of instruction

French