TrainingsMasterEconomicsCoursesTheoretical econometrics

Master EconomicsUE Theoretical econometrics

Content

Provide students with a working knowledge of modern econometric practice, with the accompanying theoretical background. Students should also acquire skill with a suitable econometrics software package.

Course outline :

The course starts with a brief review of the linear regression model, with emphasis on a geometric approach. This is followed by the study of instrumental variables estimation, the method of moments, and generalised least squares. Next comes the method of maximum likelihood, and the classical hypothesis tests that can be based on maximum likelihood estimation. Discrete choice models, such as probit and logit, are discussed and it is shown how to estimate them by maximum likelihood. Throughout the course, the use of the bootstrap for the implementation of statistical inference in the context of econometrics will be emphasised.

Professional skills

  • Econometric estimation and inference
  • Experience with econometrics software
  • Understanding of maximum likelihood and related methods
  • Understanding of the bootstrap for statistical inference

Language used

Main language used by this course: Anglais.

Bibliography

The main reference is the textbook : “Econometric Theory and Methods”, by Russell Davidson and James MacKinnon, Oxford University Press, 2004.

A few other references will be suggested occasionally, but the textbook is the only required reference.

Fundamental prerequisites

Matrix algebra (linear algebra), some experience with some variety of econometric software, for instance, Matlab, Stata, R, etc.

Recommended prerequisites

Basic differential and integral calculus.

Structure and organisation

There will be a final exam, plus an exercise to be undertaken on a computer. The final mark will normally be the unweighted average of the marks for these two components.

Volume of teachings

  • Lectures: 24 hours

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