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ECGE1330 - Econometrics
Credits :
6
Lecturer :
Teaching assistants :
Mode of delivery :
Face-to-face , first term, 45 hours of theory and 15 hours of exercises.
Timetable :
First term
Monday from 10:45 to 12:45 at 119 Marais 2100
Tuesday from 08:30 to 10:30 at 119 Marais 2100
Language of instruction :
French
Learning outcomes :
The student should be able to:
- understand the methods required to solve basic econometric problems;
- apply basic econometric methods to economic problems;
- use the Gretl software.
Prerequisites :
 For the Bachelor in Business Engineering :
For the Bachelor in Economics and Management :
Co-requisites :
None
Course contents :
Introduction :
Recap from statistique approfondie and statistique appliquée :
Simple Regression
Multiple regression :
Estimation and properties of estimators; Statistical tests; Analysis of variance (ANOVA);
Forecasting; Regression models with dummy variables;
Relaxing the assumptions of the classical model : Multicollinearity, heteroscedasticity and autocorrelation; La méthode des moindres carrés généralisés
Errors-in-variables models; instrumental variables;
Introduction to qualitative variables in econometrics: the Probit, Logit and Tobit models.
An introduction to panel regression
Planned learning activities and teaching methods :
A) Lectures
During the lectures the theoretical concepts and regression methods will be explained. Regression output examples using Gretl and the interpretation of the results will be integrated in the lectures. Students are encouraged to participate to class, answering to questions that are raised.
B) Exercise Classes
During the exercise classes students have the opportunity to perform regression analyses using the Gretl software and interpreting the results under the supervision of a teaching assistant. We recommend the students to review their lecture notes before participating to the exercise sessions.
Assessment methods and criteria :
The evalution of this course is based on :
1) a three hour written exam (80% of the final mark) based on theoretical concepts and practical econometric applications (using Gretl).
2) An individual assignment (20% of the final mark).
Recommended or required reading :
Jeffrey Wooldrige traduction de la 6ième édition américaine par Andre, Beine, Béreau, de la Rupelle, Durré, Gnabo, Heuchenne, Leturcq et Petitjean, 2018 deuxième édition.
ISBN : 978-2-8073-0683-7
Other information :
In class lectures (45 hours of theory with integrated exercises).
On the university's electronic platform the following additional information will be offered:
- a copy of the slides used in class
- the exercises that will be solved during the exercise sessions.
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