Course teacher(s)
Elise Petit (Coordinator) and Vincenzo VERARDIECTS credits
5
Language(s) of instruction
english
Course content
In this course we cover a wide range of models. The plan of the course is the following:
- Introduction, Maximum Likelihood and Generlized Method of Moments
- Bootstrap
- Instrumental variables and 2SLS
- Semiparametric and robust estimators
- Qualitative and/or count dependent variable models
- Limited dependent variable models
- Panel data
- Time series
Objectives (and/or specific learning outcomes)
A particular emphasis is put in understanding the characteristics of the data and consequently learn how to choose the most appropriate model to use.
For each model, the theory is revised but without going into details. The applied dimension of the problem is systematically priviledged.
Students are supposed to understand how to write a Likelihood function at the end of the course. Some basic notions of programming are taught during the exercise sessions.
Prerequisites and Corequisites
Required and Corequired knowledge and skills
Undergraduate courses in Mathematics, Statistics and Econometrics
Teaching methods and learning activities
The theoretical course is complemented by some emprical sessions. All the exercises are in Stata software (but students can use R if they want).
References, bibliography, and recommended reading
The reference books are
1. Dougherty, C. (2011). Dougherty: Introduction to Econometrics. Oxford University Press <- Many slides are based on the slides companion to this book !!
2. Baltagi, B. (2005). Econometric Analysis of Panel Data, Wiley
3. Cameron, A. and Trivedi, P. (2005). MICROECONOMETRICS: Methods and Applications. Cambridge University Press
4. Cameron, A. and Trivedi, P. (2010). MICROECONOMETRICS USING STATA. Stata Press
5. Greene, W. (2011). Econometric Analysis, Prentice Hall
6. Wooldridge, J. (2000), Introductory Econometrics: A Modern Approach. South-Western.
7. Wooldridge, Jeffrey M. (2001) Econometric Analysis of Cross Section and Panel Data. MIT Press.
Contribution to the teaching profile
This course contributes to the following programme objectives of the Master’s in Economics:
LO 1.1 - Integrate sustainable development into problem analysis
LO 1.2 - Identify and apply the relevant analytical tools and scientific knowledge to analyse an economic problem in depth
LO 2.1 - Adopt a scientific approach to data collection, research and analysis and communicate results with clear, structured and sophisticated arguments.
LO 2.2 - Display critical thinking and develop autonomous learning strategies and techniques
LO 3.1 - Apply quantitative and qualitative techniques to support analysis using data with standard office and statistical software
LO 4.1 - Work and communicate effectively as part of a team in an international and multicultural environment
and:
[Economic Governance & Public Policy in Europe] LO 1.4 - Collect, organise and analyse data to critically understand the main policy challenges and to support policy analysis and recommendations
Other information
Campus
Solbosch
Evaluation
Method(s) of evaluation
- Practice work
- written examination
- Other
Practice work
written examination
Other
The exam is written. Questions are both theoretical and empirical. A single A4 (handwritten) cheatsheet is allowed during the exam. Part of the grade comes from the works done during the exercises
Mark calculation method (including weighting of intermediary marks)
The exam enters the grade with a weight of 70%. A continuous assessment and some problem sets are asked and account for 30% of the final grade.
Language(s) of evaluation
- english