Introduction to econometrics

1. Linear regression models (estimation, testing of hypotheses, and construction of confidence intervals with a particular emphasis on how to interpret results).

2. Model specification and model selection (omitted variables, selection of variables, specific regressors, e.g., dummy variables or interaction terms).

3. Heteroskedasticity and autocorrelation robust inference in regression models.

4. Panel data.

5. Regression models for binary outcomes.

6. Endogeneity and instrumental variables.

7. An introduction to time series models and methods.

After successfully taking this course, students are able to conduct standard empirical analyses using STATA, and are able to read, understand and critically evaluate empirical studies based on the methods discussed in this course.
This course contributes to the following learning outcome from the program in Business Engineering and Economic Sciences:

LO2.1: Adopt a scientific approach to data collection, research and analysis and communicate results with clear, structured and sophisticated arguments
LO2.2: Display critical thinking, logical and abstract reasoning and develop an independent approach to learning
LO3.1: Solve standard mathematical and statistical problems by analysing data with standard office and statistical software
LO3.2: Write simple code and conceptualize the key coding steps needed to solve a complex problem

Required and corequired courses

The course consists of weekly theoretical lectures, accompanied by exercise classes. In the lecture part of the course, methodological concepts are introduced and illustrated based on practical examples. There will be weekly optional online tests (on the course virtual page) allowing students to revise the theoretical concepts prior to the exercise sessions. Some of the exercises require the use of STATA and students will use the software to analyse a dataset in a compulsory project. Organisational details will be discussed during the first class.

References, bibliography, and recommended reading

The main textbook is J.H. Stock and M.W. Watson, Introduction to Econometrics (some edition), Addison-Wesley. An optional book, which will not be used in class but which provides a complementary treatment that some students might find helpful, is J.M. Wooldridge, Introductory Econometrics, South-Western College Publishing.

Course notes

• Université virtuelle
• Podcast

Additional information

All information will be available on the Université virtuelle: lecture slides (without annotations prior to the lecture, annotated version made available after), weekly tests, exercise sheets, etc.

Contacts

Germain Van Bever

E-mail: germain.van.bever(at)ulb.be (when available)

Campus

Solbosch

Method(s) of evaluation

• written examination
• Project

written examination

• Open question with developed answer
• Closed question with multiple choices (MCQ)

Project

Final grade is based on two components: (i) the final exam, (ii) the compulsory project. An incentive extra point will be added for regular participation to the weekly tests.

Mark calculation method (including weighting of intermediary marks)

Each online test will be opened, without time limit, one week before the associated exercise session. It can only be tried once. Answers will be made available after the exercise session.

The exam will carry 80% of the grade. The project will carry 20%. An extra point (out of 20) will be added to students successfully passing at least half of the weekly tests.

Language(s) of evaluation

• english