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STAT-S308

Introduction à l'économétrie

academic year
2024-2025
2025-2026

Course teacher(s)

Elise Petit (Coordinator) and Vincenzo VERARDI

ECTS credits

5

Language(s) of instruction

french

Course 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

Objectives (and/or specific learning outcomes)

At the end of the course, the students will be able to :

  • Use statistical software

  • Verify the assumptions in a model

  • Use statistical models in daily life

Prerequisites and Corequisites

Required and corequired courses

Teaching methods and learning activities

Lectures and exercises (in computer lab)

References, bibliography, and recommended reading

  • Dougherty, C. (2007). Introduction to Econometrics, Oxford University Press. (Main reference book). The slides used during the theory course are in French and are largely a translation of the slides that accompany this book.
  • Greene, W. (2000), Econometric Analysis, Prentice Hall, London.
  • Verbeek, M. (2000), A Guide to Modern Econometrics, Wiley-Interscience, New York.

Contribution to the teaching profile

The teaching unit contributes to the development of the following skills of the teaching profile of management engineer:

  • Critically analyze a situation based on a scientific approach of university research
  • Decide on a strategy by proposing innovative and realistic approaches and solutions

Other information

Campus

Solbosch

Evaluation

Method(s) of evaluation

  • Practice work
  • written examination
  • Other

Practice work

written examination

Other

A quarter of the final mark is based on the completion of homework given during the first semester. Completion of homework is a mandatory step to be able to take the written exam.

The written exam is organized during the January session. The exam consists of a theoretical part and a practical part, without interruption between the two.

Mark calculation method (including weighting of intermediary marks)

5 points: group projects • 2 projects during the year • Groups of 4 students • Analysis of a database using statistical software

15 points: examination • Face-to-face if the health context allows it • With an A4 sheet of handwritten notes

Language(s) of evaluation

  • french

Programmes